Goldman Sachs releases a summer cross-asset data update covering valuations, risk appetite, flows, and market risk indicators

Overview

This is a Goldman Sachs GOAL KICKSTART summer data-only update. The report covers global cross-asset markets and updates asset allocation forecasts, market performance, valuations, risk appetite, flows, positioning, volatility, liquidity, and macro risk indicators using data through the close of August 14, 2026.

Core views

The report's core value lies in providing a unified cross-asset monitoring framework rather than articulating new active investment views. It places equities, government bonds, credit, commodities, and foreign exchange within a single perspective to track relative valuations, risk premia, sentiment and positioning, return changes, and correlation structures; the extracted content does not include chart values sufficient to support specific bullish or bearish conclusions.

Analysis framework

It combines cross-sectional and time-series monitoring: historical percentiles are used to measure the ranges of valuations, returns, and volatility; fund flows and net futures positioning are used to observe investor behavior; rolling correlations, implied volatility, and skew are used to identify risk transmission; and multivariate Logit models assess the implied probabilities of a U.S. recession and substantial S&P 500 drawdowns or gains.

Methodology notes

• Risk AppetiteGS Risk Appetite Indicator

  Risk appetite level and momentum factors

  Tracks market willingness to take risk through the risk appetite indicator and its asset-class sub-indicators; the report notes that construction details are available in the July 2016 GOAL report.

• Macro FactorsPrincipal Component Analysis

  Global growth, monetary policy, and U.S. dollar factors

  Extracts common cross-asset drivers through principal component analysis, comparing the main components with the global growth score, U.S. 10-year TIPS yields, and USD TWI, respectively.

• Valuation methodsEquity Risk Premium and Relative Valuation

  Relative pricing of equities versus bonds and credit

  The equity risk premium is estimated using a single-stage DDM combined with local 10-year yields and consensus long-term GDP expectations; cross-asset valuations are presented as percentiles relative to the past 10 years.

• Risk ModelMultivariate Logit Model

  Probabilities of recession, drawdown, and upside

  The report uses univariate and multivariate Logit models to estimate the probability of a U.S. recession in the next year, an S&P 500 drawdown exceeding 20%, and a gain exceeding 35%, with Shapley values decomposing the contribution of drivers.

• Portfolio Strategy60/40, Risk Parity, and Volatility-Targeting Strategies

  Comparison of balanced portfolios across regions

  Compares regional 60/40 portfolios, risk-parity portfolios weighted inversely by realized volatility over the prior three months, and a U.S. 60/40 strategy overlaid with volatility-targeting and momentum layers.

Asset mapping & comparison

Structured mapping from thesis to named assets (strengths, weaknesses, peers, risks).

• Global Equities

  A cross-asset risk asset and valuation comparison benchmark

  Strengths

  Covers drawdown probabilities, style and sector valuations, earnings forecast revisions, equity risk premia, and equity-bond/equity-credit correlations.

  Weaknesses

  The extracted content does not retain specific values for market valuations, earnings revisions, or probability models.

  Comparison

  Compared with credit through excess returns and relative valuation monitoring; compared with government bonds and foreign exchange through rolling correlations.

  Risks

  Valuation mean reversion, downward earnings revisions, rising volatility, and changes in correlation structures may increase drawdown risk.

• Government Bonds

  A benchmark for macro rates and defensive assets

  Strengths

  Covers yield curves, real yields, inflation breakevens, 10-year spreads, and interest-rate volatility.

  Weaknesses

  Specific yields or curve slopes by maturity and region were not extracted.

  Comparison

  Forms the 60/40 portfolio comparison with equities and is monitored for correlations with equities and foreign exchange.

  Risks

  Inflation, changes in the monetary policy path, and term-premium volatility may affect bond allocation outcomes.

• Credit

  An object of relative-value comparison between risk assets and equities

  Strengths

  Covers excess-return comparisons of U.S. dollar, euro, and emerging-market cash and synthetic credit versus equities, as well as the relationship between CDS and equity volatility.

  Weaknesses

  Specific readings for credit spreads, excess returns, or relative valuations are not provided.

  Comparison

  Compared with equities through a framework of credit spreads less equity risk premia and relative equity-credit performance.

  Risks

  Spread widening, deteriorating liquidity, and rising equity volatility may simultaneously pressure credit assets.

• Commodities

  Inflation- and cycle-sensitive assets

  Strengths

  Covers curve shape, roll yield, spot and total returns, and correlations with other assets; the table indicates strong recent overall and energy returns.

  Weaknesses

  Apart from the S&P GSCI sub-sector table, detailed values for individual commodity curves and valuations were not extracted.

  Comparison

  Grouped by energy, industrial metals, precious metals, agriculture, and livestock, with correlations compared against other assets.

  Risks

  Commodity prices are highly sensitive to supply-demand shocks, the U.S. dollar, geopolitics, and global growth expectations.

• Foreign Exchange

  A cross-asset macro adjustment variable

  Strengths

  Covers three-month and 12-month U.S. dollar cross forecasts, forwards, recent performance, positioning, and interest-rate differential relationships.

  Weaknesses

  The extracted content does not retain specific FX forecast levels or positioning values.

  Comparison

  Highlights the relationships of EUR/USD with German-U.S. 2-year spreads and USD/JPY with U.S.-Japan 2-year spreads.

  Risks

  Monetary policy divergence, changes in interest-rate differentials, and reversals in risk appetite may lead to rapid exchange-rate volatility.

Key data

• Data CutoffClose of August 14, 2026The report explicitly states that prices are as of the close on this date.
• Report NatureSummer data-only updateThe report does not provide a full narrative update of market views.
• S&P GSCI ReturnsPast week 3.8%; past month 4.9%; past year 48.2%From the report's table of recent performance for S&P GSCI and its sub-sectors.
• Energy Sector ReturnsPast week 6.6%; past month 6.7%; past year 80.1%Energy's current weight in the S&P GSCI is 53.7%.
• Precious Metals ReturnsPast week 1.1%; past month 8.9%; past year 33.5%Precious metals' current weight in the S&P GSCI is 9.4%.
• Agriculture ReturnsPast week 2.8%; past month 2.3%; past year 11.0%Agriculture's current weight in the S&P GSCI is 14.7%.

Impact & implications

For asset allocation decisions, this report is suitable as a monitoring input for risk conditions and relative pricing: investors can combine risk appetite, valuation percentiles, flows, positioning, and volatility signals to assess whether portfolio exposures match the prevailing cross-asset environment. Since the extracted content lacks specific readings from most charts, specific trade directions or position sizes should not be inferred from it alone.

Risks

• This is a data-oriented update, and most key chart values are missing from the extracted text; quantitative conclusions should be verified against the original charts.
• Cross-asset correlations can change with macro regimes, and historical correlations and percentiles do not guarantee future hedging effectiveness.
• Risk appetite, fund flows, and futures positioning are market-state indicators that may reverse rapidly when crowded trades unwind.
• Logit probability models depend on historical samples, variable specifications, and model stability, and should not be regarded as deterministic forecasts of recession or market paths.
• Commodities have performed strongly recently, but prices may fluctuate significantly due to supply shocks, the U.S. dollar, and growth expectations.

What to watch

• The levels and momentum changes of the risk appetite indicator and its equity, credit, foreign-exchange, and commodity sub-indicators.
• Global fund flows, four-week rolling flows into risk and safe assets, and CFTC net positioning in equities, currencies, commodities, and U.S. Treasuries.
• Whether rolling correlations between equities and bonds, equities and credit, equities and foreign exchange, and commodities and other assets change significantly.
• Cross-asset implied and realized volatility, option skew, the linkage between CDS and equity volatility, and liquidity indicators such as market depth.
• Changes in U.S. recession probability, the policy path implied by Fed Funds futures, U.S. real rates, and inflation breakevens.
• Global equity valuations, equity risk premia, earnings forecast revisions, and relative valuations by style and sector.