Goldman Sachs Correlations

GEIUX Fund

USD 9.54 0.01 0.10%

The current 90-days correlation between Goldman Sachs Enhanced and Goldman Sachs Clean is 0.07 (i.e., Significant 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 Enhanced and DJI is -0.07 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Enhanced 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 Enhanced. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with Goldman Mutual Fund

0.67	GCGIX	Goldman Sachs Large	Pair Corr
0.68	GCRTX	Goldman Sachs Absolute	Pair Corr
0.79	GCTIX	Goldman Sachs Tax	Pair Corr
0.79	GCTSX	Goldman Sachs Tax	Pair Corr
0.78	GDEUX	Goldman Sachs Dynamic	Pair Corr
0.65	GVIRX	Goldman Sachs Equity	Pair Corr

Moving against Goldman Mutual Fund

0.74	GCEBX	Goldman Sachs Clean	Pair Corr
0.74	GCEDX	Goldman Sachs Clean	Pair Corr
0.74	GCEEX	Goldman Sachs Clean	Pair Corr
0.74	GCEJX	Goldman Sachs Clean	Pair Corr
0.74	GCEPX	Goldman Sachs Clean	Pair Corr
0.73	GCEGX	Goldman Sachs Clean	Pair Corr
0.46	GCICX	Goldman Sachs Intern	Pair Corr
0.46	GCIAX	Goldman Sachs Intern	Pair Corr
0.45	GCIIX	Goldman Sachs Intern	Pair Corr
0.33	GCFCX	Goldman Sachs E	Pair Corr
0.31	GCFIX	Goldman Sachs E	Pair Corr
0.4	GEBAX	Goldman Sachs Esg	Pair Corr
0.39	GEBSX	Goldman Sachs Esg	Pair Corr
0.39	GEBIX	Goldman Sachs Esg	Pair Corr
0.35	GEMCX	Goldman Sachs Emerging	Pair Corr
0.34	GEMAX	Goldman Sachs Emerging	Pair Corr
0.33	GERCX	Goldman Sachs Emerging	Pair Corr
0.33	GGJPX	Goldman Sachs Inflation	Pair Corr
0.32	GERUX	Goldman Sachs Emerging	Pair Corr
0.31	GGIRX	Goldman Sachs Mortgages	Pair Corr

Related Correlations Analysis

	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGAX	GCGCX	GCGIX	GCGUX
GCEDX		1.0	1.0	1.0	1.0	0.0	0.0	-0.78	0.0	GCEDX
GCEEX	1.0		1.0	1.0	1.0	0.0	0.0	-0.78	0.0	GCEEX
GCEGX	1.0	1.0		1.0	1.0	0.0	0.0	-0.78	0.0	GCEGX
GCEJX	1.0	1.0	1.0		1.0	0.0	0.0	-0.78	0.0	GCEJX
GCEPX	1.0	1.0	1.0	1.0		0.0	0.0	-0.78	0.0	GCEPX
GCGAX	0.0	0.0	0.0	0.0	0.0		-1.0	0.0	1.0	GCGAX
GCGCX	0.0	0.0	0.0	0.0	0.0	-1.0		0.0	-1.0	GCGCX
GCGIX	-0.78	-0.78	-0.78	-0.78	-0.78	0.0	0.0		0.0	GCGIX
GCGUX	0.0	0.0	0.0	0.0	0.0	1.0	-1.0	0.0		GCGUX
	GCEDX	GCEEX	GCEGX	GCEJX	GCEPX	GCGAX	GCGCX	GCGIX	GCGUX

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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

GCEEX	+ 1.0	GCEDX
GCEGX	+ 1.0	GCEDX
GCEJX	+ 1.0	GCEDX
GCEPX	+ 1.0	GCEDX
GCEGX	+ 1.0	GCEEX
GCEJX	+ 1.0	GCEEX

High negative correlations

GCGUX	- 1.0	GCGCX
GCGCX	- 1.0	GCGAX
GCGIX	- 0.78	GCEPX
GCGIX	- 0.78	GCEJX
GCGIX	- 0.78	GCEGX
GCGIX	- 0.78	GCEEX

Risk-Adjusted Indicators

There is a big difference between Goldman Mutual Fund performing well and Goldman Sachs Mutual 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
GCEDX	0.72	(0.22)	0.00	0.79	0.00	0.00	1.21	(1.75)	7.53
GCEEX	0.72	(0.22)	0.00	0.76	0.00	0.00	1.21	(1.75)	7.64
GCEGX	0.73	(0.22)	0.00	0.72	0.00	0.00	1.22	(1.66)	7.70
GCEJX	0.72	(0.22)	0.00	0.79	0.00	0.00	1.21	(1.75)	7.54
GCEPX	0.73	(0.22)	0.00	0.79	0.00	0.00	1.21	(1.64)	7.53
GCGAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGCX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCGIX	0.80	(0.05)	(0.02)	0.03	2.20	(0.73)	1.72	(1.57)	13.30
GCGUX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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