Despite recent market turbulence and worsening liquidity conditions, the performance gap between high- and low-liquidity stocks has remained surprisingly stable, David Kostin, chief U.S. equity strategist at Goldman Sachs, said in an April 11 report.

Typically, in times of market stress, highly liquid stocks are among the first to be sold as investors look to reduce risk quickly. This dynamic often causes these stocks to underperform during broad market drawdowns. However, Kostin said the current environment is proving to be an exception.

Goldman Sachs maintains two custom equity baskets, each with 50 stocks from the Russell 1000 Index, to monitor this trend. The firm rebalanced both baskets, including the Low Liquidity (GSTHLLIQ) portfolio below, to reflect the evolving market landscape.

The illiquidity ratio measures how trading volumes affect a stock's price. In this case, it's the one-month average of the daily absolute value of returns divided by the dollars of trading volumes.

Goldman's latest rebalance continues to highlight how liquidity and quality factors interact in periods of financial stress, offering insight into how investors might navigate challenging trading environments.

Constituents of the Goldman Sachs Low Liquidity basket (GSTHLLIQ)
Ticker	Name	Illiquidity ratio (12-month average)
TFSL	TFS Financial Corp.	317
LLYVA	Liberty Live Group/Series A	270
PLTK	Playtika Holding Corp.	254
UHAL	U-Haul Holding Company	211
CERT	Certara Inc.	189
SEB	Seaboard Corp.	176
LOAR	Loar Holdings Inc.	147
UWMC	UWM Holdings Corp.	132
UI	Ubiquiti Inc.	129
SHC	Sotera Health Company	115
FTRE	Fortrea Holdings Inc.	112
IPGP	IPG Photonics Corp.	101
BOKF	BOK Financial Corp.	97
LEG	Leggett & Platt, Incorporated	93
TXG	10x Genomics Inc	90
FHB	First Hawaiian Inc.	83
AS	Amer Sports Inc.	79
CLVT	Clarivate PLC	78
CNA	CNA Financial Corp.	75
HAYW	Hayward Holdings Inc.	75
VSTS	Vestis Corp.	75
AZTA	Azenta Inc.	73
DXC	DXC Technology Co.	72
CXT	Crane NXT Co.	72
BHF	Brighthouse Financial Inc.	71
SNDR	Schneider National Inc.	70
CC	Chemours Co.	67
CNXC	Concentrix Corp.	66
NFE	New Fortress Energy Inc.	66
NEU	NewMarket Corp.	65
GO	Grocery Outlet Holding Corp.	64
CWEN	Clearway Energy Inc. Class C	63
IRDM	Iridium Communications Inc.	63
QDEL	QuidelOrtho Corp.	63
QS	QuantumScape Corp.	62
REYN	Reynolds Consumer Products Inc	61
HHH	Howard Hughes Holdings Inc.	61
KMPR	Kemper Corp	59
CACC	Credit Acceptance Corp.	58
ALGM	Allegro MicroSystems Inc.	56
RARE	Ultragenyx Pharmaceutical Inc.	56
TRIP	TripAdvisor Inc.	56
ENOV	Enovis Corp.	56
ESAB	ESAB Corp.	55
PINC	Premier Inc.	55
RYN	Rayonier Inc.	54
HIW	Highwoods Properties, Inc.	54
WTM	White Mountains Insurance Group Ltd	54
VAC	Marriott Vacations Worldwide Corp.	53
AMKR	Amkor Technology, Inc.	53
Source: Goldman Sachs