Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF

10-Year Study

GLOV.US · · US · ETF

Executive Summary: Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF has compounded at 20.4% annually over the last 10 years, with a maximum drawdown of 61.7% and an annualized volatility of 100.8%.

1Y CAGR
+15.5%
3Y CAGR
+17.8%
5Y CAGR
+20.4%
10Y CAGR
+20.4%

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 →
61.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.49
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.52
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
138.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +219.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 4.8%
% 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.
20261.72.0-6.17.4————————4.8%
20253.61.8-0.91.13.32.5-0.23.11.4-0.72.30.219.0%
20241.83.12.8-4.43.71.43.53.81.4-2.54.7-4.315.3%
20233.4-2.53.02.7-2.75.21.5-1.5-2.9-1.37.23.816.3%
2022-11.3-1.9297.4-5.2-0.4-5.95.9-3.8-7.98.06.2-3.4219.0%
2021———————3.2-20.5-4.5-35.7-10.0-54.6%

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 100.8%. The dominant macroeconomic risk driver is SHV.US, accounting for 36.6% of variance. Idiosyncratic stock-specific factors contribute 16.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-07-0110000
2021-08-0110319.999694824219
2021-09-018203.743743896484
2021-10-017837.883758544923
2021-11-015041.2841796875
2021-12-014539.268112182617
2022-01-014027.3880004882812
2022-02-013949.8958587646484
2022-03-0115697.96
2022-04-0114874.88
2022-05-0114808.12
2022-06-0113930.439999999999
2022-07-0114754.320000000002
2022-08-0114197.720000000001
2022-09-0113075.68
2022-10-0114121.76
2022-11-0114992.88
2022-12-0114481.24
2023-01-0114979.4
2023-02-0114598.240000000002
2023-03-0115039.88
2023-04-0115441.68
2023-05-0115017.16
2023-06-0115801.96
2023-07-0116038.8
2023-08-0115790.52
2023-09-0115327.96
2023-10-0115132.36
2023-11-0116225.319999999998
2023-12-0116839.199999999997
2024-01-0117140.12
2024-02-0117665.16
2024-03-0118166.36
2024-04-0117369.12
2024-05-0118003.84
2024-06-0118247.64
2024-07-0118882.76
2024-08-0119593.879999999997
2024-09-0119874.6
2024-10-0119370.079999999998
2024-11-0120275.84
2024-12-0119413.84
2025-01-0120116.88
2025-02-0120478.2
2025-03-0120298.64
2025-04-0120523.24
2025-05-0121200.920000000002
2025-06-0121729.56
2025-07-0121693.879999999997
2025-08-0122376.28
2025-09-0122698.840000000004
2025-10-0122531.88
2025-11-0123047.88
2025-12-0123096
2026-01-0123500
2026-02-0123975.999999999996
2026-03-0122519.999999999996
2026-04-0124196
Annual Return Matrix
YearAnnual Return
20222.1902147311225866
20230.1628285975510384
20240.1528956244952253
20250.18966675320286974
20260.04762729476965699
Total Factor Risk
1.0076469539517776
VTI.US Exposure
-0.05502716352119465
VEA.US Exposure
-0.0009928112489203586
VWO.US Exposure
-0.0014132500853662423
QQQ.US Exposure
0.10002149334137565
VTV.US Exposure
0.04720568859682068
IJR.US Exposure
-0.02228320670216993
QUAL.US Exposure
0.027684696884479814
SHV.US Exposure
0.3655421802579145
TLT.US Exposure
0.0056941429563360235
LQD.US Exposure
0.09641768700197821
HYG.US Exposure
-0.004826900838579239
GLD.US Exposure
-0.00008149090996302973
USO.US Exposure
-0.0018018201850510582
VNQ.US Exposure
0.06716240682125411
BTC-USD.CC Exposure
0.010089236384333476
CPER.US Exposure
0.0026234852985899454
VIX.INDX Exposure
0.009692938077625828
UUP.US Exposure
-0.0007735988428381016
TIP.US Exposure
0.19326261216924615
Idiosyncratic Exposure
0.1618036745441284
Value Score
42.9
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
20.5
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
100.8%

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 →17.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.71%
Market Cap$198.7B
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
$75
Avg Yield on Cost
0.75%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$75.280.75%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 →
+5.7%
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 →
+8.3%
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 →
0.0% 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 →
0.75
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF a high-risk investment?

Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF (GLOV.US) has an annualized volatility of 100.8% and experienced a maximum drawdown of 61.7% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, GLOV.US has generated a Compound Annual Growth Rate (CAGR) of 20.4%. 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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