EVOIX vs. GMSAX

Last updated Jun 4, 2026

EVOIX (Altegris Futures Evolution Strategy Fund) and GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) are both Systematic Trend funds. Over the past 10 years, EVOIX returned 3.58%/yr vs 3.07%/yr for GMSAX. A 0.67 correlation means they provide meaningful diversification when combined. EVOIX charges 1.34%/yr vs 1.54%/yr for GMSAX.

Performance

EVOIX vs. GMSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Altegris Futures Evolution Strategy Fund (EVOIX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EVOIX achieves a 8.67% return, which is significantly higher than GMSAX's 7.84% return. Over the past 10 years, EVOIX has outperformed GMSAX with an annualized return of 3.58%, while GMSAX has yielded a comparatively lower 3.07% annualized return.

EVOIX

• 1D: -0.15%
• 1M: 0.74%
• YTD: 8.67%
• 6M: 11.53%
• 1Y: 25.40%
• 3Y*: 6.11%
• 5Y*: 7.17%
• 10Y*: 3.58%

GMSAX

• 1D: 0.42%
• 1M: 3.44%
• YTD: 7.84%
• 6M: 8.20%
• 1Y: 17.87%
• 3Y*: 0.45%
• 5Y*: 3.08%
• 10Y*: 3.07%

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

EVOIX vs. GMSAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EVOIX Altegris Futures Evolution Strategy Fund	8.67%	4.69%	3.86%	5.03%	12.84%	12.20%	-12.94%	4.22%	-7.58%	9.09%
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	7.84%	0.22%	-5.31%	-4.18%	20.08%	4.68%	6.64%	2.29%	-2.37%	2.29%

Correlation

The correlation between EVOIX and GMSAX is 0.67, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.67
Correlation (3Y) Calculated over the trailing 3-year period	0.64
Correlation (5Y) Calculated over the trailing 5-year period	0.67
Correlation (10Y) Calculated over the trailing 10-year period	0.68
Correlation (All Time) Calculated using the full available price history since Jan 3, 2013	0.67

The correlation between EVOIX and GMSAX has been stable across timeframes, ranging from 0.64 to 0.68 - a consistent structural relationship.

Return for Risk

EVOIX vs. GMSAX — Risk / Return Rank

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

EVOIX

EVOIX Risk / Return Rank: 75
EVOIX Sharpe Ratio Rank: 75
EVOIX Sortino Ratio Rank: 61
EVOIX Omega Ratio Rank: 65
EVOIX Calmar Ratio Rank: 91
EVOIX Martin Ratio Rank: 82

GMSAX

GMSAX Risk / Return Rank: 64
GMSAX Sharpe Ratio Rank: 60
GMSAX Sortino Ratio Rank: 59
GMSAX Omega Ratio Rank: 58
GMSAX Calmar Ratio Rank: 81
GMSAX Martin Ratio Rank: 60

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.

EVOIX vs. GMSAX - 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 Class A (GMSAX). 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	GMSAX	Difference
Sharpe ratio Return per unit of total volatility	2.50	2.30	+0.20
Sortino ratio Return per unit of downside risk	3.29	3.23	+0.06
Omega ratio Gain probability vs. loss probability	1.45	1.43	+0.03
Calmar ratio Return relative to maximum drawdown	4.76	3.72	+1.04
Martin ratio Return relative to average drawdown	15.43	11.97	+3.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EVOIX vs. GMSAX - Sharpe Ratio Comparison

The current EVOIX Sharpe Ratio is 2.50, which is comparable to the GMSAX Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of EVOIX and GMSAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	EVOIX	GMSAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.50	2.30	+0.20
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.74	0.30	+0.44
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.34	0.34	0.00
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.26	+0.16

Drawdowns

EVOIX vs. GMSAX - Drawdown Comparison

The maximum EVOIX drawdown since its inception was -29.57%, which is greater than GMSAX's maximum drawdown of -23.58%. Use the drawdown chart below to compare losses from any high point for EVOIX and GMSAX.

Drawdown Indicators

	EVOIX	GMSAX	Difference
Max Drawdown Largest peak-to-trough decline	-29.57%	-23.58%	-5.99%
Max Drawdown (1Y) Largest decline over 1 year	-5.32%	-4.81%	-0.51%
Max Drawdown (3Y) Largest decline over 3 years	-18.80%	-22.56%	+3.76%
Max Drawdown (5Y) Largest decline over 5 years	-18.80%	-23.58%	+4.78%
Max Drawdown (10Y) Largest decline over 10 years	-29.57%	-23.58%	-5.99%
Current Drawdown Current decline from peak	-1.60%	-6.37%	+4.77%
Average Drawdown Average peak-to-trough decline	-8.16%	-7.26%	-0.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.64%	1.49%	+0.15%

Volatility

EVOIX vs. GMSAX - Volatility Comparison

Altegris Futures Evolution Strategy Fund (EVOIX) has a higher volatility of 2.95% compared to Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) at 2.05%. This indicates that EVOIX's price experiences larger fluctuations and is considered to be riskier than GMSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EVOIX	GMSAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.95%	2.05%	+0.90%
Volatility (6M) Calculated over the trailing 6-month period	7.79%	6.01%	+1.78%
Volatility (1Y) Calculated over the trailing 1-year period	10.13%	7.79%	+2.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.73%	10.41%	-0.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.49%	9.07%	+1.42%

EVOIX vs. GMSAX - Expense Ratio Comparison

EVOIX has a 1.34% expense ratio, which is lower than GMSAX's 1.54% expense ratio.

Dividends

EVOIX vs. GMSAX - Dividend Comparison

EVOIX's dividend yield for the trailing twelve months is around 9.37%, while GMSAX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EVOIX Altegris Futures Evolution Strategy Fund	9.37%	11.11%	10.09%	1.71%	34.87%	9.73%	2.23%	1.63%	5.52%	1.57%	7.27%	9.05%
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	0.00%	0.00%	0.00%	0.00%	20.24%	7.31%	1.24%	6.90%	0.16%	0.49%	0.00%	3.88%

Frequently Asked Questions

Can I hold both EVOIX and GMSAX in my portfolio?

EVOIX and GMSAX have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EVOIX or GMSAX?

EVOIX has higher volatility (2.95%) compared to GMSAX (2.05%). In terms of maximum drawdown, EVOIX dropped -29.57% vs GMSAX's -23.58%.

Which has better risk-adjusted returns?

EVOIX currently has the higher Sharpe Ratio (2.50 vs 2.30), 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.