GTAPX vs. VOLSX

Last updated Jun 24, 2026

GTAPX (Quantitative U.S. Long/Short Equity Portfolio) and VOLSX (ABR 75/25 Volatility Fund) are both Long-Short funds. Over the past 5 years, GTAPX returned 9.27%/yr vs 4.56%/yr for VOLSX. At a 0.44 correlation, their price movements are largely independent. GTAPX charges 1.25%/yr vs 1.75%/yr for VOLSX.

Performance

GTAPX vs. VOLSX - 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 75/25 Volatility Fund (VOLSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GTAPX achieves a 4.89% return, which is significantly lower than VOLSX's 5.73% 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%

VOLSX

• 1D: -0.44%
• 1M: 0.88%
• YTD: 5.73%
• 6M: 5.01%
• 1Y: 24.07%
• 3Y*: 10.01%
• 5Y*: 4.56%
• 10Y*: —

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

GTAPX vs. VOLSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
GTAPX Quantitative U.S. Long/Short Equity Portfolio	4.89%	12.79%	13.28%	4.42%	3.16%	17.72%	4.23%
VOLSX ABR 75/25 Volatility Fund	5.73%	2.83%	15.19%	24.73%	-29.76%	27.64%	2.00%

Correlation

The correlation between GTAPX and VOLSX 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	0.43
Correlation (5Y) Calculated over the trailing 5-year period	0.43
Correlation (All Time) Calculated using the full available price history since Aug 3, 2020	0.44

Return for Risk

GTAPX vs. VOLSX — Risk / Return Rank

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

GTAPX

GTAPX Risk / Return Rank: 73
GTAPX Sharpe Ratio Rank: 62
GTAPX Sortino Ratio Rank: 69
GTAPX Omega Ratio Rank: 54
GTAPX Calmar Ratio Rank: 93
GTAPX Martin Ratio Rank: 86

VOLSX

VOLSX Risk / Return Rank: 42
VOLSX Sharpe Ratio Rank: 43
VOLSX Sortino Ratio Rank: 39
VOLSX Omega Ratio Rank: 46
VOLSX Calmar Ratio Rank: 34
VOLSX Martin Ratio Rank: 45

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. VOLSX - 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 75/25 Volatility Fund (VOLSX). 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.

	GTAPX	VOLSX	Difference
Sharpe ratio: Return per unit of total volatility	2.13	1.79	+0.34
Sortino ratio: Return per unit of downside risk	3.16	2.43	+0.73
Omega ratio: Gain probability vs. loss probability	1.37	1.34	+0.04
Calmar ratio: Return relative to maximum drawdown	4.85	2.07	+2.78
Martin ratio: Return relative to average drawdown	14.86	8.93	+5.93

GTAPX vs. VOLSX - Sharpe Ratio Comparison

The current GTAPX Sharpe Ratio is 2.13, which is comparable to the VOLSX Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of GTAPX and VOLSX, 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

GTAPX vs. VOLSX - Drawdown Comparison

The maximum GTAPX drawdown since its inception was -30.40%, smaller than the maximum VOLSX drawdown of -35.10%. Use the drawdown chart below to compare losses from any high point for GTAPX and VOLSX.

Drawdown Indicators

	GTAPX	VOLSX	Difference
Max Drawdown Largest peak-to-trough decline	-30.40%	-35.10%	+4.70%
Max Drawdown (1Y) Largest decline over 1 year	-3.01%	-12.37%	+9.36%
Max Drawdown (3Y) Largest decline over 3 years	-12.21%	-24.07%	+11.86%
Max Drawdown (5Y) Largest decline over 5 years	-12.21%	-35.10%	+22.89%
Max Drawdown (10Y) Largest decline over 10 years	-30.40%	—	—
Current Drawdown Current decline from peak	-1.17%	-1.46%	+0.29%
Average Drawdown Average peak-to-trough decline	-7.02%	-10.95%	+3.93%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	2.87%	-1.89%

Volatility

GTAPX vs. VOLSX - Volatility Comparison

The current volatility for Quantitative U.S. Long/Short Equity Portfolio (GTAPX) is 2.19%, while ABR 75/25 Volatility Fund (VOLSX) has a volatility of 4.60%. This indicates that GTAPX experiences smaller price fluctuations and is considered to be less risky than VOLSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GTAPX	VOLSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.19%	4.60%	-2.41%
Volatility (6M) Calculated over the trailing 6-month period	5.25%	11.51%	-6.26%
Volatility (1Y) Calculated over the trailing 1-year period	6.86%	14.37%	-7.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.88%	18.24%	-7.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.24%	18.92%	-8.68%

GTAPX vs. VOLSX - Expense Ratio Comparison

GTAPX has a 1.25% expense ratio, which is lower than VOLSX's 1.75% expense ratio.

Dividends

GTAPX vs. VOLSX - Dividend Comparison

GTAPX's dividend yield for the trailing twelve months is around 15.81%, more than VOLSX's 2.06% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
GTAPX Quantitative U.S. Long/Short Equity Portfolio	15.81%	16.63%	11.79%	11.23%	0.00%	0.00%	0.00%	0.96%
VOLSX ABR 75/25 Volatility Fund	2.06%	2.18%	2.24%	0.29%	0.00%	18.63%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GTAPX and VOLSX in my portfolio?

GTAPX and VOLSX 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.

Which is riskier, GTAPX or VOLSX?

VOLSX has higher volatility (4.60%) compared to GTAPX (2.19%). In terms of maximum drawdown, GTAPX dropped -30.40% vs VOLSX's -35.10%.

Which has better risk-adjusted returns?

GTAPX currently has the higher Sharpe Ratio (2.13 vs 1.79), 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.