GSRTX vs. GAAVX

Last updated Jun 26, 2026

GSRTX (Goldman Sachs Absolute Return Tracker Fund) and GAAVX (GMO Alternative Allocation Fund) are both Multistrategy funds. Over the past 5 years, GSRTX returned 5.31%/yr vs 2.85%/yr for GAAVX. At a 0.32 correlation, their price movements are largely independent. GSRTX charges 0.75%/yr vs 0.61%/yr for GAAVX.

Performance

GSRTX vs. GAAVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Absolute Return Tracker Fund (GSRTX) and GMO Alternative Allocation Fund (GAAVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GSRTX achieves a 5.50% return, which is significantly higher than GAAVX's 1.26% return.

GSRTX

• 1D: -0.18%
• 1M: -0.45%
• YTD: 5.50%
• 6M: 5.23%
• 1Y: 12.49%
• 3Y*: 8.98%
• 5Y*: 5.31%
• 10Y*: 5.53%

GAAVX

• 1D: -0.11%
• 1M: -1.07%
• YTD: 1.26%
• 6M: 1.33%
• 1Y: 13.31%
• 3Y*: 5.31%
• 5Y*: 2.85%
• 10Y*: —

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

GSRTX vs. GAAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GSRTX Goldman Sachs Absolute Return Tracker Fund	5.50%	9.55%	6.93%	10.69%	-6.36%	6.32%	3.55%	4.74%
GAAVX GMO Alternative Allocation Fund	1.26%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%

Correlation

The correlation between GSRTX and GAAVX is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.01
Correlation (3Y) Calculated over the trailing 3-year period	0.21
Correlation (5Y) Calculated over the trailing 5-year period	0.24
Correlation (All Time) Calculated using the full available price history since May 9, 2019	0.32

Over the past year, the correlation between GSRTX and GAAVX has dropped to 0.01 - well below their long-term average of 0.32, suggesting their price drivers have been diverging.

Return for Risk

GSRTX vs. GAAVX — Risk / Return Rank

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

GSRTX

GSRTX Risk / Return Rank: 73
GSRTX Sharpe Ratio Rank: 71
GSRTX Sortino Ratio Rank: 70
GSRTX Omega Ratio Rank: 73
GSRTX Calmar Ratio Rank: 74
GSRTX Martin Ratio Rank: 78

GAAVX

GAAVX Risk / Return Rank: 75
GAAVX Sharpe Ratio Rank: 72
GAAVX Sortino Ratio Rank: 82
GAAVX Omega Ratio Rank: 72
GAAVX Calmar Ratio Rank: 90
GAAVX Martin Ratio Rank: 61

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.

GSRTX vs. GAAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Absolute Return Tracker Fund (GSRTX) and GMO Alternative Allocation Fund (GAAVX). 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.

	GSRTX	GAAVX	Difference
Sharpe ratio: Return per unit of total volatility	2.04	2.05	0.00
Sortino ratio: Return per unit of downside risk	2.84	3.34	-0.50
Omega ratio: Gain probability vs. loss probability	1.39	1.39	0.00
Calmar ratio: Return relative to maximum drawdown	2.90	4.03	-1.14
Martin ratio: Return relative to average drawdown	12.18	10.27	+1.91

GSRTX vs. GAAVX - Sharpe Ratio Comparison

The current GSRTX Sharpe Ratio is 2.04, which is comparable to the GAAVX Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of GSRTX and GAAVX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GSRTX vs. GAAVX - Drawdown Comparison

The maximum GSRTX drawdown since its inception was -13.27%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GSRTX and GAAVX.

Drawdown Indicators

	GSRTX	GAAVX	Difference
Max Drawdown Largest peak-to-trough decline	-13.27%	-9.59%	-3.68%
Max Drawdown (1Y) Largest decline over 1 year	-4.35%	-3.39%	-0.96%
Max Drawdown (3Y) Largest decline over 3 years	-8.51%	-7.73%	-0.78%
Max Drawdown (5Y) Largest decline over 5 years	-10.96%	-7.73%	-3.23%
Max Drawdown (10Y) Largest decline over 10 years	-13.27%	—	—
Current Drawdown Current decline from peak	-1.24%	-3.18%	+1.94%
Average Drawdown Average peak-to-trough decline	-2.25%	-3.07%	+0.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.03%	1.33%	-0.30%

Volatility

GSRTX vs. GAAVX - Volatility Comparison

Goldman Sachs Absolute Return Tracker Fund (GSRTX) has a higher volatility of 2.54% compared to GMO Alternative Allocation Fund (GAAVX) at 2.22%. This indicates that GSRTX's price experiences larger fluctuations and is considered to be riskier than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GSRTX	GAAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.54%	2.22%	+0.32%
Volatility (6M) Calculated over the trailing 6-month period	5.06%	5.08%	-0.02%
Volatility (1Y) Calculated over the trailing 1-year period	6.19%	6.69%	-0.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.76%	5.91%	+0.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.50%	5.92%	+0.58%

GSRTX vs. GAAVX - Expense Ratio Comparison

GSRTX has a 0.75% expense ratio, which is higher than GAAVX's 0.61% expense ratio.

Dividends

GSRTX vs. GAAVX - Dividend Comparison

GSRTX's dividend yield for the trailing twelve months is around 1.96%, less than GAAVX's 8.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAAVX GMO Alternative Allocation Fund	8.67%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%	0.00%	0.00%	0.00%
GSRTX Goldman Sachs Absolute Return Tracker Fund	1.96%	2.07%	1.05%	2.69%	5.18%	9.00%	0.61%	3.52%	2.62%	3.51%	0.54%	1.66%

Frequently Asked Questions

Can I hold both GSRTX and GAAVX in my portfolio?

GSRTX and GAAVX have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GSRTX or GAAVX?

GSRTX has higher volatility (2.54%) compared to GAAVX (2.22%). In terms of maximum drawdown, GSRTX dropped -13.27% vs GAAVX's -9.59%.

Which has better risk-adjusted returns?

GAAVX currently has the higher Sharpe Ratio (2.05 vs 2.04), 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.