GFIRX vs. GMSAX

Last updated Jun 4, 2026

GFIRX (Goldman Sachs Managed Futures Strategy Fund) and GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) are both Systematic Trend funds from Goldman Sachs. Over the past 10 years, GFIRX returned 3.32%/yr vs 3.07%/yr for GMSAX. With a 0.99 correlation, they move nearly in lockstep. GFIRX charges 1.33%/yr vs 1.54%/yr for GMSAX.

Performance

GFIRX vs. GMSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Managed Futures Strategy Fund (GFIRX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX). 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 7.91% return and GMSAX slightly lower at 7.84%. Over the past 10 years, GFIRX has outperformed GMSAX with an annualized return of 3.32%, while GMSAX has yielded a comparatively lower 3.07% annualized return.

GFIRX

• 1D: 0.40%
• 1M: 3.43%
• YTD: 7.91%
• 6M: 8.26%
• 1Y: 18.15%
• 3Y*: 0.71%
• 5Y*: 3.34%
• 10Y*: 3.32%

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)

GFIRX vs. GMSAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GFIRX Goldman Sachs Managed Futures Strategy Fund	7.91%	0.54%	-5.17%	-3.87%	20.44%	4.86%	6.94%	2.61%	-2.24%	2.56%
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 GFIRX and GMSAX is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.98
Correlation (3Y) Calculated over the trailing 3-year period	0.99
Correlation (5Y) Calculated over the trailing 5-year period	0.99
Correlation (10Y) Calculated over the trailing 10-year period	0.99
Correlation (All Time) Calculated using the full available price history since Jan 3, 2013	0.99

The correlation between GFIRX and GMSAX has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.

Return for Risk

GFIRX vs. GMSAX — Risk / Return Rank

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

GFIRX

GFIRX Risk / Return Rank: 66
GFIRX Sharpe Ratio Rank: 64
GFIRX Sortino Ratio Rank: 62
GFIRX Omega Ratio Rank: 62
GFIRX Calmar Ratio Rank: 81
GFIRX Martin Ratio Rank: 62

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.

GFIRX vs. GMSAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Managed Futures Strategy Fund (GFIRX) 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.

	GFIRX	GMSAX	Difference
Sharpe ratio: Return per unit of total volatility	2.35	2.30	+0.05
Sortino ratio: Return per unit of downside risk	3.31	3.23	+0.08
Omega ratio: Gain probability vs. loss probability	1.44	1.43	+0.01
Calmar ratio: Return relative to maximum drawdown	3.74	3.72	+0.02
Martin ratio: Return relative to average drawdown	12.13	11.97	+0.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GFIRX vs. GMSAX - Sharpe Ratio Comparison

The current GFIRX Sharpe Ratio is 2.35, which is comparable to the GMSAX Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of GFIRX 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

	GFIRX	GMSAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.35	2.30	+0.05
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.32	0.30	+0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	0.34	+0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.29	0.26	+0.03

Drawdowns

GFIRX vs. GMSAX - Drawdown Comparison

The maximum GFIRX drawdown since its inception was -23.09%, roughly equal to the maximum GMSAX drawdown of -23.58%. Use the drawdown chart below to compare losses from any high point for GFIRX and GMSAX.

Drawdown Indicators

	GFIRX	GMSAX	Difference
Max Drawdown Largest peak-to-trough decline	-23.09%	-23.58%	+0.49%
Max Drawdown (1Y) Largest decline over 1 year	-4.86%	-4.81%	-0.05%
Max Drawdown (3Y) Largest decline over 3 years	-22.39%	-22.56%	+0.17%
Max Drawdown (5Y) Largest decline over 5 years	-23.09%	-23.58%	+0.49%
Max Drawdown (10Y) Largest decline over 10 years	-23.09%	-23.58%	+0.49%
Current Drawdown Current decline from peak	-5.55%	-6.37%	+0.82%
Average Drawdown Average peak-to-trough decline	-7.02%	-7.26%	+0.24%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.49%	1.49%	0.00%

Volatility

GFIRX vs. GMSAX - Volatility Comparison

Goldman Sachs Managed Futures Strategy Fund (GFIRX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) have volatilities of 2.10% and 2.05%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GFIRX	GMSAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.10%	2.05%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	6.00%	6.01%	-0.01%
Volatility (1Y) Calculated over the trailing 1-year period	7.75%	7.79%	-0.04%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.40%	10.41%	-0.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.05%	9.07%	-0.02%

GFIRX vs. GMSAX - Expense Ratio Comparison

GFIRX has a 1.33% expense ratio, which is lower than GMSAX's 1.54% expense ratio.

Dividends

GFIRX vs. GMSAX - Dividend Comparison

Neither GFIRX nor GMSAX has paid dividends to shareholders.

Position	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%
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 GFIRX and GMSAX in my portfolio?

With a correlation of 0.98, GFIRX and GMSAX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, GFIRX or GMSAX?

GFIRX has higher volatility (2.10%) compared to GMSAX (2.05%). In terms of maximum drawdown, GFIRX dropped -23.09% vs GMSAX's -23.58%.

Which has better risk-adjusted returns?

GFIRX currently has the higher Sharpe Ratio (2.35 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.