GMSSX Performance — Goldman Sachs Managed Futures Strategy Fund, Institutional Class
Data updated: 2026-08-27
GMSSX returned +5.43% year to date and +15.38% over one year to Jun 2026. Annualised returns are −0.89% over 3 years and +3.45% over 5 years. The fund trailed its Commodities category average: $100 invested three years ago grew to $97, against $165 for the category, and to $115 over one year, against $130. Volatility over the past three years was 9.13% a year. In the 12 months to Jun 2026 the fund lost a net $12.0M, and assets reached $183.50M.
GMSSX Growth of $100
What $100 invested in Goldman Sachs Managed Futures Strategy Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Commodities category average over the same months.
| Period | GMSSX | Category average |
|---|---|---|
| 1 year (Jul 2025 – Jun 2026) | $115 | $130 |
| 3 years (Jul 2023 – Jun 2026) | $97 | $165 |
| 5 years (Jul 2021 – Jun 2026) | $118 | $171 |
| Since data start (Jul 2019 – Jun 2026) | $129 | $213 |
GMSSX Trailing Returns
Total returns to Jun 2026, from SEC N-PORT.
| Period | Total return |
|---|---|
| YTD | +5.43% |
| 1 year | +15.38% |
| 3 years (annualised) | −0.89% |
| 5 years (annualised) | +3.45% |
GMSSX Annual Returns
Calendar-year total returns of Goldman Sachs Managed Futures Strategy Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2026 (Jan–Jun) | +5.43% |
| 2025 | +0.64% |
| 2024 | −4.99% |
| 2023 | −3.80% |
| 2022 | +20.59% |
| 2021 | +4.99% |
| 2020 | +6.97% |
| 2019 (Jul–Dec) | −2.13% |
GMSSX Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +2.1% | +2.4% | −4.2% | +3.6% | +2.4% | −0.8% | — | — | — | — | — | — |
| 2025 | −2.0% | −1.3% | −3.2% | −0.5% | −1.8% | +0.6% | +0.6% | +2.3% | +2.6% | +2.5% | +0.5% | +0.5% |
| 2024 | −0.4% | +1.2% | +2.7% | +2.7% | +0.4% | −1.1% | −3.2% | −5.0% | +3.7% | −8.2% | +2.5% | +0.3% |
| 2023 | 0.0% | +0.7% | −8.0% | +3.1% | +0.7% | +3.6% | −1.2% | 0.0% | +1.2% | +0.4% | −3.7% | −0.1% |
| 2022 | +2.0% | +2.1% | +9.7% | +4.6% | −2.2% | +2.8% | −3.0% | +1.6% | +5.7% | −0.7% | −4.3% | +1.5% |
| 2021 | −0.1% | +1.9% | +1.0% | +1.1% | +1.8% | −2.2% | −0.1% | +0.8% | −0.9% | +4.0% | −4.8% | +2.5% |
| 2020 | −1.6% | +0.7% | +4.2% | −0.8% | −1.9% | −1.9% | +1.0% | +2.1% | −1.8% | +0.4% | +2.2% | +4.3% |
| 2019 | — | — | — | — | — | — | +2.9% | +4.9% | −6.8% | −2.2% | +0.4% | −0.8% |
GMSSX Risk
Risk measures from monthly returns over Jul 2023 – Jun 2026.
- 3-year volatility (annualised): 9.13%
- 3-year Sharpe ratio: -0.59 (vs 4.5% risk-free rate)
- Best month: +3.67% (Sep 2024)
- Worst month: −8.20% (Oct 2024)
GMSSX Fund Flows
Monthly money in and out of Goldman Sachs Managed Futures Strategy Fund, from SEC Form N-PORT.
- 12-month net flow: −$12.0M
- 12-month gross sales (incl. reinvestments): $80.1M
- Sales ÷ redemptions: 0.87×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Jun 2026 | $5.9M | $3.8M | $2.1M |
| May 2026 | $4.4M | $1.9M | $2.5M |
| Apr 2026 | $5.9M | $5.9M | $4K |
| Mar 2026 | $6.2M | $7.1M | −$851K |
| Feb 2026 | $6.9M | $3.0M | $3.9M |
| Jan 2026 | $6.5M | $4.5M | $2.0M |
| Dec 2025 | $12.4M | $23.5M | −$11.2M |
| Nov 2025 | $3.6M | $4.1M | −$496K |
| Oct 2025 | $5.8M | $4.9M | $942K |
| Sep 2025 | $12.4M | $6.6M | $5.7M |
| Aug 2025 | $3.1M | $4.7M | −$1.6M |
| Jul 2025 | $6.9M | $21.9M | −$15.0M |
GMSSX Assets Under Management
Net assets of Goldman Sachs Managed Futures Strategy Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2026-06-30 | $183.50M |
| 2026-03-31 | $170.06M |
| 2025-12-31 | $164.89M |
| 2025-09-30 | $169.45M |
| 2025-06-30 | $171.33M |
| 2025-03-31 | $201.81M |
| 2024-12-31 | $225.94M |
| 2024-09-30 | $284.84M |
| 2024-06-30 | $299.74M |
| 2024-03-31 | $272.49M |
| 2023-12-31 | $290.84M |
| 2023-09-29 | $402.85M |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.