GFIRX vs. EVOIX
Compare and contrast key facts about Goldman Sachs Managed Futures Strategy Fund (GFIRX) and Altegris Futures Evolution Strategy Fund (EVOIX).
GFIRX is managed by Goldman Sachs. It was launched on Feb 28, 2012. EVOIX is managed by Altegris. It was launched on Oct 30, 2011.
Performance
GFIRX vs. EVOIX - Performance Comparison
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GFIRX vs. EVOIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
Returns By Period
In the year-to-date period, GFIRX achieves a 0.43% return, which is significantly lower than EVOIX's 5.30% return. Over the past 10 years, GFIRX has underperformed EVOIX with an annualized return of 2.35%, while EVOIX has yielded a comparatively higher 2.86% annualized return.
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%
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%
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GFIRX vs. EVOIX - Expense Ratio Comparison
GFIRX has a 1.33% expense ratio, which is lower than EVOIX's 1.34% expense ratio.
Return for Risk
GFIRX vs. EVOIX — Risk / Return Rank
GFIRX
EVOIX
GFIRX vs. EVOIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Managed Futures Strategy Fund (GFIRX) and Altegris Futures Evolution Strategy Fund (EVOIX). 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.
| GFIRX | EVOIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.89 | 1.35 | -0.45 |
Sortino ratioReturn per unit of downside risk | 1.26 | 1.83 | -0.57 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.25 | -0.08 |
Calmar ratioReturn relative to maximum drawdown | 1.38 | 1.71 | -0.33 |
Martin ratioReturn relative to average drawdown | 4.28 | 3.56 | +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
| GFIRX | EVOIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.89 | 1.35 | -0.45 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.24 | 0.80 | -0.56 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.26 | 0.27 | -0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.23 | 0.40 | -0.17 |
Correlation
The correlation between GFIRX and EVOIX 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
GFIRX vs. EVOIX - Dividend Comparison
GFIRX has not paid dividends to shareholders, while EVOIX's dividend yield for the trailing twelve months is around 10.06%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
Drawdowns
GFIRX vs. EVOIX - Drawdown Comparison
The maximum GFIRX drawdown since its inception was -23.09%, smaller than the maximum EVOIX drawdown of -29.57%. Use the drawdown chart below to compare losses from any high point for GFIRX and EVOIX.
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Drawdown Indicators
| GFIRX | EVOIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.09% | -29.57% | +6.48% |
Max Drawdown (1Y)Largest decline over 1 year | -5.37% | -7.61% | +2.24% |
Max Drawdown (5Y)Largest decline over 5 years | -23.09% | -18.80% | -4.29% |
Max Drawdown (10Y)Largest decline over 10 years | -23.09% | -29.57% | +6.48% |
Current DrawdownCurrent decline from peak | -12.09% | -0.76% | -11.33% |
Average DrawdownAverage peak-to-trough decline | -7.00% | -8.25% | +1.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.88% | 3.73% | -1.85% |
Volatility
GFIRX vs. EVOIX - Volatility Comparison
Goldman Sachs Managed Futures Strategy Fund (GFIRX) has a higher volatility of 3.28% compared to Altegris Futures Evolution Strategy Fund (EVOIX) at 2.53%. This indicates that GFIRX's price experiences larger fluctuations and is considered to be riskier than EVOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GFIRX | EVOIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.28% | 2.53% | +0.75% |
Volatility (6M)Calculated over the trailing 6-month period | 6.24% | 7.95% | -1.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.81% | 10.05% | -1.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.37% | 9.69% | +0.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.04% | 10.46% | -1.42% |