Goldman Sachs Access ETF Volatility
| GSIG ETF | USD 47.40 0.10 0.21% |
Sharpe Ratio = 0.0221
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For Goldman Sachs Access, recent data highlights a Market Risk Adjusted Performance of -0.1%, a Risk of 0.14, and a Risk Adjusted Performance of -0.01%. The ETF reflects approximately 1% of its established trend range based on monthly averages.
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 0.03 | Alpha -0.0036 | Risk 0.14 | Sharpe Ratio 0.02 | Expected Return 0 |
Moving together with Goldman Sachs ETF
| 0.96 | BSV | Vanguard Short Term Sell-off Trend | PairCorr |
| 0.91 | IGSB | iShares 1 5 Sell-off Trend | PairCorr |
| 0.88 | SPSB | SPDR Barclays Short Sell-off Trend | PairCorr |
| 0.9 | ISTB | iShares Core 1 | PairCorr |
| 0.9 | SLQD | iShares 0 5 | PairCorr |
| 0.91 | GVI | iShares Intermediate | PairCorr |
| 0.77 | LDUR | PIMCO Enhanced Low | PairCorr |
| 0.91 | SUSB | iShares ESG 1 | PairCorr |
| 0.8 | EWC | iShares MSCI Canada | PairCorr |
| 0.67 | BME | BlackRock Health Sciences | PairCorr |
| 0.77 | URA | Global X Uranium | PairCorr |
| 0.62 | VUG | Vanguard Growth Index | PairCorr |
| 0.69 | ESGV | Vanguard ESG Stock | PairCorr |
| 0.76 | XMAG | DeFiance Large Cap | PairCorr |
| 0.68 | SNTH | MRP SynthEquity ETF | PairCorr |
| 0.68 | BIBL | Northern Lights | PairCorr |
| 0.7 | GNOV | FT Cboe Vest | PairCorr |
Sensitivity To Market
Goldman Sachs beta coefficient measures the volatility of Goldman Sachs ETF relative to the systematic risk of the broad market benchmark. A beta of 0.0279 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.14%. Goldman Sachs Access has shown noticeable price swings over the selected period. Downside deviation is about 0.17% and standard deviation is about 0.14%, which summarize how widely returns have moved. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.
3 Months Beta |Goldman Sachs Access Demand TrendCurrent 90-day Goldman Sachs correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far Goldman Sachs returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability. Peer-relative standard deviation places Goldman Sachs on a common scale for cross-instrument volatility ranking. This dispersion metric remains a common starting point for assessing Goldman Sachs price volatility.
Standard Deviation | 0.14 |
For Goldman Sachs, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of Goldman Sachs' returns. Total price dispersion for Goldman Sachs includes upside moves that do not represent loss risk. Using both metrics together provides a more complete view of Goldman Sachs's risk characteristics. For Goldman Sachs Access, recent data highlights a Downside Deviation of 0.17, a Downside Variance of 0.03, and a Maximum Drawdown of 0.59.
ETF Volatility Analysis
Volatility describes the degree to which Goldman Sachs ETF price fluctuates in either direction. It captures how much Goldman Sachs' price fluctuates, which is relevant to allocation calibration. Volatility in Goldman Sachs reflects the degree of uncertainty around Goldman Sachs' ETF price. Periods of elevated volatility in Goldman Sachs reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Goldman Sachs Access'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
Given a 90-day horizon, Goldman Sachs has a beta of 0.0279. 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 Access tends to be smaller as well.Systematic risk links Goldman Sachs to broad ETF market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. For Goldman Sachs Access, recent data highlights a Downside Deviation of 0.17, a Mean Deviation of 0.11, and a Semi Deviation of 0.13.
Predicted Return Distribution |
| Density |
What Drives Goldman Sachs' Price Volatility?
Holdings and Allocation
Changes in underlying holdings, sector weights, and rebalancing activity within the Short-Term Bond category can influence Goldman Sachs' price dispersion even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for Goldman Sachs.Goldman Sachs' Fund-Specific Factors
Flows in and out of the fund, tracking error, and premium-to-NAV shifts are common drivers of short-term price movement in Goldman Sachs' shares.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of Goldman Sachs is 4521.36. The daily returns are distributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of Goldman Sachs Access is currently at 0.11. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | -0.0036 | |
β | Beta against Dow Jones | 0.03 | |
σ | Overall volatility | 0.14 | |
Ir | Information ratio | -0.0637 |
ETF Return Volatility
Goldman Sachs historical daily return volatility represents how much of Goldman Sachs ETF's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The Exchange Traded Fund reported 0.1431% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9313% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
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
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Goldman Sachs Competition Risk-Adjusted Indicators
Strong recent returns in Goldman Sachs ETF do not always mean Goldman Sachs ETF is outperforming peers on business quality. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.73 | -0.16 | 0.00 | -0.13 | 0.00 | 2.61 | 15.22 | |||
| MSFT | 1.35 | 0.04 | 0.02 | 0.06 | 1.74 | 3.11 | 8.57 | |||
| UBER | 1.72 | -0.01 | -0.01 | -0.01 | 2.20 | 3.61 | 8.83 | |||
| F | 1.53 | -0.16 | 0.00 | -0.12 | 0.00 | 4.11 | 9.26 | |||
| T | 1.17 | -0.07 | 0.00 | 0.25 | 0.00 | 2.34 | 7.75 | |||
| A | 1.41 | -0.16 | 0.00 | -0.16 | 0.00 | 2.67 | 8.08 | |||
| CRM | 2.07 | -0.05 | 0.00 | -0.56 | 0.00 | 4.07 | 13.46 | |||
| JPM | 1.12 | -0.04 | 0.00 | -0.03 | 0.00 | 2.16 | 8.16 | |||
| MRK | 1.18 | 0.02 | 0.01 | -0.14 | 1.57 | 2.73 | 7.67 | |||
| XOM | 1.42 | 0.05 | 0.02 | -0.07 | 2.04 | 2.68 | 8.59 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for Goldman Sachs identifies whether the fund is currently in a high, low, or transitioning dispersion state. Compression regimes can persist, but breakouts from low volatility tend to produce outsized moves.
Goldman Sachs Access metrics are compiled from fund disclosures and market reference feeds and normalized before display. 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 Access is less volatile than Dow Jones Industrial by approximately 6.64x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each 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 1% 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 Access 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 works best as a directional cue rather than as a standalone forecast. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Goldman Sachs probability analysis.
Very poor diversification
For the present investment horizon, the measured correlation between Goldman Sachs and Dow Jones stands at 0.81, or Very poor 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 Access extends the analysis beyond standard volatility and risk measures. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.
| Risk Adjusted Performance | -0.01 | |||
| Market Risk Adjusted Performance | -0.12 | |||
| Mean Deviation | 0.1113 | |||
| Semi Deviation | 0.132 | |||
| Downside Deviation | 0.1669 | |||
| Coefficient Of Variation | 2169.54 | |||
| Standard Deviation | 0.1411 |
Goldman Sachs Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between Goldman Sachs Access and comparable securities. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Goldman Sachs as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Goldman Sachs' systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Goldman Sachs' unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Goldman Sachs Access.
More Resources for Goldman Sachs ETF Analysis
The gap between Goldman Sachs' market price and NAV reflects supply-demand dynamics in the secondary market. Reconciling price, NAV, and fund characteristics is central to ETF analysis.
Goldman Sachs NAV depends on underlying asset values, while price depends on secondary market activity. The observed price for Goldman Sachs captures the most recent agreement between transacting parties.