Goldman Sachs Capital Stock Volatility
| JBK Stock | USD 26.27 0.08 0.30% |
As of now, Goldman Stock is very steady. Goldman Sachs Capital holds Efficiency (Sharpe) Ratio of 0.0998, which attests that the entity had a 0.0998 % return per unit of risk over the last 3 months. We have found twenty technical indicators for Goldman Sachs Capital, which you can use to evaluate the volatility of the firm. Please check out Goldman Sachs' Standard Deviation of 0.3206, risk adjusted performance of 0.0653, and Market Risk Adjusted Performance of 10.01 to validate if the risk estimate we provide is consistent with the expected return of 0.032%.
Sharpe Ratio = 0.0998
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | JBK |
Based on monthly moving average Goldman Sachs is performing at about 7% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Goldman Sachs by adding it to a well-diversified portfolio.
Key indicators related to Goldman Sachs' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Goldman Sachs Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Goldman daily returns, and it is calculated using variance and standard deviation. We also use Goldman's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Goldman Sachs volatility.
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Goldman Sachs at lower prices. For example, an investor can purchase Goldman stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes. Main indicators related to Goldman Sachs' market risk premium analysis include:
Beta 0.0022 | Alpha 0.0218 | Risk 0.32 | Sharpe Ratio 0.0998 | Expected Return 0.032 |
Moving together with Goldman Stock
| 0.73 | HHI | Henderson High Income | PairCorr |
| 0.66 | WT | WisdomTree | PairCorr |
| 0.75 | MNG | MG Plc | PairCorr |
| 0.68 | EFF | Deutsche Effecten und | PairCorr |
| 0.76 | SII | Sprott Inc | PairCorr |
Moving against Goldman Stock
Goldman Sachs Market Sensitivity And Downside Risk
Goldman Sachs' beta coefficient measures the volatility of Goldman stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Goldman stock's returns against your selected market. In other words, Goldman Sachs's beta of 0.0022 provides an investor with an approximation of how much risk Goldman Sachs stock can potentially add to one of your existing portfolios. Goldman Sachs Capital exhibits very low volatility with skewness of 4.73 and kurtosis of 28.35. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Goldman Sachs' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Goldman Sachs' stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Goldman Sachs Capital Demand TrendCheck current 90 days Goldman Sachs correlation with market (Dow Jones Industrial)Goldman Sachs Volatility and Downside Risk
Goldman standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Goldman Sachs Capital Stock Volatility Analysis
Volatility refers to the frequency at which Goldman Sachs stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Goldman Sachs' price changes. Investors will then calculate the volatility of Goldman Sachs' stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Goldman Sachs' volatility:
Historical Volatility
This type of stock volatility measures Goldman Sachs' fluctuations based on previous trends. It's commonly used to predict Goldman Sachs' future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Goldman Sachs' current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Goldman Sachs' to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Goldman Sachs Capital Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Goldman Sachs Projected Return Density Against Market
Considering the 90-day investment horizon Goldman Sachs has a beta of 0.0022 . This indicates as returns on the market go up, Goldman Sachs average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Goldman Sachs Capital will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Goldman Sachs or Capital Markets sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Goldman Sachs' price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Goldman stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Predicted Return Density |
| Returns |
What Drives a Goldman Sachs Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Goldman Sachs Stock Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Goldman Sachs is 1001.73. The daily returns are distributed with a variance of 0.1 and standard deviation of 0.32. The mean deviation of Goldman Sachs Capital is currently at 0.11. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.81
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 0 | |
σ | Overall volatility | 0.32 | |
Ir | Information ratio | -0.18 |
Goldman Sachs Stock Return Volatility
Goldman Sachs historical daily return volatility represents how much of Goldman Sachs stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company has volatility of 0.3206% on return distribution over 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.8192% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
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
| High negative correlations
|
Risk-Adjusted Indicators
There is a big difference between Goldman Stock performing well and Goldman Sachs Company 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 Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| THG | 0.85 | 0.05 | (0.02) | 7.11 | 1.25 | 1.71 | 6.34 | |||
| CUTLF | 0.41 | 0.19 | 0.00 | 1.12 | 0.00 | 0.00 | 11.19 | |||
| HRTG | 2.24 | 0.22 | 0.05 | 1.01 | 2.79 | 4.24 | 19.93 | |||
| CVGI | 3.21 | (0.09) | 0.01 | 0.05 | 3.40 | 10.27 | 20.18 | |||
| AQN | 1.21 | 0.28 | 0.17 | (2.00) | 0.89 | 3.22 | 11.76 | |||
| LINSA | 0.49 | 0.22 | 0.00 | (1.63) | 0.00 | 0.00 | 11.44 | |||
| ZURVY | 0.79 | 0.07 | 0.03 | 0.22 | 0.96 | 1.65 | 5.14 | |||
| CAOHF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
About Goldman Sachs Volatility
Volatility is a rate at which the price of Goldman Sachs or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Goldman Sachs may increase or decrease. In other words, similar to Goldman's beta indicator, it measures the risk of Goldman Sachs and helps estimate the fluctuations that may happen in a short period of time. So if prices of Goldman Sachs fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.3 ways to utilize Goldman Sachs' volatility to invest better
Higher Goldman Sachs' stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Goldman Sachs Capital stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Goldman Sachs Capital stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Goldman Sachs Capital investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Goldman Sachs' stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Goldman Sachs' stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Goldman Sachs Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.82 and is 2.56 times more volatile than Goldman Sachs Capital. 2 percent of all equities and portfolios are less risky than Goldman Sachs. You can use Goldman Sachs Capital to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Goldman Sachs to be traded at $26.01 in 90 days.Very weak diversification
The correlation between Goldman Sachs Capital and DJI is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Capital and DJI in the same portfolio, assuming nothing else is changed.
Goldman Sachs Additional Risk Indicators
The analysis of Goldman Sachs' secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Goldman Sachs' investment and either accepting that risk or mitigating it. Along with some common measures of Goldman Sachs stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0653 | |||
| Market Risk Adjusted Performance | 10.01 | |||
| Mean Deviation | 0.1092 | |||
| Coefficient Of Variation | 1001.73 | |||
| Standard Deviation | 0.3206 | |||
| Variance | 0.1028 | |||
| Information Ratio | (0.18) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Goldman Sachs Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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 Capital.
When determining whether Goldman Sachs Capital is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Goldman Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Goldman Sachs Capital Stock. Highlighted below are key reports to facilitate an investment decision about Goldman Sachs Capital Stock: Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Goldman Sachs Capital. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in bureau of labor statistics. You can also try the Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
Is Asset Management & Custody Banks space expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Goldman Sachs. Expected growth trajectory for Goldman significantly influences the price investors are willing to assign. The financial industry is built on trying to define current growth potential and future valuation accurately. Comprehensive Goldman Sachs assessment requires weighing all these inputs, though not all factors influence outcomes equally.
Goldman Sachs Capital's market price often diverges from its book value, the accounting figure shown on Goldman's balance sheet. Smart investors calculate Goldman Sachs' intrinsic value - its true economic worth - which may differ significantly from both market price and book value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Since Goldman Sachs' trading price responds to investor sentiment, macroeconomic conditions, and market psychology, it can swing far from fundamental value.
Understanding that Goldman Sachs' value differs from its trading price is crucial, as each reflects different aspects of the company. Evaluating whether Goldman Sachs represents a sound investment requires analyzing earnings trends, revenue growth, technical signals, industry dynamics, and expert forecasts. However, Goldman Sachs' price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.