Goldman Mutual Fund Volatility

GIMSX -  USA Fund  

USD 5.50  0.01  0.18%

Goldman Sachs Local holds Efficiency (Sharpe) Ratio of -0.0673, which attests that the entity had -0.0673% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Goldman Sachs Local exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Goldman Sachs risk adjusted performance of (0.08), and Market Risk Adjusted Performance of (0.23) to validate the risk estimate we provide.

Goldman Volatility 

 
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Goldman Sachs Mutual Fund 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.

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Barely shadows the market

Goldman Sachs Market Sensitivity And Downside Risk

Goldman Sachs' beta coefficient measures the volatility of Goldman mutual fund compared to the systematic risk of the entire stock 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 mutual fund's returns against your selected market. In other words, Goldman Sachs's beta of 0.18 provides an investor with an approximation of how much risk Goldman Sachs mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Goldman's beta means in this case. As returns on the market increase, Goldman Sachs returns are expected to increase less than the market. However, during the bear market, the loss on holding Goldman Sachs will be expected to be smaller as well.
3 Months Beta |Analyze Goldman Sachs Local Demand Trend
Check current 90 days Goldman Sachs correlation with market (DOW)

Goldman Beta

    
  0.18  
Goldman standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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.

Standard Deviation

    
  0.36  
It is essential to understand the difference between upside risk (as represented by Goldman Sachs's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Goldman Sachs stock's daily returns or price. Since the actual investment returns on holding a position in Goldman Sachs stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Goldman Sachs.

Goldman Sachs Local Mutual Fund Volatility 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 Local 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 the 90 days horizon Goldman Sachs has a beta of 0.1767 . This usually 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 Local 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 Goldman Sachs 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 stock's 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.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. Goldman Sachs Local is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Goldman Sachs Mutual Fund Risk Measures

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 Goldman Sachs 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 stock's 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.
Assuming the 90 days horizon the coefficient of variation of Goldman Sachs is -1486.96. The daily returns are distributed with a variance of 0.13 and standard deviation of 0.36. The mean deviation of Goldman Sachs Local is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
-0.04
β
Beta against DOW0.18
σ
Overall volatility
0.36
Ir
Information ratio -0.13

Goldman Sachs Mutual Fund Return Volatility

Goldman Sachs historical daily return volatility represents how much Goldman Sachs stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.3617% volatility of returns over 90 . By contrast, DOW inherits 0.7351% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

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.
The investment seeks a high level of total return consisting of income and capital appreciation. Goldman Sachs is traded on NASDAQ Exchange in the United States.

Goldman Sachs Investment Opportunity

DOW has a standard deviation of returns of 0.74 and is 2.06 times more volatile than Goldman Sachs Local. 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 Local is lower than 3 () of all global equities and portfolios over the last 90 days. Use Goldman Sachs Local to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Goldman Sachs to be traded at $5.78 in 90 days. . Let's try to break down what Goldman's beta means in this case. As returns on the market increase, Goldman Sachs returns are expected to increase less than the market. However, during the bear market, the loss on holding Goldman Sachs will be expected to be smaller as well.

Weak diversification

The correlation between Goldman Sachs Local and DJI is Weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Goldman Sachs Local 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 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(0.08)
Market Risk Adjusted Performance(0.23)
Mean Deviation0.3064
Coefficient Of Variation(1,154)
Standard Deviation0.3696
Variance0.1366
Information Ratio(0.13)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities 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.
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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 Local.
Please check Risk vs Return Analysis. Note that the Goldman Sachs Local information on this page should be used as a complementary analysis to other Goldman Sachs' statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.

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When running Goldman Sachs Local price analysis, check to measure Goldman Sachs' market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Goldman Sachs is operating at the current time. Most of Goldman Sachs' value examination focuses on studying past and present price action to predict the probability of Goldman Sachs' future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Goldman Sachs' price. Additionally, you may evaluate how the addition of Goldman Sachs to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Goldman Sachs' value and its price as these two are different measures arrived at by different means. Investors typically determine Goldman Sachs value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. 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.