- Issuer
- Goldman Sachs
- Inception Date
- Mar 28, 2021
- Category
- Large Cap Blend Equities
- Min. Investment
- $1,000,000
- Distribution Policy
- Distributing
- Asset Class
- Equity
Share Price Chart
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Performance
SVPFX Performance Chart
Goldman Sachs Strategic Volatility Premium Fund (SVPFX) is up 2.0% since the beginning of the year. SVPFX is currently trading at $10 per share. Investors who bought $1,000 worth of SVPFX shares 5 years ago would now be looking at an investment worth $1,112.
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Returns By Period
Goldman Sachs Strategic Volatility Premium Fund (SVPFX) has returned 2.00% so far this year and 5.61% over the past 12 months.
Goldman Sachs Strategic Volatility Premium Fund
- 1D
- 0.00%
- 1M
- 0.71%
- 6M
- 2.00%
- YTD
- 2.00%
- 1Y
- 5.61%
- 3Y*
- 4.80%
- 5Y*
- 2.15%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.42%
- 1M
- 4.24%
- 6M
- 8.74%
- YTD
- 10.66%
- 1Y
- 20.62%
- 3Y*
- 19.50%
- 5Y*
- 11.63%
- 10Y*
- 13.41%
SVPFX Monthly Returns History
Based on dividend-adjusted daily data since Apr 7, 2021, SVPFX's average daily return is +0.01%, while the average monthly return is +0.18%. At this rate, an investment would double in approximately 32.1 years.
Historically, 58% of months were positive and 42% were negative. The best month was Mar 2023 with a return of +2.1%, while the worst month was Mar 2022 at -1.8%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 5 months.
On a daily basis, SVPFX closed higher 39% of trading days. The best single day was Dec 20, 2023 with a return of +4.3%, while the worst single day was Apr 4, 2025 at -4.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.20% | 1.12% | -0.35% | 0.51% | 0.10% | 0.41% | 0.00% | 2.00% | |||||
| 2025 | 1.36% | -0.21% | 0.41% | -0.41% | -0.41% | 0.21% | -0.10% | 1.14% | 0.45% | 0.62% | 0.72% | 0.36% | 4.19% |
| 2024 | 0.52% | -0.62% | 0.52% | -0.72% | 1.04% | 0.93% | 1.64% | 0.70% | 1.10% | -1.48% | 0.40% | -0.23% | 3.82% |
| 2023 | 1.15% | -1.35% | 2.10% | 0.51% | -0.61% | -0.82% | 0.42% | 0.52% | -0.51% | 0.21% | 1.86% | 1.77% | 5.30% |
| 2022 | -0.40% | -0.20% | -1.80% | -0.71% | 0.82% | -1.33% | 0.93% | -1.23% | -1.45% | -0.21% | 1.26% | -0.09% | -4.37% |
| 2021 | 0.20% | 0.20% | -0.00% | 0.50% | 0.10% | -0.10% | -0.40% | 0.30% | -0.02% | 0.78% |
Benchmark Metrics
Goldman Sachs Strategic Volatility Premium Fund has an annualized alpha of 1.94%, beta of 0.03, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since April 07, 2021.
- This fund participated in 10.31% of S&P 500 Index downside but only 10.28% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.03 may look defensive, but with R2 of 0.01 this fund is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R2 of 0.01 means this fund moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 1.94%
- Beta
- 0.03
- R²
- 0.01
- Upside Capture
- 10.28%
- Downside Capture
- 10.31%
Expense Ratio
SVPFX has an expense ratio of 0.38%, placing it in the medium range.
Return for Risk
Risk / Return Rank
SVPFX ranks 95 for risk / return — in the top 95% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Goldman Sachs Strategic Volatility Premium Fund (SVPFX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SVPFX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.00 | ||
| Sortino ratioReturn per unit of downside risk | +1.70 | ||
| Omega ratioGain probability vs. loss probability | 1.60 | 1.30 | +0.30 |
| Calmar ratioReturn relative to maximum drawdown | 6.48 | 2.28 | +4.20 |
| Martin ratioReturn relative to average drawdown | 23.92 | 9.88 | +14.04 |
Dividends
Dividend History
Goldman Sachs Strategic Volatility Premium Fund provided a 3.19% dividend yield over the last twelve months, with an annual payout of $0.31 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
| Dividend | $0.31 | $0.18 | $0.42 | $0.41 | $0.07 | $0.04 |
Dividend yield | 3.19% | 1.83% | 4.37% | 4.29% | 0.76% | 0.38% |
Monthly Dividends
The table displays the monthly dividend distributions for Goldman Sachs Strategic Volatility Premium Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.07 | $0.00 | $0.14 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.08 | $0.18 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.42 | $0.42 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.41 | $0.41 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.07 | $0.07 |
| 2021 | $0.04 | $0.04 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Goldman Sachs Strategic Volatility Premium Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Goldman Sachs Strategic Volatility Premium Fund was 6.37%, occurring on Oct 20, 2022. Recovery took 293 trading sessions.
The current Goldman Sachs Strategic Volatility Premium Fund drawdown is 0.20%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -6.37%Oct 2022 | 1y 28d | 1y 2mo | 2y 2moSep 2021 - Dec 2023 |
2025 selloff2025 | -5.32%Apr 2025 | 18d | 5mo | 5mo 18dMar 2025 - Sep 2025 |
2024 pullback2024 | -4.30%Feb 2024 | 1mo 24d | 5mo 21d | 7mo 15dDec 2023 - Aug 2024 |
2024 pullback2024 | -2.46%Nov 2024 | 1mo 14d | 3mo 25d | 5mo 9dSep 2024 - Mar 2025 |
2025 selloff2025 | -1.54%Mar 2025 | 3d | 3d | 6dMar 2025 - Mar 2025 |
Drawdown Indicators
| SVPFX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -6.37% | -56.78% | +50.41% |
Max Drawdown (1Y)Largest decline over 1 year | -0.91% | -9.10% | +8.19% |
Max Drawdown (3Y)Largest decline over 3 years | -5.32% | -18.90% | +13.58% |
Max Drawdown (5Y)Largest decline over 5 years | -6.37% | -25.43% | +19.06% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.20% | -0.45% | +0.25% |
Average DrawdownAverage peak-to-trough decline | -1.90% | -10.71% | +8.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.39% | 2.09% | -1.70% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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