Goldman Sachs Group (GS)

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.'

• Looking at the total return, or performance of 36.4% in the last 5 years of Goldman Sachs Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.7%)
• During the last 3 years, the total return is 34.3%, which is lower, thus worse than the value of 47.9% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of Goldman Sachs Group is 6.4%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
• During the last 3 years, the annual return (CAGR) is 10.4%, which is smaller, thus worse than the value of 14% 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 23.2% in the last 5 years of Goldman Sachs Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.3%)
• Looking at historical 30 days volatility in of 23.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.5%).

DownVol:

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

• Looking at the downside deviation of 24.1% in the last 5 years of Goldman Sachs Group, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
• Looking at downside risk in of 24.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.2%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.17 in the last 5 years of Goldman Sachs Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.64)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.33, which is lower, thus worse than the value of 0.91 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of 0.16 in the last 5 years of Goldman Sachs Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
• Compared with SPY (0.81) in the period of the last 3 years, the excess return divided by the downside deviation of 0.32 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Ulcer Ratio of 16 of Goldman Sachs Group is greater, thus better.
• During the last 3 years, the Ulcer Ratio is 15 , which is greater, thus better than the value of 4.01 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 drop from peak to valley over 5 years of Goldman Sachs Group is -42.2 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Looking at maximum reduction from previous high in of -42.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 363 days in the last 5 years of Goldman Sachs Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
• Looking at maximum days below previous high in of 300 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

• Looking at the average time in days below previous high water mark of 115 days in the last 5 years of Goldman Sachs Group, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
• During the last 3 years, the average days below previous high is 95 days, which is greater, thus worse than the value of 36 days from the benchmark.