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As Goldman goes, so goes the market, history shows

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Investors better hope Goldman shares can turn it around this month or the whole market may be in trouble, according to history.

Goldman's stock is down 5 percent so far in April after the disappointing first-quarter results Tuesday morning. The S&P 500 is off by about 0.8 percent this month.

Using hedge fund analytics tool Kensho here's what happens to the major market benchmarks, on average, when Goldman falls more than 5 percent in one month's time.

Goldman has dropped 5 percent or more during 91 30-day periods since it became a public company in 1999. The S&P 500 only managed to be positive during 16 percent of those months, posting an average loss of more than 3 percent.

It seems the fortunes of the overall market and the Wall Street leader are inextricably linked.

A look at daily correlation also backs up this notion. Here are the Dow Jones industrial average members most highly correlated to the Dow itself since Goldman entered the benchmark in 2013.

Goldman and JPMorgan are right at the top.

— CNBC's parent NBCUniversal is a minority investor in Kensho.