Goldman Sachs ActiveBeta® U.S. Small Cap Equity ETF

10-Year Study

GSSC.US · · US · ETF

Executive Summary: Goldman Sachs ActiveBeta® U.S. Small Cap Equity ETF has compounded at 9.5% annually over the last 10 years, with a maximum drawdown of 26.5% and an annualized volatility of 16.8%.

1Y CAGR
+26.8%
3Y CAGR
+16.6%
5Y CAGR
+6.1%
10Y CAGR
+9.5%

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 →
26.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.36
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
19.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +24.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
78%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20263.90.3-5.48.2————————6.7%
20252.6-4.7-5.9-3.16.65.00.38.01.2-0.31.30.310.8%
2024-3.13.73.6-6.14.5-1.211.3-2.00.5-1.611.2-8.311.1%
20238.7-1.2-5.0-2.4-1.18.36.2-4.0-4.9-6.08.311.517.3%
2022-8.11.30.2-7.90.8-8.410.5-3.6-9.511.73.7-6.2-16.8%
20216.76.02.12.00.91.5-2.52.5-2.85.1-2.33.324.1%
2020-2.9-9.2-14.44.55.33.03.55.1-3.22.616.97.516.0%
201910.35.0-2.93.6-7.76.71.0-4.42.52.83.61.823.1%
20181.8-3.21.51.26.01.21.54.0-2.5-9.30.5-11.0-9.2%
2017——————-0.0-3.28.51.02.8-0.68.4%

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 16.8%. The dominant macroeconomic risk driver is IJR.US, accounting for 86.2% of variance. Idiosyncratic stock-specific factors contribute 1.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2017-06-0110000
2017-07-019998.80902592169
2017-08-019674.614802976881
2017-09-0110493.921877639876
2017-10-0110600.971059329899
2017-11-0110900.625676847187
2017-12-0110836.673138549062
2018-01-0111031.605128389776
2018-02-0110677.054914983839
2018-03-0110834.70664646627
2018-04-0110967.763378378004
2018-05-0111626.095072967935
2018-06-0111769.870571584466
2018-07-0111950.760146129749
2018-08-0112433.215436131937
2018-09-0112116.47172544447
2018-10-0110994.961902678031
2018-11-0111047.891006483886
2018-12-019835.617880121536
2019-01-0110844.871471739292
2019-02-0111391.334694182784
2019-03-0111061.379480347541
2019-04-0111456.89366263305
2019-05-0110579.7827995646
2019-06-0111288.467770302646
2019-07-0111402.2473403887
2019-08-0110905.361876088842
2019-09-0111176.51620694144
2019-10-0111485.283161011386
2019-11-0111901.32087334406
2019-12-0112112.067891061877
2020-01-0111761.644541322645
2020-02-0110674.285207824976
2020-03-019134.023359710178
2020-04-019546.183482020446
2020-05-0110053.621530595568
2020-06-0110358.178529784045
2020-07-0110719.653011087137
2020-08-0111264.399015092135
2020-09-0110903.700051793523
2020-10-0111184.714540131672
2020-11-0113074.735008267577
2020-12-0114051.721511484591
2021-01-0114994.05897814424
2021-02-0115894.352290132365
2021-03-0116223.892047893776
2021-04-0116541.189700013016
2021-05-0116684.245074768245
2021-06-0116937.645582732537
2021-07-0116508.451761395267
2021-08-0116917.426720472842
2021-09-0116445.13625574368
2021-10-0117282.917277156288
2021-11-0116886.21212079247
2021-12-0117443.08944215328
2022-01-0116031.895947641457
2022-02-0116246.991405598685
2022-03-0116281.224986082221
2022-04-0114995.249952222552
2022-05-0115116.230760921648
2022-06-0113847.760276305984
2022-07-0115301.13641084728
2022-08-0114749.853897947369
2022-09-0113350.625538361828
2022-10-0114912.435708172576
2022-11-0115470.033153394692
2022-12-0114511.049746710281
2023-01-0115767.88746125872
2023-02-0115573.92486892361
2023-03-0114798.683835158108
2023-04-0114438.76038986398
2023-05-0114273.491963694678
2023-06-0115456.849347318508
2023-07-0116407.911391528574
2023-08-0115754.980625898424
2023-09-0114982.703178792906
2023-10-0114089.389528845115
2023-11-0115261.695780905085
2023-12-0117017.219269406643
2024-01-0116496.902082542812
2024-02-0117114.29750532476
2024-03-0117725.71036064357
2024-04-0116652.171865868622
2024-05-0117409.32671188675
2024-06-0117195.283742649888
2024-07-0119141.77853975499
2024-08-0118762.744115064714
2024-09-0118853.5628128038
2024-10-0118549.61514919028
2024-11-0120619.915856296513
2024-12-0118912.723757717096
2025-01-0119410.634013665735
2025-02-0118492.974637791544
2025-03-0117399.74352511709
2025-04-0116862.08797143878
2025-05-0117978.55692717609
2025-06-0118875.138831571338
2025-07-0118932.444072688195
2025-08-0120437.752216458157
2025-09-0120676.52867062365
2025-10-0120613.240862043658
2025-11-0120890.48854864575
2025-12-0120947.29524247401
2026-01-0121769.898268656052
2026-02-0121825.292411833296
2026-03-0120647.612927885133
2026-04-0122345.997357699373
Annual Return Matrix
YearAnnual Return
2018-0.09237662201570829
20190.23144961899559013
20200.16014223482466483
20210.24134892852074352
2022-0.168091765232676
20230.17270766529241088
20240.1113874398808603
20250.10757686258314503
20260.06677244479703837
Total Factor Risk
0.16753049382380003
VTI.US Exposure
0.35052228859788936
VEA.US Exposure
0.019681037821541472
VWO.US Exposure
-0.005466623092407164
QQQ.US Exposure
-0.10236387146339368
VTV.US Exposure
-0.11221865507498137
IJR.US Exposure
0.8624617273072798
QUAL.US Exposure
-0.03302831333453046
SHV.US Exposure
0.00016321283325155435
TLT.US Exposure
-0.01063327904564142
LQD.US Exposure
0.02892587714910064
HYG.US Exposure
-0.00568262188284749
GLD.US Exposure
0.005366707598551157
USO.US Exposure
-0.00000558370763156401
VNQ.US Exposure
-0.0010553276997148308
BTC-USD.CC Exposure
0.007868227633448369
CPER.US Exposure
-0.005832885336877959
VIX.INDX Exposure
0.0009319061843203835
UUP.US Exposure
-0.007179513283157418
TIP.US Exposure
-0.004651880208121627
Idiosyncratic Exposure
0.012197569003922338
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
16.8%

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 →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$56.780.57%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 →
+4.4%
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 →
+7.7%
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 →
0.7% 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 →
1.21
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Goldman Sachs ActiveBeta® U.S. Small Cap Equity ETF a high-risk investment?

Goldman Sachs ActiveBeta® U.S. Small Cap Equity ETF (GSSC.US) has an annualized volatility of 16.8% and experienced a maximum drawdown of 26.5% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, GSSC.US has generated a Compound Annual Growth Rate (CAGR) of 9.5%. It has had a positive return in 78% 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.

Run a Full Backtest on Goldman Sachs ActiveBeta® U.S. Small Cap Equity ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest