GMSAX vs. FFUT
GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) and FFUT (Fidelity Managed Futures ETF) are both Systematic Trend funds. Over the past year, GMSAX returned 15.31% vs 17.02% for FFUT. At a 0.47 correlation, their price movements are largely independent. GMSAX charges 1.54%/yr vs 0.80%/yr for FFUT.
Performance
GMSAX vs. FFUT - Performance Comparison
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Returns By Period
In the year-to-date period, GMSAX achieves a 4.59% return, which is significantly lower than FFUT's 7.75% return.
GMSAX
- 1D
- -1.06%
- 1M
- -2.20%
- YTD
- 4.59%
- 6M
- 4.47%
- 1Y
- 15.31%
- 3Y*
- -1.18%
- 5Y*
- 2.86%
- 10Y*
- 2.67%
FFUT
- 1D
- 0.06%
- 1M
- -2.68%
- YTD
- 7.75%
- 6M
- 8.43%
- 1Y
- 17.02%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
GMSAX vs. FFUT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A | 4.59% | 9.17% |
FFUT Fidelity Managed Futures ETF | 7.75% | 8.58% |
Correlation
The correlation between GMSAX and FFUT is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Jun 5, 2025 | 0.47 |
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Return for Risk
GMSAX vs. FFUT — Risk / Return Rank
GMSAX
FFUT
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.
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.
| GMSAX | FFUT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.42 | ||
| Sortino ratioReturn per unit of downside risk | +0.51 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.29 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.24 | 3.20 | +0.04 |
| Martin ratioReturn relative to average drawdown | 10.13 | 12.42 | -2.29 |
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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 -5.34%. Use the drawdown chart below to compare losses from any high point for GMSAX and FFUT.
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Drawdown Indicators
| GMSAX | FFUT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.58% | -5.34% | -18.24% |
Max Drawdown (1Y)Largest decline over 1 year | -4.81% | -5.34% | +0.53% |
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 DrawdownCurrent decline from peak | -9.19% | -5.28% | -3.91% |
Average DrawdownAverage peak-to-trough decline | -7.26% | -0.99% | -6.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.53% | 1.37% | +0.16% |
Volatility
GMSAX vs. FFUT - Volatility Comparison
Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) has a higher volatility of 3.11% compared to Fidelity Managed Futures ETF (FFUT) at 2.95%. This indicates that GMSAX's price experiences larger fluctuations and is considered to be riskier than FFUT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMSAX | FFUT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.11% | 2.95% | +0.16% |
Volatility (6M)Calculated over the trailing 6-month period | 6.58% | 9.01% | -2.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.07% | 11.27% | -3.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.43% | 11.03% | -0.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.09% | 11.03% | -1.94% |
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 1.94%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FFUT Fidelity Managed Futures ETF | 1.94% | 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
GMSAX and FFUT have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GMSAX has higher volatility (3.11%) compared to FFUT (2.95%). In terms of maximum drawdown, GMSAX dropped -23.58% vs FFUT's -5.34%.
GMSAX currently has the higher Sharpe Ratio (1.94 vs 1.52), 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.
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