Goldman Sachs Backtesting

GDEUX -- USA Fund  

USD 13.95  0.05  0.36%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Goldman Sachs Blue Chip Fund C and determine expected loss or profit from investing in Goldman Sachs over given investment horizon. Please also check Goldman Sachs Hype Analysis, Goldman Sachs Correlation, Portfolio Optimization, Goldman Sachs Volatility as well as analyze Goldman Sachs Alpha and Beta and Goldman Sachs Performance.
Horizon     30 Days    Login   to change

Goldman Sachs 'What if' Analysis

July 23, 2019
No Change 0.00  0.0 
In 2 months and 31 days
October 21, 2019
If you would invest  0.00  in Goldman Sachs on July 23, 2019 and sell it all today you would earn a total of 0.00 from holding Goldman Sachs Blue Chip Fund C or generate 0.0% return on investment in Goldman Sachs over 90 days. Goldman Sachs is related to or competes with Growth Fund, Fidelity Contra, Fidelity Contra, AMCAP Fund, T Rowe, Vanguard Primecap, and Harbor Capital. The fund invests, under normal circumstances, at least 80 percent of its net assets plus any borrowings for investment p...

Goldman Sachs Upside/Downside Indicators

Downside Deviation1.08
Information Ratio0.0566
Maximum Drawdown4.55
Value At Risk(1.89)
Potential Upside1.36

Goldman Sachs Market Premium Indicators

Risk Adjusted Performance0.0337
Jensen Alpha0.0187
Total Risk Alpha0.0527
Sortino Ratio0.0498
Treynor Ratio(0.16)

Goldman Sachs Blue Backtested Returns

We consider Goldman Sachs not too volatile. Goldman Sachs Blue holds Efficiency (Sharpe) Ratio of 0.0202 which attests that the entity had 0.0202% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Goldman Sachs Blue which you can use to evaluate future volatility of the entity. Please check out Goldman Sachs Downside Deviation of 1.08, Market Risk Adjusted Performance of (0.15) and Risk Adjusted Performance of 0.0337 to validate if risk estimate we provide are consistent with the epected return of 0.0194%. The fund retains Market Volatility (i.e. Beta) of -0.1404 which attests that as returns on market increase, returns on owning Goldman Sachs are expected to decrease at a much smaller rate. During bear market, Goldman Sachs is likely to outperform the market. Although it is extremely important to respect Goldman Sachs Blue current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating Goldman Sachs Blue technical indicators you can presently evaluate if the expected return of 0.0194% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.09 
correlation synergy

Virtually no predictability

Goldman Sachs Blue Chip Fund C has virtually no predictability. Overlapping area represents the amount of predictability between Goldman Sachs time series from July 23, 2019 to September 6, 2019 and September 6, 2019 to October 21, 2019. 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 Blue price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Goldman Sachs price fluctuation can be explain by its past prices.
Correlation Coefficient0.09
Spearman Rank Test0.14
Residual Average0.0
Price Variance0.02

Goldman Sachs Blue lagged returns against current returns

 Current and Lagged Values 

Goldman Sachs regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Goldman Sachs Lagged Returns

 Regressed Prices 

Current Sentiment - GDEUX

Goldman Sachs Blue Investor Sentiment

Macroaxis portfolio users are indifferent in their judgment towards investing in Goldman Sachs Blue Chip Fund C. What is your judgment towards investing in Goldman Sachs Blue Chip Fund C? Are you bullish or bearish?
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Please also check Goldman Sachs Hype Analysis, Goldman Sachs Correlation, Portfolio Optimization, Goldman Sachs Volatility as well as analyze Goldman Sachs Alpha and Beta and Goldman Sachs Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.