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GMSSX: GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND INSTITUTIONAL (MUTUAL FUND)
Basic Info 10.15 0(0.0%) March 28
Asset Class: | Managed Futures |
MyPlanIQ Rating: | (20%) |
Start Date: | 03/01/2012 |
Last Dividend Date: | 12/20/2023 |
12-Mo. Yield | 12.10% |
Expenses | 1.14% |
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Performance Analytics (As of 03/22/2024)
Not up-to-date? TryLast 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 03/01/2012 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.7 | 3.3 | 8.3 | 7.1 | 6.6 | 4.5 | 3.5 | -3.7 | 20.1 | 5.4 | 7.0 | 2.8 | -2.1 | 2.7 | -0.6 | 10.5 | -2.6 | -4.4 | 5.9 |
Sharpe Ratio | NA | 1.35 | 0.52 | 0.39 | 0.5 | 0.37 | 0.29 | -0.6 | 1.57 | 0.59 | 0.8 | 0.17 | -0.44 | 0.35 | -0.1 | 1.37 | -0.38 | -0.58 | 1.05 |
Draw Down(%) | NA | 1.9 | 6.1 | 13.4 | 13.4 | 13.4 | 13.9 | 11.6 | 8.0 | 5.2 | 8.5 | 10.1 | 9.2 | 3.6 | 9.5 | 6.4 | 8.4 | 12.8 | 5.2 |
Standard Deviation(%) | NA | 6.0 | 6.7 | 11.5 | 10.4 | 9.0 | 8.7 | 13.4 | 12.0 | 9.2 | 8.4 | 8.4 | 7.8 | 6.0 | 8.1 | 7.6 | 6.9 | 7.7 | 6.8 |
Treynor Ratio | NA | 0.26 | 0.42 | -9.15 | -1.43 | -1.75 | -3.89 | -0.79 | -1.37 | 0.14 | -0.96 | -0.09 | -0.42 | 0.05 | 0.05 | -2.59 | -0.08 | -0.16 | -1.46 |
Alpha | NA | -0.02 | 0.01 | 0.02 | 0.02 | 0.02 | 0.01 | -0.04 | 0.06 | -0.02 | 0.03 | 0.02 | -0.01 | -0.02 | 0.01 | 0.04 | -0.03 | -0.05 | 0.03 |
Beta | NA | 0.31 | 0.08 | 0.0 | -0.04 | -0.02 | -0.01 | 0.1 | -0.14 | 0.39 | -0.07 | -0.15 | 0.08 | 0.41 | -0.16 | -0.04 | 0.32 | 0.28 | -0.05 |
RSquared | NA | 0.34 | 0.02 | 0.0 | 0.01 | 0.0 | 0.0 | 0.01 | 0.08 | 0.32 | 0.08 | 0.05 | 0.03 | 0.21 | 0.07 | 0.01 | 0.28 | 0.16 | 0.01 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 03/01/2012
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