ABYAX vs. GMSAX

Last updated Jun 4, 2026

ABYAX (Abbey Capital Futures Strategy Fund Class A) and GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) are both Systematic Trend funds. Over the past 10 years, ABYAX returned 3.27%/yr vs 3.07%/yr for GMSAX. A 0.74 correlation means they provide meaningful diversification when combined. ABYAX charges 2.04%/yr vs 1.54%/yr for GMSAX.

Performance

ABYAX vs. GMSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Abbey Capital Futures Strategy Fund Class A (ABYAX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with ABYAX having a 7.65% return and GMSAX slightly higher at 7.84%. Over the past 10 years, ABYAX has outperformed GMSAX with an annualized return of 3.27%, while GMSAX has yielded a comparatively lower 3.07% annualized return.

ABYAX

• 1D: 0.25%
• 1M: 0.85%
• YTD: 7.65%
• 6M: 8.84%
• 1Y: 15.78%
• 3Y*: 2.49%
• 5Y*: 3.44%
• 10Y*: 3.27%

GMSAX

• 1D: 0.42%
• 1M: 3.44%
• YTD: 7.84%
• 6M: 8.20%
• 1Y: 17.87%
• 3Y*: 0.45%
• 5Y*: 3.08%
• 10Y*: 3.07%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ABYAX vs. GMSAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ABYAX Abbey Capital Futures Strategy Fund Class A	7.65%	1.47%	0.77%	-3.55%	16.76%	3.19%	7.59%	8.65%	-6.49%	-0.26%
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	7.84%	0.22%	-5.31%	-4.18%	20.08%	4.68%	6.64%	2.29%	-2.37%	2.29%

Correlation

The correlation between ABYAX and GMSAX is 0.72, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (10Y) Calculated over the trailing 10-year period	0.75
Correlation (All Time) Calculated using the full available price history since Sep 3, 2014	0.74

The correlation between ABYAX and GMSAX has been stable across timeframes, ranging from 0.71 to 0.75 - a consistent structural relationship.

Return for Risk

ABYAX vs. GMSAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ABYAX

ABYAX Risk / Return Rank: 63
ABYAX Sharpe Ratio Rank: 48
ABYAX Sortino Ratio Rank: 46
ABYAX Omega Ratio Rank: 48
ABYAX Calmar Ratio Rank: 94
ABYAX Martin Ratio Rank: 78

GMSAX

GMSAX Risk / Return Rank: 64
GMSAX Sharpe Ratio Rank: 60
GMSAX Sortino Ratio Rank: 59
GMSAX Omega Ratio Rank: 58
GMSAX Calmar Ratio Rank: 81
GMSAX Martin Ratio Rank: 60

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.

ABYAX vs. GMSAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class A (ABYAX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX). 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.

	ABYAX	GMSAX	Difference
Sharpe ratio: Return per unit of total volatility	2.05	2.30	-0.25
Sortino ratio: Return per unit of downside risk	2.84	3.23	-0.39
Omega ratio: Gain probability vs. loss probability	1.38	1.43	-0.05
Calmar ratio: Return relative to maximum drawdown	5.48	3.72	+1.76
Martin ratio: Return relative to average drawdown	14.69	11.97	+2.72
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ABYAX vs. GMSAX - Sharpe Ratio Comparison

The current ABYAX Sharpe Ratio is 2.05, which is comparable to the GMSAX Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of ABYAX and GMSAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ABYAX	GMSAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.05	2.30	-0.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.43	0.30	+0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.41	0.34	+0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.26	+0.22

Drawdowns

ABYAX vs. GMSAX - Drawdown Comparison

The maximum ABYAX drawdown since its inception was -17.96%, smaller than the maximum GMSAX drawdown of -23.58%. Use the drawdown chart below to compare losses from any high point for ABYAX and GMSAX.

Drawdown Indicators

	ABYAX	GMSAX	Difference
Max Drawdown Largest peak-to-trough decline	-17.96%	-23.58%	+5.62%
Max Drawdown (1Y) Largest decline over 1 year	-2.87%	-4.81%	+1.94%
Max Drawdown (3Y) Largest decline over 3 years	-14.21%	-22.56%	+8.35%
Max Drawdown (5Y) Largest decline over 5 years	-15.23%	-23.58%	+8.35%
Max Drawdown (10Y) Largest decline over 10 years	-15.23%	-23.58%	+8.35%
Current Drawdown Current decline from peak	-0.99%	-6.37%	+5.38%
Average Drawdown Average peak-to-trough decline	-7.22%	-7.26%	+0.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.07%	1.49%	-0.42%

Volatility

ABYAX vs. GMSAX - Volatility Comparison

Abbey Capital Futures Strategy Fund Class A (ABYAX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) have volatilities of 2.04% and 2.05%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ABYAX	GMSAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.04%	2.05%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	5.85%	6.01%	-0.16%
Volatility (1Y) Calculated over the trailing 1-year period	7.68%	7.79%	-0.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.95%	10.41%	-2.46%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.00%	9.07%	-1.07%

ABYAX vs. GMSAX - Expense Ratio Comparison

ABYAX has a 2.04% expense ratio, which is higher than GMSAX's 1.54% expense ratio.

Dividends

ABYAX vs. GMSAX - Dividend Comparison

ABYAX's dividend yield for the trailing twelve months is around 1.18%, while GMSAX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABYAX Abbey Capital Futures Strategy Fund Class A	1.18%	1.27%	1.68%	0.99%	15.33%	3.57%	1.36%	8.50%	0.00%	0.00%	0.00%	0.06%
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	0.00%	0.00%	0.00%	0.00%	20.24%	7.31%	1.24%	6.90%	0.16%	0.49%	0.00%	3.88%

Frequently Asked Questions

Can I hold both ABYAX and GMSAX in my portfolio?

ABYAX and GMSAX have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ABYAX or GMSAX?

GMSAX has higher volatility (2.05%) compared to ABYAX (2.04%). In terms of maximum drawdown, ABYAX dropped -17.96% vs GMSAX's -23.58%.

Which has better risk-adjusted returns?

GMSAX currently has the higher Sharpe Ratio (2.30 vs 2.05), 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.