GFIRX vs. CSAAX
GFIRX (Goldman Sachs Managed Futures Strategy Fund) and CSAAX (Mast Managed Futures Strategy Fund Class A) are both Systematic Trend funds. Over the past 10 years, GFIRX returned 2.69%/yr vs -0.26%/yr for CSAAX. Their 0.66 correlation means they have sometimes moved together and sometimes differently. GFIRX charges 1.33%/yr vs 1.58%/yr for CSAAX.
Performance
GFIRX vs. CSAAX - Performance Comparison
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Returns By Period
In the year-to-date period, GFIRX achieves a 5.85% return, which is significantly higher than CSAAX's 1.38% return. Over the past 10 years, GFIRX has outperformed CSAAX with an annualized return of 2.69%, while CSAAX has yielded a comparatively lower -0.26% annualized return.
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%
CSAAX
- 1D
- -0.26%
- 1M
- -1.27%
- 6M
- -1.53%
- YTD
- 1.38%
- 1Y
- 9.82%
- 3Y*
- -4.06%
- 5Y*
- -0.19%
- 10Y*
- -0.26%
- ALL TIME*
- 1.96%
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 |
GFIRX vs. CSAAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
CSAAX Mast Managed Futures Strategy Fund Class A | 1.38% | -6.15% | -5.81% | -6.29% | 20.93% | 7.18% | 1.57% | -4.58% | -4.32% | -1.57% |
Correlation
The correlation between GFIRX and CSAAX is 0.68, 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. | 0.68 |
Correlation (3Y) Balances recent behavior with more history. | 0.62 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.62 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.67 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2013 | 0.66 |
The correlation between GFIRX and CSAAX has been stable across timeframes, ranging from 0.62 to 0.68 - a consistent structural relationship.
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Return for Risk
GFIRX vs. CSAAX — Risk / Return Rank
GFIRX
CSAAX
GFIRX vs. CSAAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Managed Futures Strategy Fund (GFIRX) and Mast Managed Futures Strategy Fund Class A (CSAAX). 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.
| GFIRX | CSAAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.01 | ||
| Sortino ratioReturn per unit of downside risk | +1.46 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.15 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 3.05 | 1.12 | +1.92 |
| Martin ratioReturn relative to average drawdown | 8.88 | 2.58 | +6.30 |
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Drawdowns
GFIRX vs. CSAAX - Drawdown Comparison
The maximum GFIRX drawdown since its inception was -23.09%, smaller than the maximum CSAAX drawdown of -29.18%. Use the drawdown chart below to compare losses from any high point for GFIRX and CSAAX.
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Drawdown Indicators
| GFIRX | CSAAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.09% | -29.18% | +6.09% |
Max Drawdown (1Y)Largest decline over 1 year | -4.86% | -7.71% | +2.85% |
Max Drawdown (3Y)Largest decline over 3 years | -22.39% | -22.20% | -0.19% |
Max Drawdown (5Y)Largest decline over 5 years | -23.09% | -29.18% | +6.09% |
Max Drawdown (10Y)Largest decline over 10 years | -23.09% | -29.18% | +6.09% |
Current DrawdownCurrent decline from peak | -7.35% | -22.00% | +14.65% |
Average DrawdownAverage peak-to-trough decline | -7.02% | -10.77% | +3.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.66% | 3.35% | -1.69% |
Volatility
GFIRX vs. CSAAX - Volatility Comparison
Goldman Sachs Managed Futures Strategy Fund (GFIRX) has a higher volatility of 2.56% compared to Mast Managed Futures Strategy Fund Class A (CSAAX) at 2.30%. This indicates that GFIRX's price experiences larger fluctuations and is considered to be riskier than CSAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GFIRX | CSAAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.56% | 2.30% | +0.26% |
Volatility (6M)Calculated over the trailing 6-month period | 6.89% | 10.02% | -3.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.47% | 11.69% | -3.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.44% | 10.37% | +0.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.11% | 10.08% | -0.97% |
GFIRX vs. CSAAX - Expense Ratio Comparison
GFIRX has a 1.33% expense ratio, which is lower than CSAAX's 1.58% expense ratio.
Dividends
GFIRX vs. CSAAX - Dividend Comparison
GFIRX has not paid dividends to shareholders, while CSAAX's dividend yield for the trailing twelve months is around 2.86%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CSAAX Mast Managed Futures Strategy Fund Class A | 2.86% | 2.13% | 1.76% | 0.27% | 18.83% | 8.69% | 0.00% | 1.51% | 0.00% | 0.00% | 2.66% | 8.46% |
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
GFIRX and CSAAX have a correlation of 0.68, 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 CSAAX (2.30%). In terms of maximum drawdown, GFIRX dropped -23.09% vs CSAAX's -29.18%.
GFIRX currently has the higher Sharpe Ratio (1.75 vs 0.74), 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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