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GTAPX vs. ABRSX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

GTAPX vs. ABRSX

Last updated Jun 24, 2026

GTAPX (Quantitative U.S. Long/Short Equity Portfolio) and ABRSX (ABR 50/50 Volatility Fund) are both Long-Short funds. Over the past 5 years, GTAPX returned 9.27%/yr vs 5.87%/yr for ABRSX. At a 0.42 correlation, their price movements are largely independent. GTAPX charges 1.25%/yr vs 2.00%/yr for ABRSX.

Performance

GTAPX vs. ABRSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Quantitative U.S. Long/Short Equity Portfolio (GTAPX) and ABR 50/50 Volatility Fund (ABRSX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, GTAPX achieves a 4.89% return, which is significantly higher than ABRSX's 4.01% return.

GTAPX

1D
0.67%
1M
-0.15%
YTD
4.89%
6M
4.32%
1Y
14.07%
3Y*
11.22%
5Y*
9.27%
10Y*
5.85%

ABRSX

1D
-0.33%
1M
4.25%
YTD
4.01%
6M
3.59%
1Y
28.87%
3Y*
10.95%
5Y*
5.87%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

GTAPX vs. ABRSX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
GTAPX
Quantitative U.S. Long/Short Equity Portfolio		4.89%12.79%13.28%4.42%3.16%17.72%-5.16%3.26%-8.65%2.27%
ABRSX
ABR 50/50 Volatility Fund		4.01%6.22%13.84%38.75%-34.12%40.73%5.69%79.73%-47.83%6.74%

Correlation

The correlation between GTAPX and ABRSX is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.37

Correlation (3Y)
Calculated over the trailing 3-year period

0.42

Correlation (5Y)
Calculated over the trailing 5-year period

0.41

Correlation (All Time)
Calculated using the full available price history since Oct 3, 2017

0.42

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Quantitative U.S. Long/Short Equity Portfolio

ABR 50/50 Volatility Fund

Often compared with GTAPX:
GTAPX vs. QAMNXGTAPX vs. LEQIXGTAPX vs. SAOAXGTAPX vs. SPYGTAPX vs. GARIXGTAPX vs. WRAIXGTAPX vs. RLSIX
Often compared with ABRSX:
ABRSX vs. VOLSXABRSX vs. ABRVXABRSX vs. LSEIXABRSX vs. ASILXABRSX vs. JAKVXABRSX vs. BDMIXABRSX vs. BTPIX

Return for Risk

GTAPX vs. ABRSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GTAPX
GTAPX Risk / Return Rank: 7373
Overall Rank
GTAPX Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
GTAPX Sortino Ratio Rank: 6969
Sortino Ratio Rank
GTAPX Omega Ratio Rank: 5454
Omega Ratio Rank
GTAPX Calmar Ratio Rank: 9393
Calmar Ratio Rank
GTAPX Martin Ratio Rank: 8686
Martin Ratio Rank
ABRSX
ABRSX Risk / Return Rank: 2727
Overall Rank
ABRSX Sharpe Ratio Rank: 2828
Sharpe Ratio Rank
ABRSX Sortino Ratio Rank: 2525
Sortino Ratio Rank
ABRSX Omega Ratio Rank: 3333
Omega Ratio Rank
ABRSX Calmar Ratio Rank: 2323
Calmar Ratio Rank
ABRSX Martin Ratio Rank: 2929
Martin Ratio Rank
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.

GTAPX vs. ABRSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Quantitative U.S. Long/Short Equity Portfolio (GTAPX) and ABR 50/50 Volatility Fund (ABRSX). 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.

GTAPXABRSXDifference
Sharpe ratioReturn per unit of total volatility
2.13
1.40

+0.73

Sortino ratioReturn per unit of downside risk
3.16
1.92

+1.24

Omega ratioGain probability vs. loss probability

1.37

1.28

+0.09

Calmar ratioReturn relative to maximum drawdown

4.85

1.60

+3.25

Martin ratioReturn relative to average drawdown

14.86

6.36

+8.50

GTAPX vs. ABRSX - Sharpe Ratio Comparison

The current GTAPX Sharpe Ratio is 2.13, which is higher than the ABRSX Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of GTAPX and ABRSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

GTAPX vs. ABRSX - Drawdown Comparison

The maximum GTAPX drawdown since its inception was -30.40%, smaller than the maximum ABRSX drawdown of -49.78%. Use the drawdown chart below to compare losses from any high point for GTAPX and ABRSX.

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Drawdown Indicators

GTAPXABRSXDifference

Max Drawdown

Largest peak-to-trough decline

-30.40%

-49.78%

+19.38%

Max Drawdown (1Y)

Largest decline over 1 year

-3.01%

-19.12%

+16.11%

Max Drawdown (3Y)

Largest decline over 3 years

-12.21%

-27.83%

+15.62%

Max Drawdown (5Y)

Largest decline over 5 years

-12.21%

-44.57%

+32.36%

Max Drawdown (10Y)

Largest decline over 10 years

-30.40%

—

—

Current Drawdown

Current decline from peak

-1.17%

-0.44%

-0.73%

Average Drawdown

Average peak-to-trough decline

-7.02%

-15.86%

+8.84%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.98%

4.82%

-3.84%

Volatility

GTAPX vs. ABRSX - Volatility Comparison

The current volatility for Quantitative U.S. Long/Short Equity Portfolio (GTAPX) is 2.19%, while ABR 50/50 Volatility Fund (ABRSX) has a volatility of 5.81%. This indicates that GTAPX experiences smaller price fluctuations and is considered to be less risky than ABRSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

GTAPXABRSXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.19%

5.81%

-3.62%

Volatility (6M)

Calculated over the trailing 6-month period

5.25%

18.23%

-12.98%

Volatility (1Y)

Calculated over the trailing 1-year period

6.86%

21.93%

-15.07%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.88%

27.41%

-16.53%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

10.24%

36.15%

-25.91%

GTAPX vs. ABRSX - Expense Ratio Comparison

GTAPX has a 1.25% expense ratio, which is lower than ABRSX's 2.00% expense ratio.

Dividends

GTAPX vs. ABRSX - Dividend Comparison

GTAPX's dividend yield for the trailing twelve months is around 15.81%, more than ABRSX's 0.61% yield.

PositionTTM202520242023202220212020201920182017
ABRSX
ABR 50/50 Volatility Fund		0.61%0.63%1.04%0.00%0.00%47.19%0.00%10.50%12.88%0.99%
GTAPX
Quantitative U.S. Long/Short Equity Portfolio		15.81%16.63%11.79%11.23%0.00%0.00%0.00%0.96%0.00%0.00%

Frequently Asked Questions

GTAPX and ABRSX have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ABRSX has higher volatility (5.81%) compared to GTAPX (2.19%). In terms of maximum drawdown, GTAPX dropped -30.40% vs ABRSX's -49.78%.

GTAPX currently has the higher Sharpe Ratio (2.13 vs 1.40), 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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