PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
ABRSX vs. GTAPX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ABRSX vs. GTAPX

Last updated Jun 24, 2026

ABRSX (ABR 50/50 Volatility Fund) and GTAPX (Quantitative U.S. Long/Short Equity Portfolio) are both Long-Short funds. Over the past 5 years, ABRSX returned 5.87%/yr vs 9.27%/yr for GTAPX. At a 0.42 correlation, their price movements are largely independent. ABRSX charges 2.00%/yr vs 1.25%/yr for GTAPX.

Performance

ABRSX vs. GTAPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ABR 50/50 Volatility Fund (ABRSX) and Quantitative U.S. Long/Short Equity Portfolio (GTAPX). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ABRSX achieves a 4.01% return, which is significantly lower than GTAPX's 4.89% return.

ABRSX

1D
-0.33%
1M
4.25%
YTD
4.01%
6M
3.59%
1Y
28.87%
3Y*
10.95%
5Y*
5.87%
10Y*
—

GTAPX

1D
0.67%
1M
-0.15%
YTD
4.89%
6M
4.32%
1Y
14.07%
3Y*
11.22%
5Y*
9.27%
10Y*
5.85%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ABRSX vs. GTAPX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ABRSX
ABR 50/50 Volatility Fund		4.01%6.22%13.84%38.75%-34.12%40.73%5.69%79.73%-47.83%6.74%
GTAPX
Quantitative U.S. Long/Short Equity Portfolio		4.89%12.79%13.28%4.42%3.16%17.72%-5.16%3.26%-8.65%2.27%

Correlation

The correlation between ABRSX and GTAPX is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.37

Correlation (3Y)
Calculated over the trailing 3-year period

0.42

Correlation (5Y)
Calculated over the trailing 5-year period

0.41

Correlation (All Time)
Calculated using the full available price history since Oct 3, 2017

0.42

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

ABR 50/50 Volatility Fund

Quantitative U.S. Long/Short Equity Portfolio

Often compared with ABRSX:
ABRSX vs. VOLSXABRSX vs. ABRVXABRSX vs. LSEIXABRSX vs. ASILXABRSX vs. JAKVXABRSX vs. BDMIXABRSX vs. BTPIX
Often compared with GTAPX:
GTAPX vs. QAMNXGTAPX vs. LEQIXGTAPX vs. SPYGTAPX vs. GARIXGTAPX vs. SAOAXGTAPX vs. WRAIXGTAPX vs. RLSIX

Return for Risk

ABRSX vs. GTAPX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ABRSX
ABRSX Risk / Return Rank: 2727
Overall Rank
ABRSX Sharpe Ratio Rank: 2828
Sharpe Ratio Rank
ABRSX Sortino Ratio Rank: 2525
Sortino Ratio Rank
ABRSX Omega Ratio Rank: 3333
Omega Ratio Rank
ABRSX Calmar Ratio Rank: 2323
Calmar Ratio Rank
ABRSX Martin Ratio Rank: 2929
Martin Ratio Rank
GTAPX
GTAPX Risk / Return Rank: 7373
Overall Rank
GTAPX Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
GTAPX Sortino Ratio Rank: 6969
Sortino Ratio Rank
GTAPX Omega Ratio Rank: 5454
Omega Ratio Rank
GTAPX Calmar Ratio Rank: 9393
Calmar Ratio Rank
GTAPX Martin Ratio Rank: 8686
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ABRSX vs. GTAPX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ABR 50/50 Volatility Fund (ABRSX) and Quantitative U.S. Long/Short Equity Portfolio (GTAPX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

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.

ABRSXGTAPXDifference
Sharpe ratioReturn per unit of total volatility
1.40
2.13

-0.73

Sortino ratioReturn per unit of downside risk
1.92
3.16

-1.24

Omega ratioGain probability vs. loss probability

1.28

1.37

-0.09

Calmar ratioReturn relative to maximum drawdown

1.60

4.85

-3.25

Martin ratioReturn relative to average drawdown

6.36

14.86

-8.50

ABRSX vs. GTAPX - Sharpe Ratio Comparison

The current ABRSX Sharpe Ratio is 1.40, which is lower than the GTAPX Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of ABRSX and GTAPX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

ABRSX vs. GTAPX - Drawdown Comparison

The maximum ABRSX drawdown since its inception was -49.78%, which is greater than GTAPX's maximum drawdown of -30.40%. Use the drawdown chart below to compare losses from any high point for ABRSX and GTAPX.

Loading charts...

Drawdown Indicators

ABRSXGTAPXDifference

Max Drawdown

Largest peak-to-trough decline

-49.78%

-30.40%

-19.38%

Max Drawdown (1Y)

Largest decline over 1 year

-19.12%

-3.01%

-16.11%

Max Drawdown (3Y)

Largest decline over 3 years

-27.83%

-12.21%

-15.62%

Max Drawdown (5Y)

Largest decline over 5 years

-44.57%

-12.21%

-32.36%

Max Drawdown (10Y)

Largest decline over 10 years

—

-30.40%

—

Current Drawdown

Current decline from peak

-0.44%

-1.17%

+0.73%

Average Drawdown

Average peak-to-trough decline

-15.86%

-7.02%

-8.84%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.82%

0.98%

+3.84%

Volatility

ABRSX vs. GTAPX - Volatility Comparison

ABR 50/50 Volatility Fund (ABRSX) has a higher volatility of 5.81% compared to Quantitative U.S. Long/Short Equity Portfolio (GTAPX) at 2.19%. This indicates that ABRSX's price experiences larger fluctuations and is considered to be riskier than GTAPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ABRSXGTAPXDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.81%

2.19%

+3.62%

Volatility (6M)

Calculated over the trailing 6-month period

18.23%

5.25%

+12.98%

Volatility (1Y)

Calculated over the trailing 1-year period

21.93%

6.86%

+15.07%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

27.41%

10.88%

+16.53%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

36.15%

10.24%

+25.91%

ABRSX vs. GTAPX - Expense Ratio Comparison

ABRSX has a 2.00% expense ratio, which is higher than GTAPX's 1.25% expense ratio.

Dividends

ABRSX vs. GTAPX - Dividend Comparison

ABRSX's dividend yield for the trailing twelve months is around 0.61%, less than GTAPX's 15.81% yield.

PositionTTM202520242023202220212020201920182017
ABRSX
ABR 50/50 Volatility Fund		0.61%0.63%1.04%0.00%0.00%47.19%0.00%10.50%12.88%0.99%
GTAPX
Quantitative U.S. Long/Short Equity Portfolio		15.81%16.63%11.79%11.23%0.00%0.00%0.00%0.96%0.00%0.00%

Frequently Asked Questions

ABRSX and GTAPX have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ABRSX has higher volatility (5.81%) compared to GTAPX (2.19%). In terms of maximum drawdown, ABRSX dropped -49.78% vs GTAPX's -30.40%.

GTAPX currently has the higher Sharpe Ratio (2.13 vs 1.40), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for ABRSX and GTAPX

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer