GOLDMAN SACHS GROUP Market Value
| 38141GYB4 | 80.57 5.24 6.11% |
| Symbol | GOLDMAN |
GOLDMAN 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to GOLDMAN's bond what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of GOLDMAN.
| 10/29/2023 |
| 11/22/2024 |
If you would invest 0.00 in GOLDMAN on October 29, 2023 and sell it all today you would earn a total of 0.00 from holding GOLDMAN SACHS GROUP or generate 0.0% return on investment in GOLDMAN over 390 days. GOLDMAN is related to or competes with 00108WAF7, 90331HPL1, Charles Schwab, Knightscope, Liberty Media, Marvell Technology, and GM. More
GOLDMAN Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure GOLDMAN's bond current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess GOLDMAN SACHS GROUP upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 10.3 | |||
| Value At Risk | (1.36) | |||
| Potential Upside | 0.7093 |
GOLDMAN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for GOLDMAN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as GOLDMAN's standard deviation. In reality, there are many statistical measures that can use GOLDMAN historical prices to predict the future GOLDMAN's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.29) | |||
| Treynor Ratio | 0.9415 |
GOLDMAN SACHS GROUP Backtested Returns
GOLDMAN SACHS GROUP holds Efficiency (Sharpe) Ratio of -0.15, which attests that the entity had a -0.15% return per unit of risk over the last 3 months. GOLDMAN SACHS GROUP exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out GOLDMAN's Risk Adjusted Performance of (0.04), market risk adjusted performance of 0.9515, and Coefficient Of Variation of (1,889) to validate the risk estimate we provide. The bond retains a Market Volatility (i.e., Beta) of -0.0972, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning GOLDMAN are expected to decrease at a much lower rate. During the bear market, GOLDMAN is likely to outperform the market.
Auto-correlation | 0.63 |
Good predictability
GOLDMAN SACHS GROUP has good predictability. Overlapping area represents the amount of predictability between GOLDMAN time series from 29th of October 2023 to 11th of May 2024 and 11th of May 2024 to 22nd of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of GOLDMAN SACHS GROUP price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current GOLDMAN price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 2.92 |
GOLDMAN SACHS GROUP lagged returns against current returns
Autocorrelation, which is GOLDMAN bond's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting GOLDMAN's bond expected returns. We can calculate the autocorrelation of GOLDMAN returns to help us make a trade decision. For example, suppose you find that GOLDMAN has exhibited high autocorrelation historically, and you observe that the bond is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
GOLDMAN regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If GOLDMAN bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if GOLDMAN bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in GOLDMAN bond over time.
Current vs Lagged Prices |
| Timeline |
GOLDMAN Lagged Returns
When evaluating GOLDMAN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of GOLDMAN bond have on its future price. GOLDMAN autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, GOLDMAN autocorrelation shows the relationship between GOLDMAN bond current value and its past values and can show if there is a momentum factor associated with investing in GOLDMAN SACHS GROUP.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in GOLDMAN Bond
GOLDMAN financial ratios help investors to determine whether GOLDMAN Bond is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in GOLDMAN with respect to the benefits of owning GOLDMAN security.