GFIRX vs. SVPFX
GFIRX (Goldman Sachs Managed Futures Strategy Fund) and SVPFX (Goldman Sachs Strategic Volatility Premium Fund) are both mutual funds - GFIRX is a Systematic Trend fund managed by Goldman Sachs, while SVPFX is a Large Cap Blend Equities fund managed by Goldman Sachs. Over the past 5 years, GFIRX returned 3.60%/yr vs 2.15%/yr for SVPFX. At a correlation of -0.25, they often move in opposite directions. GFIRX charges 1.33%/yr vs 0.38%/yr for SVPFX.
Performance
GFIRX vs. SVPFX - Performance Comparison
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Returns By Period
In the year-to-date period, GFIRX achieves a 6.18% return, which is significantly higher than SVPFX's 2.00% return.
GFIRX
- 1D
- 0.10%
- 1M
- 0.72%
- 6M
- 4.03%
- YTD
- 6.18%
- 1Y
- 15.70%
- 3Y*
- -0.90%
- 5Y*
- 3.60%
- 10Y*
- 2.81%
SVPFX
- 1D
- 0.00%
- 1M
- 0.41%
- 6M
- 2.00%
- YTD
- 2.00%
- 1Y
- 5.61%
- 3Y*
- 4.80%
- 5Y*
- 2.15%
- 10Y*
- —
GFIRX vs. SVPFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
GFIRX Goldman Sachs Managed Futures Strategy Fund | 6.18% | 0.54% | -5.17% | -3.87% | 20.44% | 1.81% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 2.00% | 4.19% | 3.82% | 5.30% | -4.37% | 0.78% |
Correlation
The correlation between GFIRX and SVPFX is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.26 |
Correlation (All Time) Calculated using the full available price history since Apr 7, 2021 | -0.25 |
The correlation between GFIRX and SVPFX shifts across timeframes, from -0.26 (5 years) to -0.06 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
GFIRX vs. SVPFX — Risk / Return Rank
GFIRX
SVPFX
GFIRX vs. SVPFX - 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 Strategic Volatility Premium Fund (SVPFX). 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 | SVPFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.73 | ||
| Sortino ratioReturn per unit of downside risk | -1.33 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.60 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | 3.23 | 6.48 | -3.25 |
| Martin ratioReturn relative to average drawdown | 9.54 | 23.92 | -14.38 |
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Drawdowns
GFIRX vs. SVPFX - Drawdown Comparison
The maximum GFIRX drawdown since its inception was -23.09%, which is greater than SVPFX's maximum drawdown of -6.37%. Use the drawdown chart below to compare losses from any high point for GFIRX and SVPFX.
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Drawdown Indicators
| GFIRX | SVPFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.09% | -6.37% | -16.72% |
Max Drawdown (1Y)Largest decline over 1 year | -4.86% | -0.91% | -3.95% |
Max Drawdown (3Y)Largest decline over 3 years | -22.39% | -5.32% | -17.07% |
Max Drawdown (5Y)Largest decline over 5 years | -23.09% | -6.37% | -16.72% |
Max Drawdown (10Y)Largest decline over 10 years | -23.09% | — | — |
Current DrawdownCurrent decline from peak | -7.06% | -0.20% | -6.86% |
Average DrawdownAverage peak-to-trough decline | -7.02% | -1.89% | -5.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.64% | 0.39% | +1.25% |
Volatility
GFIRX vs. SVPFX - Volatility Comparison
Goldman Sachs Managed Futures Strategy Fund (GFIRX) has a higher volatility of 3.19% compared to Goldman Sachs Strategic Volatility Premium Fund (SVPFX) at 0.78%. This indicates that GFIRX's price experiences larger fluctuations and is considered to be riskier than SVPFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GFIRX | SVPFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.19% | 0.78% | +2.41% |
Volatility (6M)Calculated over the trailing 6-month period | 6.67% | 1.75% | +4.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.19% | 2.22% | +5.97% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.43% | 5.61% | +4.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.09% | 5.47% | +3.62% |
GFIRX vs. SVPFX - Expense Ratio Comparison
GFIRX has a 1.33% expense ratio, which is higher than SVPFX's 0.38% expense ratio.
Dividends
GFIRX vs. SVPFX - Dividend Comparison
GFIRX has not paid dividends to shareholders, while SVPFX's dividend yield for the trailing twelve months is around 3.19%.
| 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% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 3.19% | 1.83% | 4.37% | 4.29% | 0.76% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GFIRX and SVPFX have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GFIRX has higher volatility (3.19%) compared to SVPFX (0.78%). In terms of maximum drawdown, GFIRX dropped -23.09% vs SVPFX's -6.37%.
SVPFX currently has the higher Sharpe Ratio (2.65 vs 1.92), 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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