LFMAX vs. GFIRX

Last updated Jun 3, 2026

LFMAX (LoCorr Macro Strategies Fund) and GFIRX (Goldman Sachs Managed Futures Strategy Fund) are both Systematic Trend funds. Over the past 10 years, LFMAX returned 4.02%/yr vs 3.28%/yr for GFIRX. A 0.59 correlation means they provide meaningful diversification when combined. LFMAX charges 2.13%/yr vs 1.33%/yr for GFIRX.

Performance

LFMAX vs. GFIRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in LoCorr Macro Strategies Fund (LFMAX) and Goldman Sachs Managed Futures Strategy Fund (GFIRX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LFMAX achieves a 10.38% return, which is significantly higher than GFIRX's 7.48% return. Over the past 10 years, LFMAX has outperformed GFIRX with an annualized return of 4.02%, while GFIRX has yielded a comparatively lower 3.28% annualized return.

LFMAX

• 1D: 0.48%
• 1M: 0.12%
• YTD: 10.38%
• 6M: 11.31%
• 1Y: 15.47%
• 3Y*: 5.27%
• 5Y*: 4.04%
• 10Y*: 4.02%

GFIRX

• 1D: 1.22%
• 1M: 3.33%
• YTD: 7.48%
• 6M: 7.94%
• 1Y: 17.54%
• 3Y*: 0.58%
• 5Y*: 3.18%
• 10Y*: 3.28%

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

LFMAX vs. GFIRX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LFMAX LoCorr Macro Strategies Fund	10.38%	2.56%	6.36%	-6.69%	15.03%	-0.17%	5.41%	12.51%	-5.38%	2.69%
GFIRX Goldman Sachs Managed Futures Strategy Fund	7.48%	0.54%	-5.17%	-3.87%	20.44%	4.86%	6.94%	2.61%	-2.24%	2.56%

Correlation

The correlation between LFMAX and GFIRX is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.54
Correlation (5Y) Calculated over the trailing 5-year period	0.57
Correlation (10Y) Calculated over the trailing 10-year period	0.60
Correlation (All Time) Calculated using the full available price history since Jan 3, 2013	0.59

The correlation between LFMAX and GFIRX has been stable across timeframes, ranging from 0.51 to 0.60 - a consistent structural relationship.

Return for Risk

LFMAX vs. GFIRX — Risk / Return Rank

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

LFMAX

LFMAX Risk / Return Rank: 88
LFMAX Sharpe Ratio Rank: 85
LFMAX Sortino Ratio Rank: 86
LFMAX Omega Ratio Rank: 79
LFMAX Calmar Ratio Rank: 95
LFMAX Martin Ratio Rank: 92

GFIRX

GFIRX Risk / Return Rank: 67
GFIRX Sharpe Ratio Rank: 64
GFIRX Sortino Ratio Rank: 63
GFIRX Omega Ratio Rank: 62
GFIRX Calmar Ratio Rank: 84
GFIRX Martin Ratio Rank: 65

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.

LFMAX vs. GFIRX - Risk-Adjusted Trends Comparison

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

	LFMAX	GFIRX	Difference
Sharpe ratio Return per unit of total volatility	2.75	2.36	+0.40
Sortino ratio Return per unit of downside risk	4.10	3.32	+0.78
Omega ratio Gain probability vs. loss probability	1.52	1.44	+0.08
Calmar ratio Return relative to maximum drawdown	6.05	3.93	+2.12
Martin ratio Return relative to average drawdown	19.35	12.79	+6.56
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

LFMAX vs. GFIRX - Sharpe Ratio Comparison

The current LFMAX Sharpe Ratio is 2.75, which is comparable to the GFIRX Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of LFMAX and GFIRX, 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

	LFMAX	GFIRX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.75	2.36	+0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.56	0.31	+0.25
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.53	0.36	+0.17
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.28	+0.06

Drawdowns

LFMAX vs. GFIRX - Drawdown Comparison

The maximum LFMAX drawdown since its inception was -23.16%, roughly equal to the maximum GFIRX drawdown of -23.09%. Use the drawdown chart below to compare losses from any high point for LFMAX and GFIRX.

Drawdown Indicators

	LFMAX	GFIRX	Difference
Max Drawdown Largest peak-to-trough decline	-23.16%	-23.09%	-0.07%
Max Drawdown (1Y) Largest decline over 1 year	-2.53%	-4.86%	+2.33%
Max Drawdown (3Y) Largest decline over 3 years	-8.95%	-22.39%	+13.44%
Max Drawdown (5Y) Largest decline over 5 years	-12.54%	-23.09%	+10.55%
Max Drawdown (10Y) Largest decline over 10 years	-12.54%	-23.09%	+10.55%
Current Drawdown Current decline from peak	-0.36%	-5.93%	+5.57%
Average Drawdown Average peak-to-trough decline	-7.05%	-7.02%	-0.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.79%	1.49%	-0.70%

Volatility

LFMAX vs. GFIRX - Volatility Comparison

The current volatility for LoCorr Macro Strategies Fund (LFMAX) is 1.42%, while Goldman Sachs Managed Futures Strategy Fund (GFIRX) has a volatility of 2.09%. This indicates that LFMAX experiences smaller price fluctuations and is considered to be less risky than GFIRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	LFMAX	GFIRX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.42%	2.09%	-0.67%
Volatility (6M) Calculated over the trailing 6-month period	4.39%	6.00%	-1.61%
Volatility (1Y) Calculated over the trailing 1-year period	5.65%	7.75%	-2.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.23%	10.39%	-3.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.60%	9.06%	-1.46%

LFMAX vs. GFIRX - Expense Ratio Comparison

LFMAX has a 2.13% expense ratio, which is higher than GFIRX's 1.33% expense ratio.

Dividends

LFMAX vs. GFIRX - Dividend Comparison

LFMAX's dividend yield for the trailing twelve months is around 2.67%, while GFIRX has not 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%
LFMAX LoCorr Macro Strategies Fund	2.67%	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

Can I hold both LFMAX and GFIRX in my portfolio?

LFMAX and GFIRX have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LFMAX or GFIRX?

GFIRX has higher volatility (2.09%) compared to LFMAX (1.42%). In terms of maximum drawdown, LFMAX dropped -23.16% vs GFIRX's -23.09%.

Which has better risk-adjusted returns?

LFMAX currently has the higher Sharpe Ratio (2.75 vs 2.36), 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.