Goldman Sachs ETF Trust

10-Year Study

GCAL.US · · US · ETF

Executive Summary: Goldman Sachs ETF Trust has compounded at 3.5% annually over the last 10 years, with a maximum drawdown of 2.3% and an annualized volatility of 5.6%.

1Y CAGR
+5.9%
3Y CAGR
+3.5%
5Y CAGR
+3.5%
10Y CAGR
+3.5%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
2.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.27
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.53
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
3.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +4.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.70.9-2.10.8————————0.3%
20250.41.3-1.4-0.90.10.70.00.72.00.90.40.24.6%
2024———————0.81.1-1.11.2-0.91.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 5.6%. The dominant macroeconomic risk driver is TLT.US, accounting for 54.2% of variance. Idiosyncratic stock-specific factors contribute 1.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2024-07-0110000
2024-08-0110084.50904023515
2024-09-0110193.530083007028
2024-10-0110086.240526371786
2024-11-0110212.263511328718
2024-12-0110121.475226188417
2025-01-0110164.82496344061
2025-02-0110298.98384711186
2025-03-0110152.433363860338
2025-04-0110065.796473192215
2025-05-0110075.809886994453
2025-06-0110148.55316601197
2025-07-0110150.096900639815
2025-08-0110216.20629301335
2025-09-0110422.732952684535
2025-10-0110521.219049685309
2025-11-0110561.189259779247
2025-12-0110587.411887173861
2026-01-0110663.326080562088
2026-02-0110759.454853063584
2026-03-0110535.988835043612
2026-04-0110620.477014000006
Annual Return Matrix
YearAnnual Return
20250.046034461436992524
20260.0031230604021554864
Total Factor Risk
0.05616666496785354
VTI.US Exposure
-0.054326941668880115
VEA.US Exposure
-0.02019855433074294
VWO.US Exposure
0.08057427501794408
QQQ.US Exposure
0.10574216759834928
VTV.US Exposure
0.17530963621919654
IJR.US Exposure
-0.006501976098262459
QUAL.US Exposure
-0.09773153167381736
SHV.US Exposure
0.0061810252402547524
TLT.US Exposure
0.5419955698095467
LQD.US Exposure
0.00691971158824643
HYG.US Exposure
0.18170889470925186
GLD.US Exposure
-0.003996453134090276
USO.US Exposure
0.017895133901611585
VNQ.US Exposure
-0.032854986105296524
BTC-USD.CC Exposure
-0.0032919926800155886
CPER.US Exposure
-0.00037511460096465734
VIX.INDX Exposure
-0.015135822909267798
UUP.US Exposure
-0.010540546430024566
TIP.US Exposure
0.11699456197479166
Idiosyncratic Exposure
0.011632943572169367
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
5.6%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$30
Avg Yield on Cost
0.30%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$30.010.30%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.4%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.5%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Goldman Sachs ETF Trust a high-risk investment?

Goldman Sachs ETF Trust (GCAL.US) has an annualized volatility of 5.6% and experienced a maximum drawdown of 2.3% over the last 10 years. Its primary macro risk driver is TLT.US.

What is the 10-year return of GCAL.US?

Over the past 10 years, GCAL.US has generated a Compound Annual Growth Rate (CAGR) of 3.5%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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