EVOIX vs. GFIRX
Compare and contrast key facts about Altegris Futures Evolution Strategy Fund (EVOIX) and Goldman Sachs Managed Futures Strategy Fund (GFIRX).
EVOIX is managed by Altegris. It was launched on Oct 30, 2011. GFIRX is managed by Goldman Sachs. It was launched on Feb 28, 2012.
Performance
EVOIX vs. GFIRX - Performance Comparison
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EVOIX vs. GFIRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Altegris Futures Evolution Strategy Fund | 5.30% | 4.69% | 3.86% | 5.03% | 12.84% | 12.20% | -12.94% | 4.22% | -7.58% | 9.09% |
GFIRX Goldman Sachs Managed Futures Strategy Fund | 0.43% | 0.54% | -5.17% | -3.87% | 20.44% | 4.86% | 6.94% | 2.61% | -2.24% | 2.56% |
Returns By Period
In the year-to-date period, EVOIX achieves a 5.30% return, which is significantly higher than GFIRX's 0.43% return. Over the past 10 years, EVOIX has outperformed GFIRX with an annualized return of 2.86%, while GFIRX has yielded a comparatively lower 2.35% annualized return.
EVOIX
- 1D
- -0.30%
- 1M
- -0.76%
- YTD
- 5.30%
- 6M
- 11.30%
- 1Y
- 13.46%
- 3Y*
- 7.27%
- 5Y*
- 7.75%
- 10Y*
- 2.86%
GFIRX
- 1D
- -0.54%
- 1M
- -3.94%
- YTD
- 0.43%
- 6M
- 4.04%
- 1Y
- 7.92%
- 3Y*
- -0.21%
- 5Y*
- 2.49%
- 10Y*
- 2.35%
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EVOIX vs. GFIRX - Expense Ratio Comparison
EVOIX has a 1.34% expense ratio, which is higher than GFIRX's 1.33% expense ratio.
Return for Risk
EVOIX vs. GFIRX — Risk / Return Rank
EVOIX
GFIRX
EVOIX vs. GFIRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Altegris Futures Evolution Strategy Fund (EVOIX) and Goldman Sachs Managed Futures Strategy Fund (GFIRX). 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.
| EVOIX | GFIRX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.35 | 0.89 | +0.45 |
Sortino ratioReturn per unit of downside risk | 1.83 | 1.26 | +0.57 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.17 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 1.71 | 1.38 | +0.33 |
Martin ratioReturn relative to average drawdown | 3.56 | 4.28 | -0.72 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EVOIX | GFIRX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.35 | 0.89 | +0.45 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.80 | 0.24 | +0.56 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 0.26 | +0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.23 | +0.17 |
Correlation
The correlation between EVOIX and GFIRX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
EVOIX vs. GFIRX - Dividend Comparison
EVOIX's dividend yield for the trailing twelve months is around 10.06%, while GFIRX has not paid dividends to shareholders.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Altegris Futures Evolution Strategy Fund | 10.06% | 11.11% | 10.09% | 1.71% | 34.87% | 9.73% | 2.23% | 1.63% | 5.52% | 1.57% | 7.27% | 9.05% |
GFIRX Goldman Sachs Managed Futures Strategy Fund | 0.00% | 0.00% | 0.00% | 0.00% | 20.11% | 7.35% | 1.21% | 7.06% | 0.16% | 0.49% | 0.00% | 3.98% |
Drawdowns
EVOIX vs. GFIRX - Drawdown Comparison
The maximum EVOIX drawdown since its inception was -29.57%, which is greater than GFIRX's maximum drawdown of -23.09%. Use the drawdown chart below to compare losses from any high point for EVOIX and GFIRX.
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Drawdown Indicators
| EVOIX | GFIRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.57% | -23.09% | -6.48% |
Max Drawdown (1Y)Largest decline over 1 year | -7.61% | -5.37% | -2.24% |
Max Drawdown (5Y)Largest decline over 5 years | -18.80% | -23.09% | +4.29% |
Max Drawdown (10Y)Largest decline over 10 years | -29.57% | -23.09% | -6.48% |
Current DrawdownCurrent decline from peak | -0.76% | -12.09% | +11.33% |
Average DrawdownAverage peak-to-trough decline | -8.25% | -7.00% | -1.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.73% | 1.88% | +1.85% |
Volatility
EVOIX vs. GFIRX - Volatility Comparison
The current volatility for Altegris Futures Evolution Strategy Fund (EVOIX) is 2.53%, while Goldman Sachs Managed Futures Strategy Fund (GFIRX) has a volatility of 3.28%. This indicates that EVOIX experiences smaller price fluctuations and is considered to be less risky than GFIRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EVOIX | GFIRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.53% | 3.28% | -0.75% |
Volatility (6M)Calculated over the trailing 6-month period | 7.95% | 6.24% | +1.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.05% | 8.81% | +1.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.69% | 10.37% | -0.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.46% | 9.04% | +1.42% |