Description

Goldman Sachs Innovate Equity ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of Goldman Sachs Innovate Equity ETF is %, which is lower, thus worse compared to the benchmark SPY (67.7%) in the same period.
  • Compared with SPY (37%) in the period of the last 3 years, the total return of % is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of % in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
  • During the last 3 years, the annual performance (CAGR) is %, which is smaller, thus worse than the value of 11.1% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • The volatility over 5 years of Goldman Sachs Innovate Equity ETF is %, which is lower, thus better compared to the benchmark SPY (21.4%) in the same period.
  • Looking at 30 days standard deviation in of % in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (24.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:
  • Looking at the downside risk of % in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
  • During the last 3 years, the downside volatility is %, which is smaller, thus better than the value of 17.9% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.39)
  • Compared with SPY (0.34) in the period of the last 3 years, the Sharpe Ratio of is smaller, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.54)
  • Looking at excess return divided by the downside deviation in of in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.48).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:
  • Compared with the benchmark SPY (8.47 ) in the period of the last 5 years, the Downside risk index of of Goldman Sachs Innovate Equity ETF is lower, thus better.
  • During the last 3 years, the Downside risk index is , which is smaller, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of days in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum reduction from previous high in of days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of Goldman Sachs Innovate Equity ETF is days, which is lower, thus better compared to the benchmark SPY (231 days) in the same period.
  • Looking at maximum days below previous high in of days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (231 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:
  • Looking at the average time in days below previous high water mark of days in the last 5 years of Goldman Sachs Innovate Equity ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (54 days)
  • Compared with SPY (58 days) in the period of the last 3 years, the average days below previous high of days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Goldman Sachs Innovate Equity ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.