GFIRX vs. EVOIX

Last updated Jun 24, 2026

GFIRX (Goldman Sachs Managed Futures Strategy Fund) and EVOIX (Altegris Futures Evolution Strategy Fund) are both Systematic Trend funds. Over the past 10 years, GFIRX returned 3.19%/yr vs 3.19%/yr for EVOIX. A 0.68 correlation means they provide meaningful diversification when combined. GFIRX charges 1.33%/yr vs 1.34%/yr for EVOIX.

Performance

GFIRX vs. EVOIX - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with GFIRX having a 7.48% return and EVOIX slightly lower at 7.38%. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: GFIRX at 3.19% and EVOIX at 3.19%.

GFIRX

• 1D: 0.81%
• 1M: 0.20%
• YTD: 7.48%
• 6M: 7.24%
• 1Y: 19.81%
• 3Y*: -0.07%
• 5Y*: 3.79%
• 10Y*: 3.19%

EVOIX

• 1D: 0.60%
• 1M: -1.62%
• YTD: 7.38%
• 6M: 7.29%
• 1Y: 23.23%
• 3Y*: 5.24%
• 5Y*: 7.46%
• 10Y*: 3.19%

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

GFIRX vs. EVOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GFIRX Goldman Sachs Managed Futures Strategy Fund	7.48%	0.54%	-5.17%	-3.87%	20.44%	4.86%	6.94%	2.61%	-2.24%	2.56%
EVOIX Altegris Futures Evolution Strategy Fund	7.38%	4.69%	3.86%	5.03%	12.84%	12.20%	-12.94%	4.22%	-7.58%	9.09%

Correlation

The correlation between GFIRX and EVOIX 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 2, 2013	0.68

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

Return for Risk

GFIRX vs. EVOIX — Risk / Return Rank

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

GFIRX

GFIRX Risk / Return Rank: 85
GFIRX Sharpe Ratio Rank: 88
GFIRX Sortino Ratio Rank: 85
GFIRX Omega Ratio Rank: 82
GFIRX Calmar Ratio Rank: 90
GFIRX Martin Ratio Rank: 78

EVOIX

EVOIX Risk / Return Rank: 77
EVOIX Sharpe Ratio Rank: 78
EVOIX Sortino Ratio Rank: 68
EVOIX Omega Ratio Rank: 71
EVOIX Calmar Ratio Rank: 91
EVOIX Martin Ratio Rank: 79

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.

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.

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	EVOIX	Difference
Sharpe ratio: Return per unit of total volatility	2.66	2.38	+0.29
Sortino ratio: Return per unit of downside risk	3.75	3.15	+0.60
Omega ratio: Gain probability vs. loss probability	1.50	1.43	+0.07
Calmar ratio: Return relative to maximum drawdown	4.30	4.51	-0.21
Martin ratio: Return relative to average drawdown	13.70	13.72	-0.02

GFIRX vs. EVOIX - Sharpe Ratio Comparison

The current GFIRX Sharpe Ratio is 2.66, which is comparable to the EVOIX Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of GFIRX and EVOIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	GFIRX	EVOIX	Difference
Max Drawdown Largest peak-to-trough decline	-23.09%	-29.57%	+6.48%
Max Drawdown (1Y) Largest decline over 1 year	-4.86%	-5.32%	+0.46%
Max Drawdown (3Y) Largest decline over 3 years	-22.39%	-18.80%	-3.59%
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 Drawdown Current decline from peak	-5.93%	-2.76%	-3.17%
Average Drawdown Average peak-to-trough decline	-7.02%	-8.14%	+1.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.52%	1.74%	-0.22%

Volatility

GFIRX vs. EVOIX - Volatility Comparison

Goldman Sachs Managed Futures Strategy Fund (GFIRX) has a higher volatility of 2.71% compared to Altegris Futures Evolution Strategy Fund (EVOIX) at 2.18%. 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.

Volatility by Period

	GFIRX	EVOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.71%	2.18%	+0.53%
Volatility (6M) Calculated over the trailing 6-month period	6.33%	7.79%	-1.46%
Volatility (1Y) Calculated over the trailing 1-year period	7.85%	10.11%	-2.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.40%	9.61%	+0.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.08%	10.47%	-1.39%

GFIRX vs. EVOIX - Expense Ratio Comparison

GFIRX has a 1.33% expense ratio, which is lower than EVOIX's 1.34% expense ratio.

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 9.28%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EVOIX Altegris Futures Evolution Strategy Fund	9.28%	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

Can I hold both GFIRX and EVOIX in my portfolio?

GFIRX and EVOIX 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, GFIRX or EVOIX?

GFIRX has higher volatility (2.71%) compared to EVOIX (2.18%). In terms of maximum drawdown, GFIRX dropped -23.09% vs EVOIX's -29.57%.

Which has better risk-adjusted returns?

GFIRX currently has the higher Sharpe Ratio (2.66 vs 2.38), 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.