Goldman Sachs Cdr Stock Market Value
| GS Stock | 30.01 0.35 1.15% |
| Symbol | GOLDMAN |
GOLDMAN SACHS 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to GOLDMAN SACHS's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of GOLDMAN SACHS.
| 06/06/2024 |
| 12/03/2024 |
If you would invest 0.00 in GOLDMAN SACHS on June 6, 2024 and sell it all today you would earn a total of 0.00 from holding GOLDMAN SACHS CDR or generate 0.0% return on investment in GOLDMAN SACHS over 180 days. GOLDMAN SACHS is related to or competes with Canso Credit, Bank of Nova Scotia, Intact Financial, Cogeco Communications, Income Financial, Financial, and IGM Financial. GOLDMAN SACHS is entity of Canada. It is traded as Stock on NEO exchange. More
GOLDMAN SACHS Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure GOLDMAN SACHS's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess GOLDMAN SACHS CDR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.7 | |||
| Information Ratio | 0.0723 | |||
| Maximum Drawdown | 15.63 | |||
| Value At Risk | (2.23) | |||
| Potential Upside | 2.46 |
GOLDMAN SACHS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for GOLDMAN SACHS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as GOLDMAN SACHS's standard deviation. In reality, there are many statistical measures that can use GOLDMAN SACHS historical prices to predict the future GOLDMAN SACHS's volatility.| Risk Adjusted Performance | 0.1047 | |||
| Jensen Alpha | 0.1891 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.0945 | |||
| Treynor Ratio | 0.367 |
GOLDMAN SACHS CDR Backtested Returns
GOLDMAN SACHS appears to be very steady, given 3 months investment horizon. GOLDMAN SACHS CDR holds Efficiency (Sharpe) Ratio of 0.16, which attests that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for GOLDMAN SACHS CDR, which you can use to evaluate the volatility of the firm. Please utilize GOLDMAN SACHS's Market Risk Adjusted Performance of 0.377, semi deviation of 1.28, and Risk Adjusted Performance of 0.1047 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, GOLDMAN SACHS holds a performance score of 12. The company retains a Market Volatility (i.e., Beta) of 0.75, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, GOLDMAN SACHS's returns are expected to increase less than the market. However, during the bear market, the loss of holding GOLDMAN SACHS is expected to be smaller as well. Please check GOLDMAN SACHS's jensen alpha, potential upside, accumulation distribution, as well as the relationship between the treynor ratio and expected short fall , to make a quick decision on whether GOLDMAN SACHS's current trending patterns will revert.
Auto-correlation | 0.77 |
Good predictability
GOLDMAN SACHS CDR has good predictability. Overlapping area represents the amount of predictability between GOLDMAN SACHS time series from 6th of June 2024 to 4th of September 2024 and 4th of September 2024 to 3rd of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of GOLDMAN SACHS CDR price movement. The serial correlation of 0.77 indicates that around 77.0% of current GOLDMAN SACHS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.76 | |
| Residual Average | 0.0 | |
| Price Variance | 4.87 |
GOLDMAN SACHS CDR lagged returns against current returns
Autocorrelation, which is GOLDMAN SACHS stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting GOLDMAN SACHS's stock expected returns. We can calculate the autocorrelation of GOLDMAN SACHS returns to help us make a trade decision. For example, suppose you find that GOLDMAN SACHS has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
GOLDMAN SACHS regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If GOLDMAN SACHS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if GOLDMAN SACHS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in GOLDMAN SACHS stock over time.
Current vs Lagged Prices |
| Timeline |
GOLDMAN SACHS Lagged Returns
When evaluating GOLDMAN SACHS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of GOLDMAN SACHS stock have on its future price. GOLDMAN SACHS autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, GOLDMAN SACHS autocorrelation shows the relationship between GOLDMAN SACHS stock current value and its past values and can show if there is a momentum factor associated with investing in GOLDMAN SACHS CDR.
Regressed Prices |
| Timeline |
Pair Trading with GOLDMAN SACHS
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if GOLDMAN SACHS position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in GOLDMAN SACHS will appreciate offsetting losses from the drop in the long position's value.Moving together with GOLDMAN Stock
The ability to find closely correlated positions to GOLDMAN SACHS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace GOLDMAN SACHS when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back GOLDMAN SACHS - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling GOLDMAN SACHS CDR to buy it.
The correlation of GOLDMAN SACHS is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as GOLDMAN SACHS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if GOLDMAN SACHS CDR moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for GOLDMAN SACHS can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in GOLDMAN Stock
GOLDMAN SACHS financial ratios help investors to determine whether GOLDMAN Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in GOLDMAN with respect to the benefits of owning GOLDMAN SACHS security.