- Issuer
- Goldman Sachs
- Inception Date
- May 30, 2008
- Category
- Multistrategy
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Asset Class Size
- Multi-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
GJRTX Performance Chart
Goldman Sachs Absolute Return Tracker Fund Institutional Class (GJRTX) is up 5.7% since the beginning of the year. GJRTX is currently trading at $11 per share. Investors who bought $1,000 worth of GJRTX shares 5 years ago would now be looking at an investment worth $1,306.
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Compare this symbol against anything
Returns By Period
Goldman Sachs Absolute Return Tracker Fund Institutional Class (GJRTX) has returned 5.70% so far this year and 12.03% over the past 12 months. Over the last ten years, GJRTX has returned 5.37% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
Goldman Sachs Absolute Return Tracker Fund Institutional Class
- 1D
- 0.80%
- 1M
- -0.35%
- 6M
- 4.14%
- YTD
- 5.70%
- 1Y
- 12.03%
- 3Y*
- 8.24%
- 5Y*
- 5.49%
- 10Y*
- 5.37%
- ALL TIME*
- 4.15%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
GJRTX Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 2009, GJRTX's average daily return is +0.02%, while the average monthly return is +0.35%. At this rate, an investment would double in approximately 16.5 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +5.1%, while the worst month was Mar 2020 at -6.9%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, GJRTX closed higher 47% of trading days. The best single day was Mar 13, 2020 with a return of +2.2%, while the worst single day was Mar 12, 2020 at -3.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.49% | 0.83% | -3.01% | 4.70% | 2.16% | 0.26% | -0.70% | 5.70% | |||||
| 2025 | 2.81% | -0.10% | -1.76% | -0.99% | 1.71% | 1.88% | 0.68% | 1.44% | 1.99% | 1.21% | 0.09% | 0.44% | 9.71% |
| 2024 | 0.21% | 2.01% | 1.56% | -1.02% | 1.34% | 0.61% | 0.81% | 0.40% | 1.90% | -1.87% | 2.30% | -1.34% | 7.04% |
| 2023 | 3.32% | -1.00% | 1.34% | 0.66% | -0.22% | 2.53% | 1.61% | -0.95% | -1.17% | -1.29% | 3.28% | 2.38% | 10.82% |
| 2022 | -2.04% | -1.35% | 1.48% | -3.02% | 0.11% | -2.79% | 2.21% | -1.40% | -3.28% | 2.26% | 3.65% | -1.96% | -6.26% |
| 2021 | -0.30% | 0.90% | 1.39% | 1.86% | 0.77% | 0.48% | -0.09% | 0.95% | -1.69% | 2.01% | -1.87% | 1.98% | 6.45% |
Benchmark Metrics
Goldman Sachs Absolute Return Tracker Fund Institutional Class has an annualized alpha of 0.35%, beta of 0.29, and R2 of 0.71 versus S&P 500 Index. Calculated based on daily prices since January 02, 2009.
- This fund participated in 41.35% of S&P 500 Index downside but only 30.63% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.29 indicates this fund moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.35%
- Beta
- 0.29
- R²
- 0.71
- Upside Capture
- 30.63%
- Downside Capture
- 41.35%
Expense Ratio
GJRTX has an expense ratio of 0.74%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GJRTX ranks 74 for risk / return — above 74% of mutual funds peers on PortfoliosLab. Its historical combined result is above most peers.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Goldman Sachs Absolute Return Tracker Fund Institutional Class (GJRTX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GJRTX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.32 | ||
| Sortino ratioReturn per unit of downside risk | +0.47 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.25 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.63 | 2.00 | +0.63 |
| Martin ratioReturn relative to average drawdown | 10.69 | 8.49 | +2.20 |
Dividends
Dividend History
Goldman Sachs Absolute Return Tracker Fund Institutional Class provided a 2.01% dividend yield over the last twelve months, with an annual payout of $0.23 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.23 | $0.23 | $0.11 | $0.26 | $0.46 | $0.87 | $0.06 | $0.35 | $0.24 | $0.34 | $0.06 | $0.16 |
Dividend yield | 2.01% | 2.13% | 1.14% | 2.71% | 5.24% | 8.88% | 0.61% | 3.60% | 2.69% | 3.52% | 0.64% | 1.80% |
Monthly Dividends
The table displays the monthly dividend distributions for Goldman Sachs Absolute Return Tracker Fund Institutional Class. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.23 | $0.23 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.11 | $0.11 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.26 | $0.26 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.46 | $0.46 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.87 | $0.87 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Goldman Sachs Absolute Return Tracker Fund Institutional Class. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Goldman Sachs Absolute Return Tracker Fund Institutional Class was 13.23%, occurring on Mar 23, 2020. Recovery took 176 trading sessions.
The current Goldman Sachs Absolute Return Tracker Fund Institutional Class drawdown is 1.14%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-13.23%Mar 2020 | 1mo 2d | 8mo 13d | 9mo 15dFeb 2020 - Dec 2020 | COVID crash2020 |
-10.82%Sep 2022 | 10mo 17d | 9mo 28d | 1y 8moNov 2021 - Jul 2023 | Bear market2022 |
-8.95%Oct 2011 | 5mo 4d | 1y 7mo | 2y 16dMay 2011 - May 2013 | — |
-8.48%Apr 2025 | 1mo 17d | 3mo 11d | 4mo 28dFeb 2025 - Jul 2025 | 2025 selloff2025 |
-7.92%Feb 2016 | 9mo 20d | 10mo 1d | 1y 7moApr 2015 - Dec 2016 | — |
Drawdown Indicators
| GJRTX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.23% | -56.78% | +43.55% |
Max Drawdown (1Y)Largest decline over 1 year | -4.28% | -9.10% | +4.82% |
Max Drawdown (3Y)Largest decline over 3 years | -8.48% | -18.90% | +10.42% |
Max Drawdown (5Y)Largest decline over 5 years | -10.82% | -25.43% | +14.61% |
Max Drawdown (10Y)Largest decline over 10 years | -13.23% | -33.92% | +20.69% |
Current DrawdownCurrent decline from peak | -1.14% | -1.58% | +0.44% |
Average DrawdownAverage peak-to-trough decline | -2.20% | -10.70% | +8.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.05% | 2.14% | -1.09% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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