Goldman Sachs MarketBeta US Equity ETF

10-Year Study

GSUS.US · · US · ETF

Executive Summary: Goldman Sachs MarketBeta US Equity ETF has compounded at 16.8% annually over the last 10 years, with a maximum drawdown of 25.0% and an annualized volatility of 12.5%.

1Y CAGR
+21.6%
3Y CAGR
+21.2%
5Y CAGR
+12.2%
10Y CAGR
+16.8%

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 →
25.0%
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 →
1.48
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +27.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -19.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.1-1.0-5.28.0————————2.5%
20253.0-1.6-5.8-0.66.65.32.22.03.82.5-0.10.018.1%
20241.65.33.0-3.94.83.81.12.52.1-0.76.2-2.425.2%
20236.4-2.23.81.30.96.73.2-1.6-4.7-2.19.44.627.7%
2022-5.7-3.23.7-9.2-0.3-8.19.1-4.0-9.38.05.2-5.8-19.8%
2021-0.62.53.65.30.62.92.33.1-4.66.8-1.04.027.1%
2020—————2.65.58.1-3.8-3.211.84.226.8%

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 12.5%. The dominant macroeconomic risk driver is VTI.US, accounting for 92.7% of variance. Idiosyncratic stock-specific factors contribute 0.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-05-0110000
2020-06-0110264.402235099553
2020-07-0110828.120430352423
2020-08-0111704.561042080226
2020-09-0111259.50810210647
2020-10-0110896.084434793636
2020-11-0112177.824478946946
2020-12-0112683.646452594718
2021-01-0112610.661497330355
2021-02-0112929.46599341065
2021-03-0113390.40998392778
2021-04-0114103.333238435638
2021-05-0114192.830392798816
2021-06-0114601.442617520013
2021-07-0114931.168975700151
2021-08-0115386.755559926602
2021-09-0114672.952344965202
2021-10-0115669.481677411673
2021-11-0115510.467647218678
2021-12-0116125.016499258505
2022-01-0115209.055310690743
2022-02-0114728.493378297588
2022-03-0115267.857373939196
2022-04-0113870.480173714546
2022-05-0113833.573597045402
2022-06-0112710.847583085088
2022-07-0113871.101322269988
2022-08-0113323.06712804201
2022-09-0112088.715542430917
2022-10-0113055.610912544871
2022-11-0113732.429907267697
2022-12-0112929.388349841218
2023-01-0113759.294582290535
2023-02-0113449.936720490914
2023-03-0113961.60784303576
2023-04-0114146.632468987864
2023-05-0114276.633685403784
2023-06-0115231.183727978341
2023-07-0115725.566215730069
2023-08-0115479.643150154898
2023-09-0114747.74898351627
2023-10-0114433.059596615774
2023-11-0115787.499902945536
2023-12-0116515.79658420057
2024-01-0116783.69277992448
2024-02-0117675.817392677178
2024-03-0118197.530416868325
2024-04-0117485.150667346476
2024-05-0118321.7601279566
2024-06-0119010.277420473572
2024-07-0119211.16721577924
2024-08-0119694.317267153405
2024-09-0120098.219115329168
2024-10-0119947.74587777349
2024-11-0121187.144295397546
2024-12-0120685.204500221284
2025-01-0121299.391015603767
2025-02-0120956.465250620502
2025-03-0119737.66826008525
2025-04-0119622.186391152773
2025-05-0120923.466733612677
2025-06-0122029.421736576074
2025-07-0122518.57622398617
2025-08-0122972.972273481355
2025-09-0123850.05991495441
2025-10-0124446.569577696624
2025-11-0124423.069457349095
2025-12-0124431.843180694705
2026-01-0124710.06597115282
2026-02-0124470.66496540979
2026-03-0123186.957950830918
2026-04-0125040.051141231063
Annual Return Matrix
YearAnnual Return
20210.27132339737834443
2022-0.19817828710837193
20230.2773842147299561
20240.2524497013973446
20250.18112649939880177
20260.024894067796610075
Total Factor Risk
0.12508929443613656
VTI.US Exposure
0.9266413295324707
VEA.US Exposure
-0.014947996865220772
VWO.US Exposure
0.004791543982801982
QQQ.US Exposure
0.0795958127235792
VTV.US Exposure
0.04376921725431057
IJR.US Exposure
-0.07877435891302347
QUAL.US Exposure
0.021080557128592636
SHV.US Exposure
0.014629447599587243
TLT.US Exposure
-0.007288297506145384
LQD.US Exposure
0.003560009418101188
HYG.US Exposure
0.006707197291929659
GLD.US Exposure
0.0005166094598115024
USO.US Exposure
0.0018040789476980823
VNQ.US Exposure
-0.016080708648904086
BTC-USD.CC Exposure
-0.0027031923068085756
CPER.US Exposure
-0.00012976045749403214
VIX.INDX Exposure
0.008027586119208707
UUP.US Exposure
0.0012611346667515855
TIP.US Exposure
0.006672509900151343
Idiosyncratic Exposure
0.0008672806726019942
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
12.5%

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
$71
Avg Yield on Cost
0.71%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$70.660.71%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 →
+4.1%
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 →
+5.3%
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 →
1.02
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Goldman Sachs MarketBeta US Equity ETF a high-risk investment?

Goldman Sachs MarketBeta US Equity ETF (GSUS.US) has an annualized volatility of 12.5% and experienced a maximum drawdown of 25.0% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, GSUS.US has generated a Compound Annual Growth Rate (CAGR) of 16.8%. It has had a positive return in 83% 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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