Goldman Sachs ETF Trust

10-Year Study

GMNY.US · · US · ETF

Executive Summary: Goldman Sachs ETF Trust has compounded at 19.6% annually over the last 10 years, with a maximum drawdown of 80.5% and an annualized volatility of 148.0%.

1Y CAGR
+5.0%
3Y CAGR
+75.4%
5Y CAGR
+19.6%
10Y CAGR
+19.6%

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 →
80.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.87
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
9.75
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
360.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +458.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -46.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.70.9-1.9—————————-0.2%
20250.41.1-1.4-0.70.00.6-0.50.91.80.90.20.43.8%
202415.2-5.22.5-30.6-30.424.0728.50.61.0-1.21.3-1.1458.2%
2023-4.8-6.2-20.3-15.85.5-6.18.1-9.2-6.2-23.632.1-2.6-46.4%
2022—-5.36.9-11.9-9.5-10.5-5.2-20.8-20.729.42.219.5-32.0%

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 148.0%. The dominant macroeconomic risk driver is QUAL.US, accounting for 24.1% of variance. Idiosyncratic stock-specific factors contribute 27.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-01-0110000
2022-02-019472.71538891947
2022-03-0110126.909366563972
2022-04-018918.599839548722
2022-05-018073.21801967111
2022-06-017226.222619225833
2022-07-016851.685714015069
2022-08-015424.677727155589
2022-09-014303.742413924626
2022-10-015568.702544397147
2022-11-015692.768106774504
2022-12-016801.2582851856705
2023-01-016475.646551532202
2023-02-016072.131180456843
2023-03-014839.218800310539
2023-04-014072.483447845198
2023-05-014294.649931955153
2023-06-014033.1810619562316
2023-07-014358.007460361013
2023-08-013956.0664030908856
2023-09-013709.590149726189
2023-10-012833.9385137554705
2023-11-013744.813245253802
2023-12-013648.796700426097
2024-01-014204.092276729796
2024-02-013986.416776768779
2024-03-014084.1906104184195
2024-04-012833.3782539698086
2024-05-011973.1985320222068
2024-06-012445.958814590687
2024-07-0120263.811321992063
2024-08-0120388.819542509023
2024-09-0120600.123760415103
2024-10-0120348.91878621499
2024-11-0120604.453416949138
2024-12-0120368.572031070453
2025-01-0120451.25998134788
2025-02-0120683.57576772795
2025-03-0120391.790875424536
2025-04-0120244.030734297365
2025-05-0120248.997105027578
2025-06-0120376.891763233893
2025-07-0120271.91881609011
2025-08-0120450.0290005686
2025-09-0120823.14351953092
2025-10-0121011.99295011834
2025-11-0121062.930085812855
2025-12-0121142.34956988322
2026-01-0121298.93881453078
2026-02-0121494.622310823874
2026-03-0121092.2189388372
Annual Return Matrix
YearAnnual Return
2023-0.46351152280544705
20244.582271006957407
20250.03798879654560161
2026-0.0023711002828857852
Total Factor Risk
1.4801175474160726
VTI.US Exposure
0.007943098062682898
VEA.US Exposure
0.046754984958629085
VWO.US Exposure
0.014236997281391241
QQQ.US Exposure
0.09736705922463336
VTV.US Exposure
0.0048627674754382144
IJR.US Exposure
0.00022154846000776096
QUAL.US Exposure
0.24080167584711437
SHV.US Exposure
0.06693976043594826
TLT.US Exposure
0.09377341176534437
LQD.US Exposure
0.012083771570604552
HYG.US Exposure
0.030827092112364902
GLD.US Exposure
0.0017380007731406361
USO.US Exposure
0.0002033316257532483
VNQ.US Exposure
0.03482516785754935
BTC-USD.CC Exposure
0.009111311162581032
CPER.US Exposure
0.0008320132483195438
VIX.INDX Exposure
-0.000020967779519249993
UUP.US Exposure
0.049811940070848146
TIP.US Exposure
0.017521232034745968
Idiosyncratic Exposure
0.2701658038124222
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
148.0%

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
$57
Avg Yield on Cost
0.57%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$57.30.57%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 →
+2.3%
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 →
+3.4%
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 →
1.9% 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 (GMNY.US) has an annualized volatility of 148.0% and experienced a maximum drawdown of 80.5% over the last 10 years. Its primary macro risk driver is QUAL.US.

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

Over the past 10 years, GMNY.US has generated a Compound Annual Growth Rate (CAGR) of 19.6%. It has had a positive return in 50% 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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