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

  0.67GCGIX Goldman Sachs LargePairCorr
  0.68GCRTX Goldman Sachs AbsolutePairCorr
  0.79GCTIX Goldman Sachs TaxPairCorr
  0.79GCTSX Goldman Sachs TaxPairCorr
  0.78GDEUX Goldman Sachs DynamicPairCorr
  0.65GVIRX Goldman Sachs EquityPairCorr

Moving against Goldman Mutual Fund

  0.74GCEBX Goldman Sachs CleanPairCorr
  0.74GCEDX Goldman Sachs CleanPairCorr
  0.74GCEEX Goldman Sachs CleanPairCorr
  0.74GCEJX Goldman Sachs CleanPairCorr
  0.74GCEPX Goldman Sachs CleanPairCorr
  0.73GCEGX Goldman Sachs CleanPairCorr
  0.46GCICX Goldman Sachs InternPairCorr
  0.46GCIAX Goldman Sachs InternPairCorr
  0.45GCIIX Goldman Sachs InternPairCorr
  0.33GCFCX Goldman Sachs EPairCorr
  0.31GCFIX Goldman Sachs EPairCorr
  0.4GEBAX Goldman Sachs EsgPairCorr
  0.39GEBSX Goldman Sachs EsgPairCorr
  0.39GEBIX Goldman Sachs EsgPairCorr
  0.35GEMCX Goldman Sachs EmergingPairCorr
  0.34GEMAX Goldman Sachs EmergingPairCorr
  0.33GERCX Goldman Sachs EmergingPairCorr
  0.33GGJPX Goldman Sachs InflationPairCorr
  0.32GERUX Goldman Sachs EmergingPairCorr
  0.31GGIRX Goldman Sachs MortgagesPairCorr

Related Correlations Analysis

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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   
GCEEXGCEDX
GCEGXGCEDX
GCEJXGCEDX
GCEPXGCEDX
GCEGXGCEEX
GCEJXGCEEX
  
High negative correlations   
GCGUXGCGCX
GCGCXGCGAX
GCGIXGCEPX
GCGIXGCEJX
GCGIXGCEGX
GCGIXGCEEX

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GCEDX  0.72 (0.22) 0.00  0.79  0.00 
 1.21 
 7.53 
GCEEX  0.72 (0.22) 0.00  0.76  0.00 
 1.21 
 7.64 
GCEGX  0.73 (0.22) 0.00  0.72  0.00 
 1.22 
 7.70 
GCEJX  0.72 (0.22) 0.00  0.79  0.00 
 1.21 
 7.54 
GCEPX  0.73 (0.22) 0.00  0.79  0.00 
 1.21 
 7.53 
GCGAX  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 
GCGIX  0.80 (0.05)(0.02) 0.03  2.20 
 1.72 
 13.30 
GCGUX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00