Goldman Sachs Clean Fund Volatility
| GCEEX Fund | USD 14.07 0.27 1.96% |
Sharpe Ratio = 0.1205
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Goldman Sachs Clean's financial profile includes a Market Risk Adjusted Performance of 0.3%, a Risk of 1.29, and a Risk Adjusted Performance of 0.2%. Moving average data positions the fund near 9% of its recent return envelope.
Key indicators related to Goldman Sachs' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Goldman Sachs (3 Months):
Beta 0.76 | Alpha 0.19 | Risk 1.29 | Sharpe Ratio 0.12 | Expected Return 0.16 |
Assets With Similar Volatility
| 0.94 | GCEBX | Goldman Sachs Clean | PairCorr |
| 1.0 | GCEDX | Goldman Sachs Clean | PairCorr |
| 1.0 | GCEGX | Goldman Sachs Clean | PairCorr |
| 1.0 | GCEJX | Goldman Sachs Clean | PairCorr |
| 1.0 | GCEPX | Goldman Sachs Clean | PairCorr |
| 0.71 | GCGIX | Goldman Sachs Large | PairCorr |
| 0.77 | GCRTX | Goldman Sachs Absolute | PairCorr |
| 0.69 | GCTIX | Goldman Sachs Tax Managed | PairCorr |
| 0.69 | GCTRX | Goldman Sachs Tax Managed | PairCorr |
| 0.74 | GCSAX | Goldman Sachs Small | PairCorr |
| 0.8 | GCSCX | Goldman Sachs Small | PairCorr |
| 0.8 | GCSIX | Goldman Sachs Small | PairCorr |
| 0.8 | GCSSX | Goldman Sachs Small | PairCorr |
| 0.8 | GCSUX | Goldman Sachs Small | PairCorr |
| 0.71 | GCVUX | Goldman Sachs Large | PairCorr |
| 0.8 | GDSRX | Goldman Sachs Small | PairCorr |
| 0.73 | GEMAX | Goldman Sachs Emerging | PairCorr |
| 0.77 | GGGPX | Goldman Sachs Capital | PairCorr |
Sensitivity To Market
The beta coefficient of 0.76 for Goldman Sachs Clean measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 1.29%. This analysis separates observed movement from interpretation for Goldman Sachs Clean. Standard deviation (1.28%) and downside deviation (1.51%) describe the range without implying direction. Fund volatility reflects the combined movement of its underlying holdings and the fund’s asset mix.
3 Months Beta |Goldman Sachs Clean Demand TrendCurrent 90-day Goldman Sachs correlation with market (Dow Jones Industrial)Downside Risk
Goldman Sachs standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Goldman Sachs over successive periods signals increasing price uncertainty.
Standard Deviation | 1.29 |
Understanding the asymmetry between upside and downside risk is critical for Goldman Sachs analysis. Total price dispersion includes upside, while downside deviation captures only loss risk in Goldman Sachs' returns. Goldman Sachs Clean's financial profile includes a Downside Deviation of 1.51, a Downside Variance of 2.28, and a Maximum Drawdown of 5.20.
Mutual Fund Volatility Analysis
Volatility is a statistical measure of the dispersion of Goldman Sachs mutual fund returns over a given period of time. Volatility measures how much Goldman Sachs' mutual fund price deviates from its average over a period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Goldman Sachs Clean's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Based on a 90-day horizon, Goldman Sachs has a beta of 0.7556. This usually indicates as returns on the market go up, Goldman Sachs's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Goldman Sachs Clean tends to be smaller as well.Goldman Sachs carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Goldman Sachs Clean's financial profile includes a Downside Deviation of 1.51, a Mean Deviation of 0.98, and a Semi Deviation of 1.23.
Predicted Return Distribution |
| Density |
Mutual Fund Risk Measures
Based on a 90-day horizon, the coefficient of variation of Goldman Sachs is 829.97. The daily returns are distributed with a variance of 1.67 and standard deviation of 1.29. The mean deviation of Goldman Sachs Clean is currently at 0.99. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.95
α | Alpha over Dow Jones | 0.19 | |
β | Beta against Dow Jones | 0.76 | |
σ | Overall volatility | 1.29 | |
Ir | Information ratio | 0.14 |
Mutual Fund Return Volatility
Volatility for Goldman Sachs quantifies the day-to-day dispersion of fund returns around their historical average. The fund carries 1.2941% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9314% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.97 | 1.0 | 0.83 | 0.83 | 0.99 | DNYYX | ||
| 0.97 | 0.96 | 0.82 | 0.83 | 0.97 | WITAX | ||
| 1.0 | 0.96 | 0.81 | 0.81 | 0.99 | AAMBX | ||
| 0.83 | 0.82 | 0.81 | 0.98 | 0.79 | WCBFIX | ||
| 0.83 | 0.83 | 0.81 | 0.98 | 0.81 | ANAZX | ||
| 0.99 | 0.97 | 0.99 | 0.79 | 0.81 | ABIMX | ||
Risk-Adjusted Indicators
Headline performance for Goldman Sachs Mutual Fund may not fully reflect how the business compares across its competitive set. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DNYYX | 0.14 | 0.00 | -0.08 | -0.33 | 0.17 | 0.29 | 0.96 | |||
| WITAX | 0.10 | 0.00 | -0.10 | -0.20 | 0.09 | 0.20 | 0.62 | |||
| AAMBX | 0.16 | 0.00 | -0.06 | -0.27 | 0.21 | 0.30 | 1.19 | |||
| WCBFIX | 0.20 | -0.01 | 0.00 | -0.09 | 0.00 | 0.42 | 1.25 | |||
| ANAZX | 0.20 | -0.02 | 0.00 | -0.08 | 0.00 | 0.44 | 1.17 | |||
| ABIMX | 0.17 | 0.00 | -0.05 | 0.16 | 0.20 | 0.41 | 1.35 |
Risk Metrics, Assumptions & Methodology
Maximum drawdown for Goldman Sachs captures the deepest NAV decline from peak, framing the worst-case experience for holders. Downside movements have historically remained relatively contained.
Goldman Sachs Clean data is compiled from fund disclosures and market reference feeds and standardized for comparability. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Michael Smolkin, Member of Macroaxis Board of Directors
Volatility Profile Summary
Recent data suggests that Goldman Sachs Clean is more volatile than Dow Jones Industrial by approximately 1.39x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 11% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Goldman Sachs Clean with characteristics aligned to broad market upside participation. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It is intended to separate routine noise from more speculative bursts in price action. a large bullish trend. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Goldman Sachs probability analysis.
Weak diversification
For the present investment horizon, the measured correlation between Goldman Sachs and Dow Jones stands at 0.43, or Weak diversification. This chart measures the degree of risk overlap between Goldman Sachs and Dow Jones.
Additional Risk Indicators
A broader risk-indicator set for Goldman Sachs Clean extends the analysis beyond standard volatility and risk measures. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | 0.1586 | |||
| Market Risk Adjusted Performance | 0.2741 | |||
| Mean Deviation | 0.9845 | |||
| Semi Deviation | 1.23 | |||
| Downside Deviation | 1.51 | |||
| Coefficient Of Variation | 610.56 | |||
| Standard Deviation | 1.28 |
Goldman Sachs Suggested Diversification Pairs
A paired position built around Goldman Sachs Clean reduces directional market exposure while expressing a relative-value view. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Goldman Sachs' exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Goldman Sachs' idiosyncratic risk - the part that comes from company-level events rather than macro conditions.