SFAFX Performance — Goldman Sachs Strategic Factor Allocation Fund, Institutional Shares
Data updated: 2026-07-22
SFAFX returned +6.24% year to date and +17.81% over one year to May 2026. Annualised returns are +12.25% over 3 years and +7.64% over 5 years. The fund beat its Moderate Allocation category average: $100 invested three years ago grew to $141, against $139 for the category, and to $118 over one year, against $115. Volatility over the past three years was 8.02% a year. In the 12 months to May 2026 the fund lost a net $39.8M, and assets reached $2.41B.
SFAFX Growth of $100
What $100 invested in Goldman Sachs Strategic Factor Allocation Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Moderate Allocation category average over the same months.
| Period | SFAFX | Category average |
|---|---|---|
| 1 year (Jun 2025 – May 2026) | $118 | $115 |
| 3 years (Jun 2023 – May 2026) | $141 | $139 |
| 5 years (Jun 2021 – May 2026) | $144 | $130 |
| Since data start (Sep 2019 – May 2026) | $175 | $154 |
SFAFX Trailing Returns
Total returns to May 2026, from SEC N-PORT.
| Period | Total return |
|---|---|
| YTD | +6.24% |
| 1 year | +17.81% |
| 3 years (annualised) | +12.25% |
| 5 years (annualised) | +7.64% |
SFAFX Annual Returns
Calendar-year total returns of Goldman Sachs Strategic Factor Allocation Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2026 (Jan–May) | +6.24% |
| 2025 | +10.59% |
| 2024 | +10.78% |
| 2023 | +15.17% |
| 2022 | −11.63% |
| 2021 | +14.17% |
| 2020 | +11.94% |
| 2019 (Sep–Dec) | +3.34% |
SFAFX 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 | +0.4% | +1.1% | −3.2% | +5.4% | +2.6% | — | — | — | — | — | — | — |
| 2025 | +1.4% | +0.4% | −2.8% | −1.4% | +2.1% | +3.4% | +0.9% | +1.8% | +2.0% | +1.8% | +1.0% | −0.5% |
| 2024 | +1.2% | +2.1% | +2.2% | −3.0% | +3.1% | +2.5% | +1.8% | +1.0% | +1.4% | −2.9% | +3.4% | −2.4% |
| 2023 | +4.3% | −2.7% | +3.1% | +1.4% | −0.2% | +2.4% | +1.3% | −0.4% | −3.0% | −1.3% | +5.9% | +3.8% |
| 2022 | −2.2% | −1.3% | +1.2% | −5.5% | +1.1% | −5.2% | +6.0% | −3.6% | −6.1% | +3.6% | +3.6% | −3.2% |
| 2021 | −1.3% | +0.4% | +2.0% | +3.2% | +0.4% | +2.0% | +1.9% | +1.6% | −2.7% | +3.9% | +0.2% | +2.0% |
| 2020 | +1.4% | −4.9% | −2.2% | +5.2% | +1.4% | +0.6% | +3.4% | +2.7% | −0.9% | −2.4% | +5.7% | +1.8% |
| 2019 | — | — | — | — | — | — | — | — | +0.9% | +0.1% | +1.9% | +0.4% |
SFAFX Risk
Risk measures from monthly returns over Jun 2023 – May 2026.
- 3-year volatility (annualised): 8.02%
- 3-year Sharpe ratio: 0.97 (vs 4.5% risk-free rate)
- Best month: +5.89% (Nov 2023)
- Worst month: −3.20% (Mar 2026)
SFAFX Fund Flows
Monthly money in and out of Goldman Sachs Strategic Factor Allocation Fund, from SEC Form N-PORT.
- 12-month net flow: −$39.8M
- 12-month gross sales (incl. reinvestments): $471.9M
- Sales ÷ redemptions: 0.92×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| May 2026 | $11.5M | $38.5M | −$26.9M |
| Apr 2026 | $21.2M | $62.7M | −$41.5M |
| Mar 2026 | $18.3M | $33.7M | −$15.4M |
| Feb 2026 | $28.6M | $67.4M | −$38.9M |
| Jan 2026 | $45.4M | $24.8M | $20.6M |
| Dec 2025 | $211.4M | $76.5M | $135.0M |
| Nov 2025 | $16.9M | $15.6M | $1.2M |
| Oct 2025 | $31.8M | $36.3M | −$4.5M |
| Sep 2025 | $23.4M | $47.7M | −$24.3M |
| Aug 2025 | $19.7M | $12.7M | $7.0M |
| Jul 2025 | $18.6M | $18.8M | −$181K |
| Jun 2025 | $24.9M | $76.9M | −$52.0M |
SFAFX Assets Under Management
Net assets of Goldman Sachs Strategic Factor Allocation Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2026-05-31 | $2.41B |
| 2026-02-28 | $2.39B |
| 2025-11-30 | $2.44B |
| 2025-08-31 | $2.35B |
| 2025-05-31 | $2.26B |
| 2025-02-28 | $2.36B |
| 2024-11-30 | $2.44B |
| 2024-08-31 | $2.40B |
| 2024-05-31 | $2.30B |
| 2024-02-29 | $2.30B |
| 2023-11-30 | $2.16B |
| 2023-08-31 | $2.24B |
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.