Goldman Sachs Correlations

GVCXX Fund

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The current 90-days correlation between Goldman Sachs Trust and Lord Abbett Diversified is -0.03 (i.e., Good diversification). The correlation of Goldman Sachs is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Goldman Sachs Correlation With Market

Good diversification

The correlation between Goldman Sachs Trust and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Trust and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Goldman Sachs Trust. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Goldman Money Market Fund

0.65	VTSAX	Vanguard Total Stock	Pair Corr
0.67	VFIAX	Vanguard 500 Index	Pair Corr
0.75	VTSMX	Vanguard Total Stock	Pair Corr
0.76	VITSX	Vanguard Total Stock	Pair Corr
0.75	VSTSX	Vanguard Total Stock	Pair Corr
0.75	VSMPX	Vanguard Total Stock	Pair Corr
0.67	VFINX	Vanguard 500 Index	Pair Corr
0.73	VFFSX	Vanguard 500 Index	Pair Corr
0.71	BAC	Bank of America Fiscal Year End 10th of January 2025	Pair Corr
0.68	DIS	Walt Disney	Pair Corr
0.77	WMT	Walmart	Pair Corr
0.62	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.7	JPM	JPMorgan Chase Fiscal Year End 10th of January 2025	Pair Corr

Moving against Goldman Money Market Fund

0.88	PFE	Pfizer Inc Sell-off Trend	Pair Corr
0.79	NHS	Neuberger Berman High	Pair Corr
0.72	MRK	Merck Company Sell-off Trend	Pair Corr
0.5	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr

Related Correlations Analysis

	LIGFX	EKBDX	SWSSX	DSCPX	RTSSX	FARIX	JDJRX
LIGFX		0.84	0.91	0.87	0.93	0.83	0.1	LIGFX
EKBDX	0.84		0.85	0.71	0.89	0.76	-0.31	EKBDX
SWSSX	0.91	0.85		0.96	0.99	0.75	-0.09	SWSSX
DSCPX	0.87	0.71	0.96		0.93	0.69	0.03	DSCPX
RTSSX	0.93	0.89	0.99	0.93		0.78	-0.1	RTSSX
FARIX	0.83	0.76	0.75	0.69	0.78		0.11	FARIX
JDJRX	0.1	-0.31	-0.09	0.03	-0.1	0.11		JDJRX
	LIGFX	EKBDX	SWSSX	DSCPX	RTSSX	FARIX	JDJRX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

RTSSX	+ 0.99	SWSSX
DSCPX	+ 0.96	SWSSX
RTSSX	+ 0.93	LIGFX
RTSSX	+ 0.93	DSCPX
SWSSX	+ 0.91	LIGFX
RTSSX	+ 0.89	EKBDX

High negative correlations

JDJRX	- 0.31	EKBDX
JDJRX	- 0.1	RTSSX
JDJRX	- 0.09	SWSSX

Risk-Adjusted Indicators

There is a big difference between Goldman Money Market Fund performing well and Goldman Sachs Money Market Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Goldman Sachs' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LIGFX	0.28	(0.02)	0.00	(0.15)	0.00	0.00	0.50	(0.55)	2.03
EKBDX	0.86	(0.03)	0.00	(0.09)	0.00	0.00	1.42	(1.57)	8.78
SWSSX	0.95	0.03	0.02	0.10	1.25	(0.96)	1.82	(1.63)	10.25
DSCPX	0.74	0.01	0.00	0.04	0.93	(0.91)	1.69	(1.29)	8.87
RTSSX	0.79	(0.01)	(0.01)	0.00	1.14	(0.83)	1.69	(1.34)	9.56
FARIX	0.28	(0.02)	0.00	(0.28)	0.00	0.00	0.53	(0.53)	2.12
JDJRX	0.37	0.02	0.01	(0.75)	0.42	(0.43)	0.77	(0.77)	1.99

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