GMSAX vs. FFUT

Last updated Jun 5, 2026

GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) and FFUT (Fidelity Managed Futures ETF) are both Systematic Trend funds. At a 0.48 correlation, their price movements are largely independent. GMSAX charges 1.54%/yr vs 0.80%/yr for FFUT.

Performance

GMSAX vs. FFUT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) and Fidelity Managed Futures ETF (FFUT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMSAX achieves a 8.06% return, which is significantly lower than FFUT's 12.38% return.

GMSAX

• 1D: 0.21%
• 1M: 3.21%
• YTD: 8.06%
• 6M: 8.18%
• 1Y: 17.97%
• 3Y*: 0.52%
• 5Y*: 3.10%
• 10Y*: 3.09%

FFUT

• 1D: -0.32%
• 1M: 1.15%
• YTD: 12.38%
• 6M: 13.61%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

GMSAX vs. FFUT - Yearly Performance Comparison

	2026 (YTD)	2025
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	8.06%	9.84%
FFUT Fidelity Managed Futures ETF	12.38%	8.26%

Correlation

The correlation between GMSAX and FFUT is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (All Time) Calculated using the full available price history since Jun 6, 2025	0.48

Return for Risk

GMSAX vs. FFUT — Risk / Return Rank

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

GMSAX

GMSAX Risk / Return Rank: 69
GMSAX Sharpe Ratio Rank: 67
GMSAX Sortino Ratio Rank: 65
GMSAX Omega Ratio Rank: 64
GMSAX Calmar Ratio Rank: 83
GMSAX Martin Ratio Rank: 64

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.

GMSAX vs. FFUT - 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 Fidelity Managed Futures ETF (FFUT). 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	FFUT	Difference
Sharpe ratio: Return per unit of total volatility	2.35	—	—
Sortino ratio: Return per unit of downside risk	3.29	—	—
Omega ratio: Gain probability vs. loss probability	1.44	—	—
Calmar ratio: Return relative to maximum drawdown	3.80	—	—
Martin ratio: Return relative to average drawdown	12.23	—	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

Sharpe Ratios by Period

	GMSAX	FFUT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.35	—	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.34	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.26	1.96	-1.71

Drawdowns

GMSAX vs. FFUT - Drawdown Comparison

The maximum GMSAX drawdown since its inception was -23.58%, which is greater than FFUT's maximum drawdown of -2.84%. Use the drawdown chart below to compare losses from any high point for GMSAX and FFUT.

Drawdown Indicators

	GMSAX	FFUT	Difference
Max Drawdown Largest peak-to-trough decline	-23.58%	-2.84%	-20.74%
Max Drawdown (1Y) Largest decline over 1 year	-4.81%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-22.56%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-23.58%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-23.58%	—	—
Current Drawdown Current decline from peak	-6.17%	-1.21%	-4.96%
Average Drawdown Average peak-to-trough decline	-7.26%	-0.88%	-6.38%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.49%	—	—

Volatility

Volatility by Period

	GMSAX	FFUT	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.05%	—	—
Volatility (6M) Calculated over the trailing 6-month period	6.00%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	7.78%	11.15%	-3.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.40%	11.15%	-0.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.07%	11.15%	-2.08%

GMSAX vs. FFUT - Expense Ratio Comparison

GMSAX has a 1.54% expense ratio, which is higher than FFUT's 0.80% expense ratio.

Dividends

GMSAX vs. FFUT - Dividend Comparison

GMSAX has not paid dividends to shareholders, while FFUT's dividend yield for the trailing twelve months is around 1.86%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FFUT Fidelity Managed Futures ETF	1.86%	2.09%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
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%

Frequently Asked Questions

Can I hold both GMSAX and FFUT in my portfolio?

GMSAX and FFUT have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.