EVOIX vs. GFIRX
EVOIX (Winton Managed Futures Trend Fund) and GFIRX (Goldman Sachs Managed Futures Strategy Fund) are both Systematic Trend funds. Over the past 10 years, EVOIX returned 2.74%/yr vs 2.69%/yr for GFIRX. Their 0.68 correlation means they have sometimes moved together and sometimes differently. EVOIX charges 1.34%/yr vs 1.33%/yr for GFIRX.
Performance
EVOIX vs. GFIRX - Performance Comparison
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Returns By Period
In the year-to-date period, EVOIX achieves a 6.42% return, which is significantly higher than GFIRX's 5.85% return. Both investments have delivered pretty close results over the past 10 years, with EVOIX having a 2.74% annualized return and GFIRX not far behind at 2.69%.
EVOIX
- 1D
- 0.00%
- 1M
- 1.22%
- 6M
- 3.11%
- YTD
- 6.42%
- 1Y
- 21.44%
- 3Y*
- 5.21%
- 5Y*
- 6.82%
- 10Y*
- 2.74%
- ALL TIME*
- 4.05%
GFIRX
- 1D
- -0.31%
- 1M
- 1.03%
- 6M
- 3.61%
- YTD
- 5.85%
- 1Y
- 16.31%
- 3Y*
- -0.47%
- 5Y*
- 3.46%
- 10Y*
- 2.69%
- ALL TIME*
- 2.31%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
EVOIX vs. GFIRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Winton Managed Futures Trend Fund | 6.42% | 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 | 5.85% | 0.54% | -5.17% | -3.87% | 20.44% | 4.86% | 6.94% | 2.61% | -2.24% | 2.56% |
Correlation
The correlation between EVOIX and GFIRX is 0.70, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.70 |
Correlation (3Y) Balances recent behavior with more history. | 0.65 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.67 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.68 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2013 | 0.68 |
The correlation between EVOIX and GFIRX has been stable across timeframes, ranging from 0.65 to 0.70 - a consistent structural relationship.
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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 Winton Managed Futures Trend 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.
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.
| EVOIX | GFIRX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.23 | ||
| Sortino ratioReturn per unit of downside risk | +0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.31 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 3.74 | 3.05 | +0.69 |
| Martin ratioReturn relative to average drawdown | 9.51 | 8.88 | +0.63 |
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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 | -5.38% | -4.86% | -0.52% |
Max Drawdown (3Y)Largest decline over 3 years | -18.80% | -22.39% | +3.59% |
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 | -3.63% | -7.35% | +3.72% |
Average DrawdownAverage peak-to-trough decline | -8.11% | -7.02% | -1.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.11% | 1.66% | +0.45% |
Volatility
EVOIX vs. GFIRX - Volatility Comparison
The current volatility for Winton Managed Futures Trend Fund (EVOIX) is 2.02%, while Goldman Sachs Managed Futures Strategy Fund (GFIRX) has a volatility of 2.56%. 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 | 2.02% | 2.56% | -0.54% |
Volatility (6M)Calculated over the trailing 6-month period | 7.13% | 6.89% | +0.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.17% | 8.47% | +1.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.53% | 10.44% | -0.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.38% | 9.11% | +1.27% |
EVOIX vs. GFIRX - Expense Ratio Comparison
EVOIX has a 1.34% expense ratio, which is higher than GFIRX's 1.33% expense ratio.
Dividends
EVOIX vs. GFIRX - Dividend Comparison
EVOIX's dividend yield for the trailing twelve months is around 9.16%, while GFIRX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Winton Managed Futures Trend Fund | 9.16% | 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% |
Frequently Asked Questions
EVOIX and GFIRX have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GFIRX has higher volatility (2.56%) compared to EVOIX (2.02%). In terms of maximum drawdown, EVOIX dropped -29.57% vs GFIRX's -23.09%.
EVOIX currently has the higher Sharpe Ratio (1.98 vs 1.75), 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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