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LoCorr Macro Strategies Fund (LFMAX) Sharpe Ratio: 2.37

Mutual Fund · Currency in USD · Last updated Jun 23, 2026

The investment seeks capital appreciation in rising and falling equity markets with managing volatility as a secondary objective. The fund seeks to achieve its investment objectives by allocating its assets using two principal strategies: "Managed Futures" Strategy and "Fixed Income" Strategy. The Managed Futures strategy is designed to produce capital appreciation by capturing returns related to the commodity and financial markets. The Fixed Income strategy is designed to generate interest income and preserve principal by investing primarily in investment grade securities.

LFMAX's Sharpe Ratio of 2.37 indicates that for each unit of volatility, it generates 2.37 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 23, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

LFMAX Sharpe Ratio Rank

LFMAX Sharpe Ratio Rank: 77.878
Above Average

LFMAX ranks above 77.8% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating above-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Above-average risk-adjusted returns with room for improvement
  • Compare against category peers to gauge relative positioning
  • Monitor for movement toward top tier or decline toward median
  • Consider pairing with top-tier holdings to improve portfolio efficiency

LFMAX Sharpe Ratio Market Positioning

The chart shows LFMAX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.33 or lower
  • Yellow zone (middle 50%): 1.33 to 2.32
  • Green zone (top 25%): 2.32 or higher
  • Top 1%: 4.33+
  • Median: 1.93 — half of all investments score higher

How it compares to other similar mutual funds

The table compares LoCorr Macro Strategies Fund's Sharpe Ratio with other mutual funds in the Systematic Trend category across multiple time periods, showing how LFMAX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 23, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
LOTIXLoCorr Market Trend Fund3.31
QNZNXAQR Trend Total Return Fund3.27
AQMIXAQR Managed Futures Strategy Fund2.73
AHLIXAmerican Beacon AHL Managed Futures Strategy Fund Class R52.73
AQMNXAQR Managed Futures Strategy Fund Class N2.71
AHLPXAmerican Beacon AHL Managed Futures Strategy Fund2.69
QMHIXAQR Managed Futures Strategy HV Fund2.49
QMHNXAQR Managed Futures Strategy HV Fund Class N2.47
GFIRXGoldman Sachs Managed Futures Strategy Fund2.45
GMSAXGoldman Sachs Managed Futures Strategy Fund Class A2.42
LFMAXLoCorr Macro Strategies Fund2.37

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows LFMAX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when LFMAX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does LFMAX fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

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