PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GSJY vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GSJY and ^GSPC is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

GSJY vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
70.24%
196.54%
GSJY
^GSPC

Key characteristics

Sharpe Ratio

GSJY:

0.62

^GSPC:

2.10

Sortino Ratio

GSJY:

0.95

^GSPC:

2.80

Omega Ratio

GSJY:

1.12

^GSPC:

1.39

Calmar Ratio

GSJY:

0.93

^GSPC:

3.09

Martin Ratio

GSJY:

2.66

^GSPC:

13.49

Ulcer Index

GSJY:

4.07%

^GSPC:

1.94%

Daily Std Dev

GSJY:

17.41%

^GSPC:

12.52%

Max Drawdown

GSJY:

-32.53%

^GSPC:

-56.78%

Current Drawdown

GSJY:

-7.17%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, GSJY achieves a 7.46% return, which is significantly lower than ^GSPC's 24.34% return.


GSJY

YTD

7.46%

1M

0.14%

6M

3.29%

1Y

9.04%

5Y*

3.99%

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

GSJY vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for GSJY, currently valued at 0.62, compared to the broader market0.002.004.000.622.10
The chart of Sortino ratio for GSJY, currently valued at 0.95, compared to the broader market-2.000.002.004.006.008.0010.000.952.80
The chart of Omega ratio for GSJY, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.39
The chart of Calmar ratio for GSJY, currently valued at 0.93, compared to the broader market0.005.0010.0015.000.933.09
The chart of Martin ratio for GSJY, currently valued at 2.66, compared to the broader market0.0020.0040.0060.0080.00100.002.6613.49
GSJY
^GSPC

The current GSJY Sharpe Ratio is 0.62, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of GSJY and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.62
2.10
GSJY
^GSPC

Drawdowns

GSJY vs. ^GSPC - Drawdown Comparison

The maximum GSJY drawdown since its inception was -32.53%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for GSJY and ^GSPC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.17%
-2.62%
GSJY
^GSPC

Volatility

GSJY vs. ^GSPC - Volatility Comparison

Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) has a higher volatility of 4.77% compared to S&P 500 (^GSPC) at 3.79%. This indicates that GSJY's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.77%
3.79%
GSJY
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab