GJRTX vs. MSTVX

Last updated Jul 17, 2026

GJRTX (Goldman Sachs Absolute Return Tracker Fund Institutional Class) and MSTVX (Morningstar Alternatives Fund) are both Multistrategy funds. Over the past 5 years, GJRTX returned 5.70%/yr vs 3.87%/yr for MSTVX. At a 0.49 correlation, their price movements are largely independent. GJRTX charges 0.74%/yr vs 1.15%/yr for MSTVX.

Performance

GJRTX vs. MSTVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Absolute Return Tracker Fund Institutional Class (GJRTX) and Morningstar Alternatives Fund (MSTVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GJRTX achieves a 6.35% return, which is significantly higher than MSTVX's 1.60% return.

GJRTX

• 1D: 0.00%
• 1M: 0.09%
• 6M: 4.78%
• YTD: 6.35%
• 1Y: 12.28%
• 3Y*: 8.81%
• 5Y*: 5.70%
• 10Y*: 5.45%

MSTVX

• 1D: 0.00%
• 1M: 0.09%
• 6M: 1.22%
• YTD: 1.60%
• 1Y: 4.67%
• 3Y*: 6.57%
• 5Y*: 3.87%
• 10Y*: —

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

GJRTX vs. MSTVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
GJRTX Goldman Sachs Absolute Return Tracker Fund Institutional Class	6.35%	9.71%	7.04%	10.82%	-6.26%	6.45%	3.61%	10.91%	-2.37%
MSTVX Morningstar Alternatives Fund	1.60%	6.42%	6.37%	6.86%	-2.69%	4.20%	3.81%	5.82%	-0.05%

Correlation

The correlation between GJRTX and MSTVX is 0.29, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.29
Correlation (3Y) Calculated over the trailing 3-year period	0.38
Correlation (5Y) Calculated over the trailing 5-year period	0.48
Correlation (All Time) Calculated using the full available price history since Nov 5, 2018	0.49

Over the past year, the correlation between GJRTX and MSTVX has dropped to 0.29 - well below their long-term average of 0.49, suggesting their price drivers have been diverging.

Return for Risk

GJRTX vs. MSTVX — Risk / Return Rank

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

GJRTX

GJRTX Risk / Return Rank: 75
GJRTX Sharpe Ratio Rank: 72
GJRTX Sortino Ratio Rank: 70
GJRTX Omega Ratio Rank: 72
GJRTX Calmar Ratio Rank: 77
GJRTX Martin Ratio Rank: 82

MSTVX

MSTVX Risk / Return Rank: 80
MSTVX Sharpe Ratio Rank: 91
MSTVX Sortino Ratio Rank: 92
MSTVX Omega Ratio Rank: 88
MSTVX Calmar Ratio Rank: 84
MSTVX Martin Ratio Rank: 46

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.

GJRTX vs. MSTVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Absolute Return Tracker Fund Institutional Class (GJRTX) and Morningstar Alternatives Fund (MSTVX). 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.

	GJRTX	MSTVX	Difference
Sharpe ratio: Return per unit of total volatility	1.98	2.55	-0.57
Sortino ratio: Return per unit of downside risk	2.76	4.02	-1.25
Omega ratio: Gain probability vs. loss probability	1.37	1.52	-0.15
Calmar ratio: Return relative to maximum drawdown	2.92	3.19	-0.27
Martin ratio: Return relative to average drawdown	12.12	7.91	+4.21

GJRTX vs. MSTVX - Sharpe Ratio Comparison

The current GJRTX Sharpe Ratio is 1.98, which is comparable to the MSTVX Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of GJRTX and MSTVX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GJRTX vs. MSTVX - Drawdown Comparison

The maximum GJRTX drawdown since its inception was -13.23%, which is greater than MSTVX's maximum drawdown of -8.02%. Use the drawdown chart below to compare losses from any high point for GJRTX and MSTVX.

Drawdown Indicators

	GJRTX	MSTVX	Difference
Max Drawdown Largest peak-to-trough decline	-13.23%	-8.02%	-5.21%
Max Drawdown (1Y) Largest decline over 1 year	-4.28%	-1.84%	-2.44%
Max Drawdown (3Y) Largest decline over 3 years	-8.48%	-3.31%	-5.17%
Max Drawdown (5Y) Largest decline over 5 years	-10.82%	-5.89%	-4.93%
Max Drawdown (10Y) Largest decline over 10 years	-13.23%	—	—
Current Drawdown Current decline from peak	-0.52%	-0.64%	+0.12%
Average Drawdown Average peak-to-trough decline	-2.20%	-1.17%	-1.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.03%	0.68%	+0.35%

Volatility

GJRTX vs. MSTVX - Volatility Comparison

Goldman Sachs Absolute Return Tracker Fund Institutional Class (GJRTX) has a higher volatility of 2.12% compared to Morningstar Alternatives Fund (MSTVX) at 0.67%. This indicates that GJRTX's price experiences larger fluctuations and is considered to be riskier than MSTVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GJRTX	MSTVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.12%	0.67%	+1.45%
Volatility (6M) Calculated over the trailing 6-month period	5.17%	1.79%	+3.38%
Volatility (1Y) Calculated over the trailing 1-year period	6.32%	2.32%	+4.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.77%	3.17%	+3.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.48%	3.13%	+3.35%

GJRTX vs. MSTVX - Expense Ratio Comparison

GJRTX has a 0.74% expense ratio, which is lower than MSTVX's 1.15% expense ratio.

Dividends

GJRTX vs. MSTVX - Dividend Comparison

GJRTX's dividend yield for the trailing twelve months is around 2.00%, less than MSTVX's 3.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GJRTX Goldman Sachs Absolute Return Tracker Fund Institutional Class	2.00%	2.13%	1.14%	2.71%	5.24%	8.88%	0.61%	3.60%	2.69%	3.52%	0.64%	1.80%
MSTVX Morningstar Alternatives Fund	3.36%	3.41%	3.07%	3.86%	3.92%	4.99%	2.91%	1.74%	0.25%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GJRTX and MSTVX in my portfolio?

GJRTX and MSTVX have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GJRTX or MSTVX?

GJRTX has higher volatility (2.12%) compared to MSTVX (0.67%). In terms of maximum drawdown, GJRTX dropped -13.23% vs MSTVX's -8.02%.

Which has better risk-adjusted returns?

MSTVX currently has the higher Sharpe Ratio (2.55 vs 1.98), 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.