Goldman Sachs ETF Trust

10-Year Study

GMUB.US · · US · ETF

Executive Summary: Goldman Sachs ETF Trust has compounded at 4.0% annually over the last 10 years, with a maximum drawdown of 2.2% and an annualized volatility of 6.3%.

1Y CAGR
+6.7%
3Y CAGR
+4.0%
5Y CAGR
+4.0%
10Y CAGR
+4.0%

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 →
2.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.13
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.18
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
3.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +6.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.4%
% 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.
20260.81.0-2.20.8————————0.4%
20250.51.0-1.2-0.40.31.2-0.11.11.70.90.30.56.0%
2024———————0.60.9-0.81.1-1.10.7%

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 6.3%. The dominant macroeconomic risk driver is SHV.US, accounting for 45.3% of variance. Idiosyncratic stock-specific factors contribute 1.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2024-07-0110000
2024-08-0110059.68720143333
2024-09-0110145.569871656837
2024-10-0110066.084498679773
2024-11-0110177.911763291639
2024-12-0110068.781398499354
2025-01-0110117.827344055426
2025-02-0110220.70675500233
2025-03-0110097.841016710325
2025-04-0110059.58267043257
2025-05-0110094.496024686041
2025-06-0110212.323368741467
2025-07-0110197.354529432794
2025-08-0110308.303733638284
2025-09-0110481.34435229456
2025-10-0110580.126148011715
2025-11-0110613.492443453955
2025-12-0110671.799835677268
2026-01-0110753.104048067535
2026-02-0110858.471296832502
2026-03-0110622.440297118916
2026-04-0110710.246337756385
Annual Return Matrix
YearAnnual Return
20250.059889912523851896
20260.0036026258617209983
Total Factor Risk
0.06299186942223034
VTI.US Exposure
0.09019451367148626
VEA.US Exposure
0.036750529099700266
VWO.US Exposure
0.017092041348572364
QQQ.US Exposure
0.052937240201243886
VTV.US Exposure
0.02970456691564748
IJR.US Exposure
0.04182289815441649
QUAL.US Exposure
-0.07459012828580601
SHV.US Exposure
0.4527127642368028
TLT.US Exposure
0.21812436845012634
LQD.US Exposure
0.12883980103816453
HYG.US Exposure
-0.011559707521201525
GLD.US Exposure
-0.007782443644960794
USO.US Exposure
0.011236030290432441
VNQ.US Exposure
-0.010139958019562214
BTC-USD.CC Exposure
-0.0013269631221868776
CPER.US Exposure
0.007032024392727139
VIX.INDX Exposure
-0.02538228234599735
UUP.US Exposure
-0.0059016544581422204
TIP.US Exposure
0.039123391842376794
Idiosyncratic Exposure
0.011112967756160245
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
37
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
6.3%

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 →3.08%
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
$59
Avg Yield on Cost
0.59%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$58.750.59%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 →
1.5% 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 (GMUB.US) has an annualized volatility of 6.3% and experienced a maximum drawdown of 2.2% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, GMUB.US has generated a Compound Annual Growth Rate (CAGR) of 4.0%. 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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