Goldman Sachs has a long track record of beating the market, and so far this year has been no different. The S&P 500 tends to end the year down nearly 20%, but Goldman’s High Sharpe Ratio Basket outperformed. That’s just a 10% drop over the year. Baskets identify companies with the highest risk-adjusted return prospects compared to industry peers. To find the “Sharpe ratio,” the firm divides a given stock’s return against a consensus 12-month price target by the 6-month option’s implied volatility. The median stock in the basket is expected to generate a return of about 36%, while the median S&P 500 stock is expected to generate a return of 14%. The implied volatility of the median stock in the basket is only slightly higher than the median of the S&P stock (36% vs. 31%). Dish Network, Global Payments, Zoetis, and Amazon are among the names with the highest Sharpe ratios, but U.S. chief equity strategist David Kostin said returns to individual companies’ consensus price targets were “virtually certain.” “For context, at an index level, we predict that the S&P 500 will deliver roughly flat returns in 2023, with the index ending next year at 4000,” he said in a recent note. Our High Sharpe Ratio Baskets are constructed based on the relative rankings of stocks within each sector.” Dish has the highest volatility of any stock in the basket compared to its six-month implied volatility. It has a high expected return of 149%. The stock also topped CNBC Pro’s list of stocks with big upside potential, with others on Wall Street saying that Dish stock is perhaps the “biggest opportunity” to boost investment returns. says there is. Global Payments and Amazon also appeared on that list. Tyson Foods leads consumer staples with a Sharpe ratio of 0.8, down nearly 30% over the year. Citigroup, Mosaic, and Boston Properties are also new additions to the list alongside Tyson, slightly ahead of food distributors at 0.9. Goldman also added Southwest Airlines, whose Sharpe ratio exceeds 1.0, and his EQT Corp, an energy stock.
This Goldman portfolio is beating the market again this year. Here’s what’s in it
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