GMAMX vs. ADAIX

Last updated Jun 4, 2026

GMAMX (Goldman Sachs Multi-Strategy Alternatives Fund) and ADAIX (AQR Diversified Arbitrage Fund Class I) are both Multistrategy funds. Both are actively managed. Over the past 10 years, GMAMX returned 3.15%/yr vs 6.85%/yr for ADAIX. At a 0.16 correlation, their price movements are largely independent. GMAMX charges 1.16%/yr vs 1.38%/yr for ADAIX.

Performance

GMAMX vs. ADAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Multi-Strategy Alternatives Fund (GMAMX) and AQR Diversified Arbitrage Fund Class I (ADAIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMAMX achieves a 7.66% return, which is significantly higher than ADAIX's 2.96% return. Over the past 10 years, GMAMX has underperformed ADAIX with an annualized return of 3.15%, while ADAIX has yielded a comparatively higher 6.85% annualized return.

GMAMX

• 1D: 0.35%
• 1M: 2.31%
• YTD: 7.66%
• 6M: 8.14%
• 1Y: 16.30%
• 3Y*: 6.80%
• 5Y*: 3.45%
• 10Y*: 3.15%

ADAIX

• 1D: -0.08%
• 1M: 0.69%
• YTD: 2.96%
• 6M: 3.46%
• 1Y: 6.74%
• 3Y*: 6.25%
• 5Y*: 2.99%
• 10Y*: 6.85%

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

GMAMX vs. ADAIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMAMX Goldman Sachs Multi-Strategy Alternatives Fund	7.66%	15.10%	-5.08%	2.45%	-4.96%	5.92%	6.09%	7.34%	-3.71%	-0.39%
ADAIX AQR Diversified Arbitrage Fund Class I	2.96%	8.03%	3.19%	4.51%	-3.30%	6.27%	25.24%	8.53%	2.19%	5.93%

Correlation

The correlation between GMAMX and ADAIX is 0.05, 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	0.05
Correlation (3Y) Calculated over the trailing 3-year period	0.03
Correlation (5Y) Calculated over the trailing 5-year period	0.16
Correlation (10Y) Calculated over the trailing 10-year period	0.17
Correlation (All Time) Calculated using the full available price history since Jan 3, 2014	0.16

The correlation between GMAMX and ADAIX shifts across timeframes, from 0.03 (3 years) to 0.17 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

GMAMX vs. ADAIX — Risk / Return Rank

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

GMAMX

GMAMX Risk / Return Rank: 56
GMAMX Sharpe Ratio Rank: 44
GMAMX Sortino Ratio Rank: 42
GMAMX Omega Ratio Rank: 50
GMAMX Calmar Ratio Rank: 81
GMAMX Martin Ratio Rank: 62

ADAIX

ADAIX Risk / Return Rank: 99
ADAIX Sharpe Ratio Rank: 99
ADAIX Sortino Ratio Rank: 99
ADAIX Omega Ratio Rank: 98
ADAIX Calmar Ratio Rank: 99
ADAIX Martin Ratio Rank: 99

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.

GMAMX vs. ADAIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Multi-Strategy Alternatives Fund (GMAMX) and AQR Diversified Arbitrage Fund Class I (ADAIX). 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.

	GMAMX	ADAIX	Difference
Sharpe ratio: Return per unit of total volatility	1.95	4.84	-2.89
Sortino ratio: Return per unit of downside risk	2.75	8.18	-5.43
Omega ratio: Gain probability vs. loss probability	1.39	2.26	-0.87
Calmar ratio: Return relative to maximum drawdown	3.76	14.61	-10.86
Martin ratio: Return relative to average drawdown	12.23	44.38	-32.15
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMAMX vs. ADAIX - Sharpe Ratio Comparison

The current GMAMX Sharpe Ratio is 1.95, which is lower than the ADAIX Sharpe Ratio of 4.84. The chart below compares the historical Sharpe Ratios of GMAMX and ADAIX, 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

	GMAMX	ADAIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.95	4.84	-2.89
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	1.15	-0.55
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	1.59	-1.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	1.21	-0.74

Drawdowns

GMAMX vs. ADAIX - Drawdown Comparison

The maximum GMAMX drawdown since its inception was -13.27%, smaller than the maximum ADAIX drawdown of -14.75%. Use the drawdown chart below to compare losses from any high point for GMAMX and ADAIX.

Drawdown Indicators

	GMAMX	ADAIX	Difference
Max Drawdown Largest peak-to-trough decline	-13.27%	-14.75%	+1.48%
Max Drawdown (1Y) Largest decline over 1 year	-4.32%	-0.46%	-3.86%
Max Drawdown (3Y) Largest decline over 3 years	-10.85%	-1.78%	-9.07%
Max Drawdown (5Y) Largest decline over 5 years	-13.27%	-7.40%	-5.87%
Max Drawdown (10Y) Largest decline over 10 years	-13.27%	-14.75%	+1.48%
Current Drawdown Current decline from peak	-0.09%	-0.15%	+0.06%
Average Drawdown Average peak-to-trough decline	-4.20%	-2.82%	-1.38%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.33%	0.15%	+1.18%

Volatility

GMAMX vs. ADAIX - Volatility Comparison

Goldman Sachs Multi-Strategy Alternatives Fund (GMAMX) has a higher volatility of 1.37% compared to AQR Diversified Arbitrage Fund Class I (ADAIX) at 0.37%. This indicates that GMAMX's price experiences larger fluctuations and is considered to be riskier than ADAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMAMX	ADAIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.37%	0.37%	+1.00%
Volatility (6M) Calculated over the trailing 6-month period	5.79%	1.06%	+4.73%
Volatility (1Y) Calculated over the trailing 1-year period	8.31%	1.40%	+6.91%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.81%	2.62%	+3.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.45%	4.32%	+1.13%

GMAMX vs. ADAIX - Expense Ratio Comparison

GMAMX has a 1.16% expense ratio, which is lower than ADAIX's 1.38% expense ratio.

Dividends

GMAMX vs. ADAIX - Dividend Comparison

GMAMX's dividend yield for the trailing twelve months is around 7.62%, more than ADAIX's 2.06% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ADAIX AQR Diversified Arbitrage Fund Class I	2.06%	2.12%	1.23%	2.74%	0.10%	0.65%	1.60%	2.11%	6.53%	7.17%	7.18%	4.93%
GMAMX Goldman Sachs Multi-Strategy Alternatives Fund	7.62%	8.20%	4.85%	3.19%	0.22%	0.00%	0.00%	0.60%	0.00%	0.00%	1.37%	1.66%

Frequently Asked Questions

Can I hold both GMAMX and ADAIX in my portfolio?

GMAMX and ADAIX have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMAMX or ADAIX?

GMAMX has higher volatility (1.37%) compared to ADAIX (0.37%). In terms of maximum drawdown, GMAMX dropped -13.27% vs ADAIX's -14.75%.

Which has better risk-adjusted returns?

ADAIX currently has the higher Sharpe Ratio (4.84 vs 1.95), 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.