GSAGX vs. CAF

Last updated Jun 4, 2026

GSAGX (Goldman Sachs China Equity Fund) and CAF (Morgan Stanley China A Share Fund) are both China Equities funds. Over the past 10 years, GSAGX returned 5.88%/yr vs 5.97%/yr for CAF. A 0.63 correlation means they provide meaningful diversification when combined. GSAGX charges 1.47%/yr vs 1.67%/yr for CAF.

Performance

GSAGX vs. CAF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs China Equity Fund (GSAGX) and Morgan Stanley China A Share Fund (CAF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GSAGX achieves a 5.94% return, which is significantly lower than CAF's 15.09% return. Both investments have delivered pretty close results over the past 10 years, with GSAGX having a 5.88% annualized return and CAF not far ahead at 5.97%.

GSAGX

• 1D: 2.19%
• 1M: 1.46%
• YTD: 5.94%
• 6M: 6.60%
• 1Y: 24.41%
• 3Y*: 12.65%
• 5Y*: -5.63%
• 10Y*: 5.88%

CAF

• 1D: -0.75%
• 1M: 4.77%
• YTD: 15.09%
• 6M: 27.15%
• 1Y: 52.69%
• 3Y*: 17.00%
• 5Y*: -1.17%
• 10Y*: 5.97%

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

GSAGX vs. CAF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GSAGX Goldman Sachs China Equity Fund	5.94%	32.36%	13.00%	-18.78%	-30.71%	-14.26%	48.21%	26.22%	-18.45%	51.62%
CAF Morgan Stanley China A Share Fund	15.09%	41.51%	0.34%	-9.39%	-30.41%	-1.77%	12.74%	23.50%	-14.26%	44.94%

Correlation

The correlation between GSAGX and CAF is 0.68, 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	0.68
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (10Y) Calculated over the trailing 10-year period	0.67
Correlation (All Time) Calculated using the full available price history since Sep 29, 2006	0.63

The correlation between GSAGX and CAF shifts across timeframes, from 0.63 (all time) to 0.74 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

GSAGX vs. CAF — Risk / Return Rank

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

GSAGX

GSAGX Risk / Return Rank: 26
GSAGX Sharpe Ratio Rank: 26
GSAGX Sortino Ratio Rank: 24
GSAGX Omega Ratio Rank: 25
GSAGX Calmar Ratio Rank: 33
GSAGX Martin Ratio Rank: 23

CAF

CAF Risk / Return Rank: 83
CAF Sharpe Ratio Rank: 87
CAF Sortino Ratio Rank: 81
CAF Omega Ratio Rank: 77
CAF Calmar Ratio Rank: 91
CAF Martin Ratio Rank: 80

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.

GSAGX vs. CAF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs China Equity Fund (GSAGX) and Morgan Stanley China A Share Fund (CAF). 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.

	GSAGX	CAF	Difference
Sharpe ratio: Return per unit of total volatility	1.45	2.86	-1.40
Sortino ratio: Return per unit of downside risk	2.07	3.86	-1.79
Omega ratio: Gain probability vs. loss probability	1.26	1.51	-0.25
Calmar ratio: Return relative to maximum drawdown	2.15	4.82	-2.68
Martin ratio: Return relative to average drawdown	5.81	15.07	-9.26
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GSAGX vs. CAF - Sharpe Ratio Comparison

The current GSAGX Sharpe Ratio is 1.45, which is lower than the CAF Sharpe Ratio of 2.86. The chart below compares the historical Sharpe Ratios of GSAGX and CAF, 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

	GSAGX	CAF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.45	2.86	-1.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.22	-0.05	-0.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.26	0.27	-0.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.15	0.28	-0.13

Drawdowns

GSAGX vs. CAF - Drawdown Comparison

The maximum GSAGX drawdown since its inception was -70.73%, which is greater than CAF's maximum drawdown of -65.88%. Use the drawdown chart below to compare losses from any high point for GSAGX and CAF.

Drawdown Indicators

	GSAGX	CAF	Difference
Max Drawdown Largest peak-to-trough decline	-70.73%	-65.88%	-4.85%
Max Drawdown (1Y) Largest decline over 1 year	-12.15%	-10.98%	-1.17%
Max Drawdown (3Y) Largest decline over 3 years	-25.08%	-26.27%	+1.19%
Max Drawdown (5Y) Largest decline over 5 years	-58.97%	-49.01%	-9.96%
Max Drawdown (10Y) Largest decline over 10 years	-63.98%	-49.01%	-14.97%
Current Drawdown Current decline from peak	-36.38%	-5.72%	-30.66%
Average Drawdown Average peak-to-trough decline	-28.60%	-25.92%	-2.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.47%	3.51%	+0.96%

Volatility

GSAGX vs. CAF - Volatility Comparison

Goldman Sachs China Equity Fund (GSAGX) and Morgan Stanley China A Share Fund (CAF) have volatilities of 6.41% and 6.11%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GSAGX	CAF	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.41%	6.11%	+0.30%
Volatility (6M) Calculated over the trailing 6-month period	12.99%	13.72%	-0.73%
Volatility (1Y) Calculated over the trailing 1-year period	17.94%	18.54%	-0.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.45%	21.46%	+3.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.66%	21.88%	+0.78%

GSAGX vs. CAF - Expense Ratio Comparison

GSAGX has a 1.47% expense ratio, which is lower than CAF's 1.67% expense ratio.

Dividends

GSAGX vs. CAF - Dividend Comparison

GSAGX's dividend yield for the trailing twelve months is around 1.27%, less than CAF's 1.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAF Morgan Stanley China A Share Fund	1.32%	1.51%	2.63%	0.96%	0.02%	6.57%	10.40%	3.78%	9.48%	5.20%	4.69%	67.03%
GSAGX Goldman Sachs China Equity Fund	1.27%	1.34%	1.40%	0.89%	0.00%	6.78%	5.02%	0.57%	6.92%	1.35%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GSAGX and CAF in my portfolio?

GSAGX and CAF have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GSAGX or CAF?

GSAGX has higher volatility (6.41%) compared to CAF (6.11%). In terms of maximum drawdown, GSAGX dropped -70.73% vs CAF's -65.88%.

Which has better risk-adjusted returns?

CAF currently has the higher Sharpe Ratio (2.86 vs 1.45), 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.