QMHIX vs. RWSIX

Last updated Jun 5, 2026

QMHIX (AQR Managed Futures Strategy HV Fund) and RWSIX (Redwood Systematic Macro Trend ("SMarT") Fund) are both Systematic Trend funds. Over the past 5 years, QMHIX returned 16.50%/yr vs 2.10%/yr for RWSIX. At a correlation of -0.02, they often move in opposite directions. QMHIX charges 1.65%/yr vs 1.30%/yr for RWSIX.

Performance

QMHIX vs. RWSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy HV Fund (QMHIX) and Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMHIX achieves a 19.09% return, which is significantly higher than RWSIX's 8.72% return.

QMHIX

• 1D: 1.12%
• 1M: 2.36%
• YTD: 19.09%
• 6M: 22.29%
• 1Y: 35.13%
• 3Y*: 16.80%
• 5Y*: 16.50%
• 10Y*: 5.86%

RWSIX

• 1D: -0.92%
• 1M: 1.29%
• YTD: 8.72%
• 6M: 9.63%
• 1Y: 16.06%
• 3Y*: 3.37%
• 5Y*: 2.10%
• 10Y*: —

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

QMHIX vs. RWSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QMHIX AQR Managed Futures Strategy HV Fund	19.09%	19.97%	10.78%	-0.17%	50.14%	-2.08%	-0.73%	1.82%	-14.44%	3.51%
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund	8.72%	-2.43%	-0.64%	8.92%	-6.10%	18.37%	22.40%	11.18%	-3.55%	-6.27%

Correlation

The correlation between QMHIX and RWSIX is -0.00, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.00
Correlation (3Y) Calculated over the trailing 3-year period	-0.04
Correlation (5Y) Calculated over the trailing 5-year period	-0.10
Correlation (All Time) Calculated using the full available price history since Oct 27, 2017	-0.02

Return for Risk

QMHIX vs. RWSIX — Risk / Return Rank

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

QMHIX

QMHIX Risk / Return Rank: 85
QMHIX Sharpe Ratio Rank: 85
QMHIX Sortino Ratio Rank: 74
QMHIX Omega Ratio Rank: 72
QMHIX Calmar Ratio Rank: 97
QMHIX Martin Ratio Rank: 94

RWSIX

RWSIX Risk / Return Rank: 29
RWSIX Sharpe Ratio Rank: 29
RWSIX Sortino Ratio Rank: 28
RWSIX Omega Ratio Rank: 28
RWSIX Calmar Ratio Rank: 29
RWSIX Martin Ratio Rank: 32

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.

QMHIX vs. RWSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX). 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.

	QMHIX	RWSIX	Difference
Sharpe ratio: Return per unit of total volatility	2.81	1.52	+1.29
Sortino ratio: Return per unit of downside risk	3.61	2.18	+1.44
Omega ratio: Gain probability vs. loss probability	1.48	1.27	+0.21
Calmar ratio: Return relative to maximum drawdown	7.40	1.94	+5.46
Martin ratio: Return relative to average drawdown	21.80	7.12	+14.68
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QMHIX vs. RWSIX - Sharpe Ratio Comparison

The current QMHIX Sharpe Ratio is 2.81, which is higher than the RWSIX Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of QMHIX and RWSIX, 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

	QMHIX	RWSIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.81	1.52	+1.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.96	0.17	+0.78
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.38	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.44	-0.05

Drawdowns

QMHIX vs. RWSIX - Drawdown Comparison

The maximum QMHIX drawdown since its inception was -39.37%, which is greater than RWSIX's maximum drawdown of -24.90%. Use the drawdown chart below to compare losses from any high point for QMHIX and RWSIX.

Drawdown Indicators

	QMHIX	RWSIX	Difference
Max Drawdown Largest peak-to-trough decline	-39.37%	-24.90%	-14.47%
Max Drawdown (1Y) Largest decline over 1 year	-4.83%	-8.37%	+3.54%
Max Drawdown (3Y) Largest decline over 3 years	-19.06%	-24.90%	+5.84%
Max Drawdown (5Y) Largest decline over 5 years	-19.06%	-24.90%	+5.84%
Max Drawdown (10Y) Largest decline over 10 years	-34.54%	—	—
Current Drawdown Current decline from peak	0.00%	-9.51%	+9.51%
Average Drawdown Average peak-to-trough decline	-17.81%	-6.81%	-11.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.63%	2.28%	-0.65%

Volatility

QMHIX vs. RWSIX - Volatility Comparison

AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 3.80% compared to Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX) at 3.34%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than RWSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHIX	RWSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.80%	3.34%	+0.46%
Volatility (6M) Calculated over the trailing 6-month period	9.70%	8.41%	+1.29%
Volatility (1Y) Calculated over the trailing 1-year period	12.75%	10.73%	+2.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.36%	12.20%	+5.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.51%	12.29%	+3.22%

QMHIX vs. RWSIX - Expense Ratio Comparison

QMHIX has a 1.65% expense ratio, which is higher than RWSIX's 1.30% expense ratio.

Dividends

QMHIX vs. RWSIX - Dividend Comparison

QMHIX's dividend yield for the trailing twelve months is around 1.72%, less than RWSIX's 4.15% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QMHIX AQR Managed Futures Strategy HV Fund	1.72%	2.05%	2.31%	7.66%	9.34%	10.96%	9.52%	4.18%	0.00%	0.00%	0.01%	7.57%
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund	4.15%	4.51%	0.00%	10.35%	3.41%	7.81%	7.78%	3.05%	2.51%	0.63%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QMHIX and RWSIX in my portfolio?

QMHIX and RWSIX have a correlation of -0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMHIX or RWSIX?

QMHIX has higher volatility (3.80%) compared to RWSIX (3.34%). In terms of maximum drawdown, QMHIX dropped -39.37% vs RWSIX's -24.90%.

Which has better risk-adjusted returns?

QMHIX currently has the higher Sharpe Ratio (2.81 vs 1.52), 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.