Goldman Sachs Innovate Equity ETF (GINN)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (108.7%) in the period of the last 5 years, the total return, or increase in value of % of Goldman Sachs Innovate Equity ETF is lower, thus worse.
• Looking at total return, or performance in of 72.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (76.8%).

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.'

• Looking at the annual performance (CAGR) 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 (15.9%)
• During the last 3 years, the annual return (CAGR) is 20%, which is smaller, thus worse than the value of 21.1% 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.'

• Looking at the volatility 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 (17.3%)
• Compared with SPY (16.8%) in the period of the last 3 years, the 30 days standard deviation of 19.9% is greater, thus worse.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Looking at the downside volatility 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 (11.9%)
• During the last 3 years, the downside volatility is 13.2%, which is higher, thus worse than the value of 10.9% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of Goldman Sachs Innovate Equity ETF is , which is lower, thus worse compared to the benchmark SPY (0.77) in the same period.
• Compared with SPY (1.11) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.88 is smaller, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (1.13) in the period of the last 5 years, the downside risk / excess return profile of of Goldman Sachs Innovate Equity ETF is lower, thus worse.
• Compared with SPY (1.7) in the period of the last 3 years, the downside risk / excess return profile of 1.33 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (8.43 ) 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 Ulcer Index is 5.49 , which is larger, thus worse than the value of 3.76 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum reduction from previous high over 5 years of Goldman Sachs Innovate Equity ETF is days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -22.3 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of days of Goldman Sachs Innovate Equity ETF is smaller, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 95 days is higher, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

• Looking at the average days under water of days 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 (120 days)
• During the last 3 years, the average days under water is 26 days, which is larger, thus worse than the value of 22 days from the benchmark.