GMSAX vs. EVOIX

Last updated Jun 23, 2026

GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) and EVOIX (Altegris Futures Evolution Strategy Fund) are both Systematic Trend funds. Over the past 10 years, GMSAX returned 2.95%/yr vs 3.35%/yr for EVOIX. A 0.67 correlation means they provide meaningful diversification when combined. GMSAX charges 1.54%/yr vs 1.34%/yr for EVOIX.

Performance

GMSAX vs. EVOIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) 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 investments are quite close, with GMSAX having a 6.61% return and EVOIX slightly higher at 6.74%. Over the past 10 years, GMSAX has underperformed EVOIX with an annualized return of 2.95%, while EVOIX has yielded a comparatively higher 3.35% annualized return.

GMSAX

• 1D: 0.42%
• 1M: -0.52%
• YTD: 6.61%
• 6M: 6.37%
• 1Y: 19.45%
• 3Y*: -0.35%
• 5Y*: 3.69%
• 10Y*: 2.95%

EVOIX

• 1D: 0.15%
• 1M: -2.21%
• YTD: 6.74%
• 6M: 6.65%
• 1Y: 23.11%
• 3Y*: 5.03%
• 5Y*: 7.77%
• 10Y*: 3.35%

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

GMSAX vs. EVOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	6.61%	0.22%	-5.31%	-4.18%	20.08%	4.68%	6.64%	2.29%	-2.37%	2.29%
EVOIX Altegris Futures Evolution Strategy Fund	6.74%	4.69%	3.86%	5.03%	12.84%	12.20%	-12.94%	4.22%	-7.58%	9.09%

Correlation

The correlation between GMSAX and EVOIX is 0.65, 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	0.65
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	0.67

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

Return for Risk

GMSAX vs. EVOIX — Risk / Return Rank

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

GMSAX

GMSAX Risk / Return Rank: 78
GMSAX Sharpe Ratio Rank: 80
GMSAX Sortino Ratio Rank: 78
GMSAX Omega Ratio Rank: 75
GMSAX Calmar Ratio Rank: 87
GMSAX Martin Ratio Rank: 70

EVOIX

EVOIX Risk / Return Rank: 75
EVOIX Sharpe Ratio Rank: 74
EVOIX Sortino Ratio Rank: 65
EVOIX Omega Ratio Rank: 68
EVOIX Calmar Ratio Rank: 90
EVOIX Martin Ratio Rank: 76

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.

GMSAX vs. EVOIX - Risk-Adjusted Trends Comparison

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

	GMSAX	EVOIX	Difference
Sharpe ratio: Return per unit of total volatility	2.42	2.30	+0.12
Sortino ratio: Return per unit of downside risk	3.39	3.06	+0.33
Omega ratio: Gain probability vs. loss probability	1.44	1.42	+0.03
Calmar ratio: Return relative to maximum drawdown	3.96	4.37	-0.41
Martin ratio: Return relative to average drawdown	12.53	13.36	-0.83

GMSAX vs. EVOIX - Sharpe Ratio Comparison

The current GMSAX Sharpe Ratio is 2.42, which is comparable to the EVOIX Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of GMSAX 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

GMSAX vs. EVOIX - Drawdown Comparison

The maximum GMSAX drawdown since its inception was -23.58%, smaller than the maximum EVOIX drawdown of -29.57%. Use the drawdown chart below to compare losses from any high point for GMSAX and EVOIX.

Drawdown Indicators

	GMSAX	EVOIX	Difference
Max Drawdown Largest peak-to-trough decline	-23.58%	-29.57%	+5.99%
Max Drawdown (1Y) Largest decline over 1 year	-4.81%	-5.32%	+0.51%
Max Drawdown (3Y) Largest decline over 3 years	-22.56%	-18.80%	-3.76%
Max Drawdown (5Y) Largest decline over 5 years	-23.58%	-18.80%	-4.78%
Max Drawdown (10Y) Largest decline over 10 years	-23.58%	-29.57%	+5.99%
Current Drawdown Current decline from peak	-7.44%	-3.34%	-4.10%
Average Drawdown Average peak-to-trough decline	-7.26%	-8.14%	+0.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.51%	1.73%	-0.22%

Volatility

GMSAX vs. EVOIX - Volatility Comparison

Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) has a higher volatility of 2.58% compared to Altegris Futures Evolution Strategy Fund (EVOIX) at 2.19%. This indicates that GMSAX'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

	GMSAX	EVOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.58%	2.19%	+0.39%
Volatility (6M) Calculated over the trailing 6-month period	6.30%	7.78%	-1.48%
Volatility (1Y) Calculated over the trailing 1-year period	7.86%	10.08%	-2.22%
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%	10.48%	-1.40%

GMSAX vs. EVOIX - Expense Ratio Comparison

GMSAX has a 1.54% expense ratio, which is higher than EVOIX's 1.34% expense ratio.

Dividends

GMSAX vs. EVOIX - Dividend Comparison

GMSAX has not paid dividends to shareholders, while EVOIX's dividend yield for the trailing twelve months is around 9.34%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EVOIX Altegris Futures Evolution Strategy Fund	9.34%	11.11%	10.09%	1.71%	34.87%	9.73%	2.23%	1.63%	5.52%	1.57%	7.27%	9.05%
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 GMSAX and EVOIX in my portfolio?

GMSAX and EVOIX have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMSAX or EVOIX?

GMSAX has higher volatility (2.58%) compared to EVOIX (2.19%). In terms of maximum drawdown, GMSAX dropped -23.58% vs EVOIX's -29.57%.

Which has better risk-adjusted returns?

GMSAX currently has the higher Sharpe Ratio (2.42 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.