Goldman Sachs ActiveBeta® Emerging Markets Equity ETF

10-Year Study

GEM.US · · US · ETF

Executive Summary: Goldman Sachs ActiveBeta® Emerging Markets Equity ETF has compounded at 9.1% annually over the last 10 years, with a maximum drawdown of 34.4% and an annualized volatility of 15.7%.

1Y CAGR
+43.8%
3Y CAGR
+21.1%
5Y CAGR
+6.0%
10Y CAGR
+9.1%

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 →
34.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.34
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 →
16.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +36.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -21.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20268.15.7-9.29.9————————14.0%
20251.70.51.70.64.36.90.62.85.83.4-1.22.433.4%
2024-4.14.42.1-0.11.92.41.10.75.6-3.8-1.8-1.46.7%
20238.8-6.14.10.0-2.63.75.2-6.3-2.1-3.07.23.511.8%
2022-1.1-3.6-3.3-6.10.8-6.1-0.7-1.8-10.4-1.414.5-2.7-21.3%
20212.20.80.41.71.80.3-5.51.6-3.50.2-3.23.4-0.2%
2020-5.1-4.9-15.67.63.14.68.51.3-0.70.68.67.213.0%
201910.1-1.60.32.6-6.76.2-2.0-3.41.73.9-0.67.117.8%
20187.8-5.70.7-2.1-2.7-4.32.3-3.20.4-8.64.3-3.1-14.2%
20176.51.93.32.02.40.26.01.9-0.13.4-0.14.236.4%
2016———0.1-3.14.75.00.72.6-0.6-4.6-0.73.7%

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 15.7%. The dominant macroeconomic risk driver is VWO.US, accounting for 64.8% of variance. Idiosyncratic stock-specific factors contribute 1.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110008.973264522136
2016-05-019702.863683985875
2016-06-0110156.280315082844
2016-07-0110662.178417601179
2016-08-0110734.983120561872
2016-09-0111010.195568662448
2016-10-0110948.449807923635
2016-11-0110446.771564937331
2016-12-0110374.83993636258
2017-01-0111045.555081292927
2017-02-0111258.779247991928
2017-03-0111632.406581040705
2017-04-0111869.203756160025
2017-05-0112156.396725000968
2017-06-0112185.499204532223
2017-07-0112910.975515113887
2017-08-0113160.62628535951
2017-09-0113142.388731519924
2017-10-0113590.178883240851
2017-11-0113582.321213767413
2017-12-0114154.524465484457
2018-01-0115261.243257925575
2018-02-0114387.732334794924
2018-03-0114485.080128826978
2018-04-0114176.448333398004
2018-05-0113788.706297776569
2018-06-0113198.362500485038
2018-07-0113500.688758682238
2018-08-0113075.06499553762
2018-09-0113132.445384346745
2018-10-0112009.332195103021
2018-11-0112522.748438166931
2018-12-0112137.868146366069
2019-01-0113358.91117923247
2019-02-0113149.373326607425
2019-03-0113190.892864072017
2019-04-0113531.391874587714
2019-05-0112627.42035621435
2019-06-0113412.556749835085
2019-07-0113147.336153040236
2019-08-0112706.627604671916
2019-09-0112924.508168095921
2019-10-0113431.42485739785
2019-11-0113349.016336191844
2019-12-0114297.660160645686
2020-01-0113573.202436847618
2020-02-0112911.218035776648
2020-03-0110896.016840634822
2020-04-0111728.735788289161
2020-05-0112090.964650188196
2020-06-0112642.214116642735
2020-07-0113714.883008032284
2020-08-0113890.17694307555
2020-09-0113796.56396725001
2020-10-0113876.54728182841
2020-11-0115067.275231849753
2020-12-0116156.872065499978
2021-01-0116512.455861239378
2021-02-0116647.879399324822
2021-03-0116715.639672500096
2021-04-0116999.243335532185
2021-05-0117312.483023553603
2021-06-0117364.23693298669
2021-07-0116406.910868806022
2021-08-0116662.18811842769
2021-09-0116077.22827984944
2021-10-0116111.908734624187
2021-11-0115596.212797330334
2021-12-0116125.392883473669
2022-01-0115946.75216328431
2022-02-0115371.63866361414
2022-03-0114860.162585852315
2022-04-0113947.848356679988
2022-05-0114061.88157230996
2022-06-0113208.596872453532
2022-07-0113119.834309883201
2022-08-0112888.954638935236
2022-09-0111545.826704435216
2022-10-0111384.938496759924
2022-11-0113034.32152419386
2022-12-0112685.188778083892
2023-01-0113805.440223507041
2023-02-0112963.020449342284
2023-03-0113495.547320631715
2023-04-0113495.547320631715
2023-05-0113151.022467114197
2023-06-0113641.350743083309
2023-07-0114348.49249156028
2023-08-0113449.710915369988
2023-09-0113171.539715183733
2023-10-0112774.048348919327
2023-11-0113697.664040976291
2023-12-0114183.77245741337
2024-01-0113596.823949400487
2024-02-0114188.42885413837
2024-03-0114484.207054441036
2024-04-0114474.94276512359
2024-05-0114747.632998331457
2024-06-0115098.89992627372
2024-07-0115265.269100927399
2024-08-0115370.183539637575
2024-09-0116226.572503977339
2024-10-0115616.487524737106
2024-11-0115339.18939893679
2024-12-0115129.215009118778
2025-01-0115385.171316596174
2025-02-0115460.983275775096
2025-03-0115726.397889100152
2025-04-0115816.470063249388
2025-05-0116494.26681153234
2025-06-0117636.53913313414
2025-07-0117736.06961313104
2025-08-0118238.475418105623
2025-09-0119304.887276395948
2025-10-0119963.71890885103
2025-11-0119723.720460983277
2025-12-0120187.41996818129
2026-01-0121832.389119552987
2026-02-0123083.11668154127
2026-03-0120953.785262504367
2026-04-0123020.061309223544
Annual Return Matrix
YearAnnual Return
20170.36431256311478455
2018-0.14247432501430668
20190.17793833218778476
20200.1300360956942992
2021-0.0019483463072983431
2022-0.2133407930119655
20230.1181364901654891
20240.0666566355702678
20250.33433360263660705
20260.14031715521383958
Total Factor Risk
0.15745777111929024
VTI.US Exposure
-0.08848782581937634
VEA.US Exposure
0.20320267028138472
VWO.US Exposure
0.6479293769672758
QQQ.US Exposure
0.07470901108856998
VTV.US Exposure
0.05851511529417109
IJR.US Exposure
-0.020783485174659753
QUAL.US Exposure
-0.040789385827709634
SHV.US Exposure
0.15535742823077198
TLT.US Exposure
0.03731788592017904
LQD.US Exposure
-0.03363524343108478
HYG.US Exposure
0.008085810064495305
GLD.US Exposure
0.02260731288351101
USO.US Exposure
-0.004301483125707232
VNQ.US Exposure
-0.00009958481671407014
BTC-USD.CC Exposure
-0.002746884653931077
CPER.US Exposure
-0.0010060080986862177
VIX.INDX Exposure
0.004584763169794505
UUP.US Exposure
-0.026472943519053816
TIP.US Exposure
-0.007041743531219625
Idiosyncratic Exposure
0.013055214097989088
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
15.7%

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
$0
Avg Yield on Cost
0.00%

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 →
+5.2%
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 →
+15.0%
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 →
1.6% 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 →
0.91
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Goldman Sachs ActiveBeta® Emerging Markets Equity ETF a high-risk investment?

Goldman Sachs ActiveBeta® Emerging Markets Equity ETF (GEM.US) has an annualized volatility of 15.7% and experienced a maximum drawdown of 34.4% over the last 10 years. Its primary macro risk driver is VWO.US.

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

Over the past 10 years, GEM.US has generated a Compound Annual Growth Rate (CAGR) of 9.1%. It has had a positive return in 70% 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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