GMSAX vs. LFMAX
Compare and contrast key facts about Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) and LoCorr Macro Strategies Fund (LFMAX).
GMSAX is managed by Goldman Sachs. It was launched on Feb 29, 2012. LFMAX is managed by LoCorr Funds. It was launched on Mar 21, 2011.
Performance
GMSAX vs. LFMAX - Performance Comparison
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GMSAX vs. LFMAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A | 0.34% | 0.22% | -5.31% | -4.18% | 20.08% | 4.68% | 6.64% | 2.29% | -2.37% | 2.29% |
LFMAX LoCorr Macro Strategies Fund | 8.67% | 2.56% | 6.36% | -6.69% | 15.03% | -0.17% | 5.41% | 12.51% | -5.38% | 2.69% |
Returns By Period
In the year-to-date period, GMSAX achieves a 0.34% return, which is significantly lower than LFMAX's 8.67% return. Over the past 10 years, GMSAX has underperformed LFMAX with an annualized return of 2.09%, while LFMAX has yielded a comparatively higher 3.85% annualized return.
GMSAX
- 1D
- 0.22%
- 1M
- -1.75%
- YTD
- 0.34%
- 6M
- 3.11%
- 1Y
- 8.34%
- 3Y*
- -0.48%
- 5Y*
- 2.20%
- 10Y*
- 2.09%
LFMAX
- 1D
- 0.00%
- 1M
- 2.48%
- YTD
- 8.67%
- 6M
- 9.59%
- 1Y
- 11.60%
- 3Y*
- 4.90%
- 5Y*
- 4.25%
- 10Y*
- 3.85%
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GMSAX vs. LFMAX - Expense Ratio Comparison
GMSAX has a 1.54% expense ratio, which is lower than LFMAX's 2.13% expense ratio.
Return for Risk
GMSAX vs. LFMAX — Risk / Return Rank
GMSAX
LFMAX
GMSAX vs. LFMAX - 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 LoCorr Macro Strategies Fund (LFMAX). 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.
| GMSAX | LFMAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.89 | 2.00 | -1.12 |
Sortino ratioReturn per unit of downside risk | 1.25 | 2.91 | -1.66 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.37 | -0.21 |
Calmar ratioReturn relative to maximum drawdown | 1.32 | 3.85 | -2.53 |
Martin ratioReturn relative to average drawdown | 4.02 | 10.20 | -6.18 |
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
| GMSAX | LFMAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.89 | 2.00 | -1.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.21 | 0.59 | -0.37 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.23 | 0.51 | -0.27 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.20 | 0.34 | -0.14 |
Correlation
The correlation between GMSAX and LFMAX is 0.59, 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
GMSAX vs. LFMAX - Dividend Comparison
GMSAX has not paid dividends to shareholders, while LFMAX's dividend yield for the trailing twelve months is around 2.71%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
LFMAX LoCorr Macro Strategies Fund | 2.71% | 2.94% | 2.88% | 2.96% | 14.38% | 4.79% | 5.65% | 4.48% | 2.83% | 5.98% | 1.97% | 2.87% |
Drawdowns
GMSAX vs. LFMAX - Drawdown Comparison
The maximum GMSAX drawdown since its inception was -23.58%, roughly equal to the maximum LFMAX drawdown of -23.16%. Use the drawdown chart below to compare losses from any high point for GMSAX and LFMAX.
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Drawdown Indicators
| GMSAX | LFMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.58% | -23.16% | -0.42% |
Max Drawdown (1Y)Largest decline over 1 year | -5.19% | -2.53% | -2.66% |
Max Drawdown (5Y)Largest decline over 5 years | -23.58% | -12.54% | -11.04% |
Max Drawdown (10Y)Largest decline over 10 years | -23.58% | -12.54% | -11.04% |
Current DrawdownCurrent decline from peak | -12.88% | 0.00% | -12.88% |
Average DrawdownAverage peak-to-trough decline | -7.23% | -7.13% | -0.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 1.14% | +0.71% |
Volatility
GMSAX vs. LFMAX - Volatility Comparison
Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) has a higher volatility of 2.78% compared to LoCorr Macro Strategies Fund (LFMAX) at 1.76%. This indicates that GMSAX's price experiences larger fluctuations and is considered to be riskier than LFMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMSAX | LFMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.78% | 1.76% | +1.02% |
Volatility (6M)Calculated over the trailing 6-month period | 6.27% | 4.56% | +1.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.90% | 5.81% | +3.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.38% | 7.27% | +3.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.05% | 7.63% | +1.42% |