ABYIX vs. GMSAX
Compare and contrast key facts about Abbey Capital Futures Strategy Fund Class I (ABYIX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX).
ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014. GMSAX is managed by Goldman Sachs. It was launched on Feb 29, 2012.
Performance
ABYIX vs. GMSAX - Performance Comparison
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ABYIX vs. GMSAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 4.53% | 1.62% | 1.11% | -3.29% | 17.06% | 3.39% | 7.92% | 8.84% | -6.15% | -0.09% |
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A | 0.11% | 0.22% | -5.31% | -4.18% | 20.08% | 4.68% | 6.64% | 2.29% | -2.37% | 2.29% |
Returns By Period
In the year-to-date period, ABYIX achieves a 4.53% return, which is significantly higher than GMSAX's 0.11% return. Over the past 10 years, ABYIX has outperformed GMSAX with an annualized return of 2.83%, while GMSAX has yielded a comparatively lower 2.07% annualized return.
ABYIX
- 1D
- -0.09%
- 1M
- -1.03%
- YTD
- 4.53%
- 6M
- 7.29%
- 1Y
- 8.69%
- 3Y*
- 2.39%
- 5Y*
- 3.70%
- 10Y*
- 2.83%
GMSAX
- 1D
- -0.33%
- 1M
- -3.77%
- YTD
- 0.11%
- 6M
- 3.11%
- 1Y
- 7.58%
- 3Y*
- -0.55%
- 5Y*
- 2.15%
- 10Y*
- 2.07%
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ABYIX vs. GMSAX - Expense Ratio Comparison
ABYIX has a 1.79% expense ratio, which is higher than GMSAX's 1.54% expense ratio.
Return for Risk
ABYIX vs. GMSAX — Risk / Return Rank
ABYIX
GMSAX
ABYIX vs. GMSAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) 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.
| ABYIX | GMSAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.09 | 0.83 | +0.26 |
Sortino ratioReturn per unit of downside risk | 1.54 | 1.18 | +0.37 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.16 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.72 | 1.23 | +0.50 |
Martin ratioReturn relative to average drawdown | 3.52 | 3.76 | -0.24 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ABYIX | GMSAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.09 | 0.83 | +0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 0.21 | +0.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.35 | 0.23 | +0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | 0.19 | +0.34 |
Correlation
The correlation between ABYIX and GMSAX is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ABYIX vs. GMSAX - Dividend Comparison
ABYIX's dividend yield for the trailing twelve months is around 1.27%, while GMSAX has not paid dividends to shareholders.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 1.27% | 1.33% | 2.10% | 2.03% | 15.24% | 3.68% | 1.54% | 8.70% | 0.14% | 0.00% | 0.00% | 0.24% |
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% |
Drawdowns
ABYIX vs. GMSAX - Drawdown Comparison
The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum GMSAX drawdown of -23.58%. Use the drawdown chart below to compare losses from any high point for ABYIX and GMSAX.
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Drawdown Indicators
| ABYIX | GMSAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.13% | -23.58% | +6.45% |
Max Drawdown (1Y)Largest decline over 1 year | -4.36% | -5.19% | +0.83% |
Max Drawdown (5Y)Largest decline over 5 years | -14.66% | -23.58% | +8.92% |
Max Drawdown (10Y)Largest decline over 10 years | -14.74% | -23.58% | +8.84% |
Current DrawdownCurrent decline from peak | -3.10% | -13.07% | +9.97% |
Average DrawdownAverage peak-to-trough decline | -6.74% | -7.23% | +0.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.27% | 1.88% | +0.39% |
Volatility
ABYIX vs. GMSAX - Volatility Comparison
The current volatility for Abbey Capital Futures Strategy Fund Class I (ABYIX) is 1.94%, while Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) has a volatility of 3.27%. This indicates that ABYIX experiences smaller price fluctuations and is considered to be less risky than GMSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ABYIX | GMSAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.94% | 3.27% | -1.33% |
Volatility (6M)Calculated over the trailing 6-month period | 6.43% | 6.27% | +0.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.64% | 8.90% | -1.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.01% | 10.38% | -2.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.00% | 9.05% | -1.05% |