GMSAX vs. ABYIX
Compare and contrast key facts about Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) and Abbey Capital Futures Strategy Fund Class I (ABYIX).
GMSAX is managed by Goldman Sachs. It was launched on Feb 29, 2012. ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014.
Performance
GMSAX vs. ABYIX - Performance Comparison
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GMSAX vs. ABYIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A | 0.34% | 0.22% | -5.31% | -4.18% | 20.08% | 4.68% | 6.64% | 2.29% | -2.37% | 2.29% |
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% |
Returns By Period
In the year-to-date period, GMSAX achieves a 0.34% return, which is significantly lower than ABYIX's 4.53% return. Over the past 10 years, GMSAX has underperformed ABYIX with an annualized return of 2.09%, while ABYIX has yielded a comparatively higher 2.83% annualized return.
GMSAX
- 1D
- 0.22%
- 1M
- -1.75%
- YTD
- 0.34%
- 6M
- 3.11%
- 1Y
- 8.34%
- 3Y*
- -0.48%
- 5Y*
- 2.20%
- 10Y*
- 2.09%
ABYIX
- 1D
- 0.00%
- 1M
- -0.09%
- YTD
- 4.53%
- 6M
- 7.49%
- 1Y
- 8.59%
- 3Y*
- 2.39%
- 5Y*
- 3.70%
- 10Y*
- 2.83%
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GMSAX vs. ABYIX - Expense Ratio Comparison
GMSAX has a 1.54% expense ratio, which is lower than ABYIX's 1.79% expense ratio.
Return for Risk
GMSAX vs. ABYIX — Risk / Return Rank
GMSAX
ABYIX
GMSAX vs. ABYIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) and Abbey Capital Futures Strategy Fund Class I (ABYIX). 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.
| GMSAX | ABYIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.89 | 1.14 | -0.26 |
Sortino ratioReturn per unit of downside risk | 1.25 | 1.62 | -0.37 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.21 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.32 | 1.90 | -0.58 |
Martin ratioReturn relative to average drawdown | 4.02 | 3.93 | +0.09 |
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
| GMSAX | ABYIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.89 | 1.14 | -0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.21 | 0.46 | -0.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.23 | 0.35 | -0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.20 | 0.53 | -0.34 |
Correlation
The correlation between GMSAX and ABYIX 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
GMSAX vs. ABYIX - Dividend Comparison
GMSAX has not paid dividends to shareholders, while ABYIX's dividend yield for the trailing twelve months is around 1.27%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
Drawdowns
GMSAX vs. ABYIX - Drawdown Comparison
The maximum GMSAX drawdown since its inception was -23.58%, which is greater than ABYIX's maximum drawdown of -17.13%. Use the drawdown chart below to compare losses from any high point for GMSAX and ABYIX.
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Drawdown Indicators
| GMSAX | ABYIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.58% | -17.13% | -6.45% |
Max Drawdown (1Y)Largest decline over 1 year | -5.19% | -3.29% | -1.90% |
Max Drawdown (5Y)Largest decline over 5 years | -23.58% | -14.66% | -8.92% |
Max Drawdown (10Y)Largest decline over 10 years | -23.58% | -14.74% | -8.84% |
Current DrawdownCurrent decline from peak | -12.88% | -3.10% | -9.78% |
Average DrawdownAverage peak-to-trough decline | -7.23% | -6.74% | -0.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 2.11% | -0.26% |
Volatility
GMSAX vs. ABYIX - Volatility Comparison
Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) has a higher volatility of 2.78% compared to Abbey Capital Futures Strategy Fund Class I (ABYIX) at 1.70%. This indicates that GMSAX's price experiences larger fluctuations and is considered to be riskier than ABYIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMSAX | ABYIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.78% | 1.70% | +1.08% |
Volatility (6M)Calculated over the trailing 6-month period | 6.27% | 6.43% | -0.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.90% | 7.63% | +1.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.38% | 8.01% | +2.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.05% | 8.00% | +1.05% |