LFMAX vs. EVOIX
LFMAX (LoCorr Macro Strategies Fund) and EVOIX (Winton Managed Futures Trend Fund) are both Systematic Trend funds. Over the past 10 years, LFMAX returned 3.20%/yr vs 2.74%/yr for EVOIX. Their 0.69 correlation means they have sometimes moved together and sometimes differently. LFMAX charges 2.13%/yr vs 1.34%/yr for EVOIX.
Performance
LFMAX vs. EVOIX - Performance Comparison
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Returns By Period
In the year-to-date period, LFMAX achieves a 6.83% return, which is significantly higher than EVOIX's 6.42% return. Over the past 10 years, LFMAX has outperformed EVOIX with an annualized return of 3.20%, while EVOIX has yielded a comparatively lower 2.74% annualized return.
LFMAX
- 1D
- -0.73%
- 1M
- -1.69%
- 6M
- 3.30%
- YTD
- 6.83%
- 1Y
- 11.17%
- 3Y*
- 4.17%
- 5Y*
- 3.89%
- 10Y*
- 3.20%
- ALL TIME*
- 2.72%
EVOIX
- 1D
- 0.00%
- 1M
- 1.22%
- 6M
- 3.11%
- YTD
- 6.42%
- 1Y
- 21.44%
- 3Y*
- 5.21%
- 5Y*
- 6.82%
- 10Y*
- 2.74%
- ALL TIME*
- 4.05%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
LFMAX vs. EVOIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LFMAX LoCorr Macro Strategies Fund | 6.83% | 2.56% | 6.36% | -6.69% | 15.03% | -0.17% | 5.41% | 12.51% | -5.38% | 2.69% |
EVOIX Winton Managed Futures Trend Fund | 6.42% | 4.69% | 3.86% | 5.03% | 12.84% | 12.20% | -12.94% | 4.22% | -7.58% | 9.09% |
Correlation
The correlation between LFMAX and EVOIX is 0.69, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.69 |
Correlation (3Y) Balances recent behavior with more history. | 0.63 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.67 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.67 |
Correlation (All Time) Calculated using the full available price history since Oct 31, 2011 | 0.69 |
The correlation between LFMAX and EVOIX has been stable across timeframes, ranging from 0.63 to 0.69 - a consistent structural relationship.
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Return for Risk
LFMAX vs. EVOIX — Risk / Return Rank
LFMAX
EVOIX
LFMAX vs. EVOIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for LoCorr Macro Strategies Fund (LFMAX) and Winton Managed Futures Trend 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.
| LFMAX | EVOIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.21 | ||
| Sortino ratioReturn per unit of downside risk | -0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.36 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.86 | 3.74 | -0.88 |
| Martin ratioReturn relative to average drawdown | 9.71 | 9.51 | +0.20 |
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Drawdowns
LFMAX vs. EVOIX - Drawdown Comparison
The maximum LFMAX drawdown since its inception was -23.16%, smaller than the maximum EVOIX drawdown of -29.57%. Use the drawdown chart below to compare losses from any high point for LFMAX and EVOIX.
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Drawdown Indicators
| LFMAX | EVOIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.16% | -29.57% | +6.41% |
Max Drawdown (1Y)Largest decline over 1 year | -3.56% | -5.38% | +1.82% |
Max Drawdown (3Y)Largest decline over 3 years | -8.95% | -18.80% | +9.85% |
Max Drawdown (5Y)Largest decline over 5 years | -12.54% | -18.80% | +6.26% |
Max Drawdown (10Y)Largest decline over 10 years | -12.54% | -29.57% | +17.03% |
Current DrawdownCurrent decline from peak | -3.56% | -3.63% | +0.07% |
Average DrawdownAverage peak-to-trough decline | -7.00% | -8.11% | +1.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.05% | 2.11% | -1.06% |
Volatility
LFMAX vs. EVOIX - Volatility Comparison
The current volatility for LoCorr Macro Strategies Fund (LFMAX) is 1.61%, while Winton Managed Futures Trend Fund (EVOIX) has a volatility of 2.02%. This indicates that LFMAX experiences smaller price fluctuations and is considered to be less risky than EVOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LFMAX | EVOIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.61% | 2.02% | -0.41% |
Volatility (6M)Calculated over the trailing 6-month period | 4.33% | 7.13% | -2.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.77% | 10.17% | -4.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.20% | 9.53% | -2.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.50% | 10.38% | -2.88% |
LFMAX vs. EVOIX - Expense Ratio Comparison
LFMAX has a 2.13% expense ratio, which is higher than EVOIX's 1.34% expense ratio.
Dividends
LFMAX vs. EVOIX - Dividend Comparison
LFMAX's dividend yield for the trailing twelve months is around 2.76%, less than EVOIX's 9.16% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Winton Managed Futures Trend Fund | 9.16% | 11.11% | 10.09% | 1.71% | 34.87% | 9.73% | 2.23% | 1.63% | 5.52% | 1.57% | 7.27% | 9.05% |
LFMAX LoCorr Macro Strategies Fund | 2.76% | 2.94% | 2.88% | 2.96% | 14.38% | 4.79% | 5.65% | 4.48% | 2.83% | 5.98% | 1.97% | 2.87% |
Frequently Asked Questions
LFMAX and EVOIX have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EVOIX has higher volatility (2.02%) compared to LFMAX (1.61%). In terms of maximum drawdown, LFMAX dropped -23.16% vs EVOIX's -29.57%.
EVOIX currently has the higher Sharpe Ratio (1.98 vs 1.77), 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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