Goldman Sachs Risk Analysis And Volatility

GDEUX -- USA Fund  

USD 13.90  0.05  0.36%

We consider Goldman Sachs not too volatile. Goldman Sachs Blue holds Efficiency (Sharpe) Ratio of 0.0307 which attests that the entity had 0.0307% 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 0.0294%.

90 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Moves indifferently to market moves
Horizon     30 Days    Login   to change

Goldman Sachs Market Sensitivity

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.
3 Months Beta |Analyze Goldman Sachs Blue Demand Trend
Check current 30 days Goldman Sachs correlation with market (DOW)
β = -0.1404

Goldman Sachs Central Daily Price Deviation

Goldman Sachs Blue Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Goldman Sachs Blue price series. View also all equity analysis or get more info about median price price transform indicator.

Goldman Sachs Projected Return Density Against Market

Assuming 30 trading days horizon, Goldman Sachs Blue Chip Fund C has beta of -0.1404 . This indicates as returns on benchmark increase, returns on holding Goldman Sachs are expected to decrease at a much smaller rate. During bear market, however, Goldman Sachs Blue Chip Fund C is likely to outperform the market. Moreover, The company has an alpha of 0.0187 implying that it can potentially generate 0.0187% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Goldman Sachs is 3259.37. The daily returns are destributed with a variance of 0.92 and standard deviation of 0.96. The mean deviation of Goldman Sachs Blue Chip Fund C is currently at 0.72. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.0187
β
Beta against DOW=0.14
σ
Overall volatility
=0.96
Ir
Information ratio =0.06

Goldman Sachs Return Volatility

the fund shows 0.9574% volatility of returns over 30 trading days. the entity inherits 0.9844% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Goldman Sachs Investment Opportunity

DOW has a standard deviation of returns of 0.98 and is 1.02 times more volatile than Goldman Sachs Blue Chip Fund C. of all equities and portfolios are less risky than Goldman Sachs. Compared to the overall equity markets, volatility of historical daily returns of Goldman Sachs Blue Chip Fund C is lower than 8 () of all global equities and portfolios over the last 30 days. Use Goldman Sachs Blue Chip Fund C to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Goldman Sachs to be traded at $13.76 in 30 days. . 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.

Goldman Sachs correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Blue Chip Fund C and equity matching DJI index in the same portfolio.

Goldman Sachs Current Risk Indicators

Goldman Sachs Suggested Diversification Pairs

Please also check Risk vs Return Analysis. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.
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