GMSAX vs. PQTAX

Last updated Jun 5, 2026

GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) and PQTAX (PIMCO TRENDS Managed Futures Strategy Fund Class A) are both Systematic Trend funds. Over the past 10 years, GMSAX returned 3.09%/yr vs 4.18%/yr for PQTAX. A 0.66 correlation means they provide meaningful diversification when combined. GMSAX charges 1.54%/yr vs 1.81%/yr for PQTAX.

Performance

GMSAX vs. PQTAX - 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 PIMCO TRENDS Managed Futures Strategy Fund Class A (PQTAX). 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 higher than PQTAX's 6.33% return. Over the past 10 years, GMSAX has underperformed PQTAX with an annualized return of 3.09%, while PQTAX has yielded a comparatively higher 4.18% annualized 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%

PQTAX

• 1D: 0.09%
• 1M: 1.28%
• YTD: 6.33%
• 6M: 8.10%
• 1Y: 20.17%
• 3Y*: 0.36%
• 5Y*: 3.33%
• 10Y*: 4.18%

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

GMSAX vs. PQTAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	8.06%	0.22%	-5.31%	-4.18%	20.08%	4.68%	6.64%	2.29%	-2.37%	2.29%
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A	6.33%	2.06%	-3.31%	-4.52%	11.06%	14.52%	8.48%	2.63%	1.98%	4.51%

Correlation

The correlation between GMSAX and PQTAX is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.65
Correlation (5Y) Calculated over the trailing 5-year period	0.66
Correlation (10Y) Calculated over the trailing 10-year period	0.69
Correlation (All Time) Calculated using the full available price history since Jan 3, 2014	0.66

The correlation between GMSAX and PQTAX has been stable across timeframes, ranging from 0.65 to 0.71 - a consistent structural relationship.

Return for Risk

GMSAX vs. PQTAX — 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

PQTAX

PQTAX Risk / Return Rank: 72
PQTAX Sharpe Ratio Rank: 73
PQTAX Sortino Ratio Rank: 62
PQTAX Omega Ratio Rank: 69
PQTAX Calmar Ratio Rank: 89
PQTAX Martin Ratio Rank: 66

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. PQTAX - 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 PIMCO TRENDS Managed Futures Strategy Fund Class A (PQTAX). 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	PQTAX	Difference
Sharpe ratio: Return per unit of total volatility	2.35	2.46	-0.11
Sortino ratio: Return per unit of downside risk	3.29	3.25	+0.04
Omega ratio: Gain probability vs. loss probability	1.44	1.46	-0.02
Calmar ratio: Return relative to maximum drawdown	3.80	4.48	-0.68
Martin ratio: Return relative to average drawdown	12.23	12.65	-0.42
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMSAX vs. PQTAX - Sharpe Ratio Comparison

The current GMSAX Sharpe Ratio is 2.35, which is comparable to the PQTAX Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of GMSAX and PQTAX, 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

	GMSAX	PQTAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.35	2.46	-0.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	0.34	-0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.34	0.44	-0.10
Sharpe Ratio (All Time) Calculated using the full available price history	0.26	0.46	-0.20

Drawdowns

GMSAX vs. PQTAX - Drawdown Comparison

The maximum GMSAX drawdown since its inception was -23.58%, smaller than the maximum PQTAX drawdown of -28.39%. Use the drawdown chart below to compare losses from any high point for GMSAX and PQTAX.

Drawdown Indicators

	GMSAX	PQTAX	Difference
Max Drawdown Largest peak-to-trough decline	-23.58%	-28.39%	+4.81%
Max Drawdown (1Y) Largest decline over 1 year	-4.81%	-4.66%	-0.15%
Max Drawdown (3Y) Largest decline over 3 years	-22.56%	-18.94%	-3.62%
Max Drawdown (5Y) Largest decline over 5 years	-23.58%	-28.39%	+4.81%
Max Drawdown (10Y) Largest decline over 10 years	-23.58%	-28.39%	+4.81%
Current Drawdown Current decline from peak	-6.17%	-12.14%	+5.97%
Average Drawdown Average peak-to-trough decline	-7.26%	-9.37%	+2.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.49%	1.64%	-0.15%

Volatility

GMSAX vs. PQTAX - Volatility Comparison

Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) has a higher volatility of 2.05% compared to PIMCO TRENDS Managed Futures Strategy Fund Class A (PQTAX) at 1.85%. This indicates that GMSAX's price experiences larger fluctuations and is considered to be riskier than PQTAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMSAX	PQTAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.05%	1.85%	+0.20%
Volatility (6M) Calculated over the trailing 6-month period	6.00%	6.59%	-0.59%
Volatility (1Y) Calculated over the trailing 1-year period	7.78%	8.49%	-0.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.40%	9.93%	+0.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.07%	9.44%	-0.37%

GMSAX vs. PQTAX - Expense Ratio Comparison

GMSAX has a 1.54% expense ratio, which is lower than PQTAX's 1.81% expense ratio.

Dividends

GMSAX vs. PQTAX - Dividend Comparison

Neither GMSAX nor PQTAX has paid dividends to shareholders.

Position	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%
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A	0.00%	0.00%	0.00%	0.00%	14.61%	2.22%	4.46%	2.29%	0.10%	2.54%	0.00%	7.65%

Frequently Asked Questions

Can I hold both GMSAX and PQTAX in my portfolio?

GMSAX and PQTAX have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMSAX or PQTAX?

GMSAX has higher volatility (2.05%) compared to PQTAX (1.85%). In terms of maximum drawdown, GMSAX dropped -23.58% vs PQTAX's -28.39%.

Which has better risk-adjusted returns?

PQTAX currently has the higher Sharpe Ratio (2.46 vs 2.35), 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.