FSMSX vs. GAAVX

Last updated Jun 4, 2026

FSMSX (FS Multi-Strategy Alternatives Fund) and GAAVX (GMO Alternative Allocation Fund) are both Multistrategy funds. Over the past 5 years, FSMSX returned 5.22%/yr vs 2.47%/yr for GAAVX. At a 0.25 correlation, their price movements are largely independent. FSMSX charges 1.89%/yr vs 0.61%/yr for GAAVX.

Performance

FSMSX vs. GAAVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FS Multi-Strategy Alternatives Fund (FSMSX) and GMO Alternative Allocation Fund (GAAVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FSMSX achieves a 4.13% return, which is significantly higher than GAAVX's 1.31% return.

FSMSX

• 1D: -0.09%
• 1M: 1.31%
• YTD: 4.13%
• 6M: 4.13%
• 1Y: 8.24%
• 3Y*: 5.44%
• 5Y*: 5.22%
• 10Y*: —

GAAVX

• 1D: 0.27%
• 1M: -0.48%
• YTD: 1.31%
• 6M: 3.15%
• 1Y: 14.27%
• 3Y*: 5.70%
• 5Y*: 2.47%
• 10Y*: —

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

FSMSX vs. GAAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FSMSX FS Multi-Strategy Alternatives Fund	4.13%	4.13%	4.63%	5.44%	3.17%	13.97%	-3.66%	2.20%
GAAVX GMO Alternative Allocation Fund	1.31%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%

Correlation

The correlation between FSMSX and GAAVX is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.04
Correlation (3Y) Calculated over the trailing 3-year period	0.16
Correlation (5Y) Calculated over the trailing 5-year period	0.24
Correlation (All Time) Calculated using the full available price history since May 10, 2019	0.25

Over the past year, the correlation between FSMSX and GAAVX has dropped to 0.04 - well below their long-term average of 0.25, suggesting their price drivers have been diverging.

Return for Risk

FSMSX vs. GAAVX — Risk / Return Rank

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

FSMSX

FSMSX Risk / Return Rank: 88
FSMSX Sharpe Ratio Rank: 86
FSMSX Sortino Ratio Rank: 87
FSMSX Omega Ratio Rank: 85
FSMSX Calmar Ratio Rank: 94
FSMSX Martin Ratio Rank: 87

GAAVX

GAAVX Risk / Return Rank: 66
GAAVX Sharpe Ratio Rank: 56
GAAVX Sortino Ratio Rank: 75
GAAVX Omega Ratio Rank: 57
GAAVX Calmar Ratio Rank: 85
GAAVX Martin Ratio Rank: 58

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.

FSMSX vs. GAAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FS Multi-Strategy Alternatives Fund (FSMSX) and GMO Alternative Allocation Fund (GAAVX). 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.

	FSMSX	GAAVX	Difference
Sharpe ratio Return per unit of total volatility	2.77	2.21	+0.56
Sortino ratio Return per unit of downside risk	4.15	3.61	+0.54
Omega ratio Gain probability vs. loss probability	1.57	1.42	+0.15
Calmar ratio Return relative to maximum drawdown	5.52	4.07	+1.44
Martin ratio Return relative to average drawdown	16.89	11.64	+5.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FSMSX vs. GAAVX - Sharpe Ratio Comparison

The current FSMSX Sharpe Ratio is 2.77, which is comparable to the GAAVX Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of FSMSX and GAAVX, 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

	FSMSX	GAAVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.77	2.21	+0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.13	0.42	+0.71
Sharpe Ratio (All Time) Calculated using the full available price history	0.88	0.41	+0.46

Drawdowns

FSMSX vs. GAAVX - Drawdown Comparison

The maximum FSMSX drawdown since its inception was -8.94%, smaller than the maximum GAAVX drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for FSMSX and GAAVX.

Drawdown Indicators

	FSMSX	GAAVX	Difference
Max Drawdown Largest peak-to-trough decline	-8.94%	-9.59%	+0.65%
Max Drawdown (1Y) Largest decline over 1 year	-1.46%	-3.39%	+1.93%
Max Drawdown (3Y) Largest decline over 3 years	-4.06%	-7.73%	+3.67%
Max Drawdown (5Y) Largest decline over 5 years	-4.13%	-9.59%	+5.46%
Current Drawdown Current decline from peak	-0.09%	-3.13%	+3.04%
Average Drawdown Average peak-to-trough decline	-1.64%	-3.08%	+1.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.48%	1.19%	-0.71%

Volatility

FSMSX vs. GAAVX - Volatility Comparison

The current volatility for FS Multi-Strategy Alternatives Fund (FSMSX) is 0.95%, while GMO Alternative Allocation Fund (GAAVX) has a volatility of 1.99%. This indicates that FSMSX experiences smaller price fluctuations and is considered to be less risky than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FSMSX	GAAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.95%	1.99%	-1.04%
Volatility (6M) Calculated over the trailing 6-month period	2.24%	4.94%	-2.70%
Volatility (1Y) Calculated over the trailing 1-year period	2.91%	6.52%	-3.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.62%	5.88%	-1.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.65%	5.90%	-1.25%

FSMSX vs. GAAVX - Expense Ratio Comparison

FSMSX has a 1.89% expense ratio, which is higher than GAAVX's 0.61% expense ratio.

Dividends

FSMSX vs. GAAVX - Dividend Comparison

FSMSX's dividend yield for the trailing twelve months is around 3.96%, less than GAAVX's 8.66% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
FSMSX FS Multi-Strategy Alternatives Fund	3.96%	4.12%	2.48%	3.61%	4.12%	3.22%	0.77%	2.20%	0.82%
GAAVX GMO Alternative Allocation Fund	8.66%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%

Frequently Asked Questions

Can I hold both FSMSX and GAAVX in my portfolio?

FSMSX and GAAVX have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FSMSX or GAAVX?

GAAVX has higher volatility (1.99%) compared to FSMSX (0.95%). In terms of maximum drawdown, FSMSX dropped -8.94% vs GAAVX's -9.59%.

Which has better risk-adjusted returns?

FSMSX currently has the higher Sharpe Ratio (2.77 vs 2.21), 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.