RWSIX vs. AQMIX
Compare and contrast key facts about Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX) and AQR Managed Futures Strategy Fund (AQMIX).
RWSIX is managed by Redwood. It was launched on Nov 1, 2017. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Performance
RWSIX vs. AQMIX - Performance Comparison
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RWSIX vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund | -1.83% | -2.43% | -0.64% | 8.92% | -6.10% | 18.37% | 22.40% | 11.18% | -3.55% | -6.27% |
AQMIX AQR Managed Futures Strategy Fund | 10.24% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | 2.44% |
Returns By Period
In the year-to-date period, RWSIX achieves a -1.83% return, which is significantly lower than AQMIX's 10.24% return.
RWSIX
- 1D
- 0.00%
- 1M
- -8.37%
- YTD
- -1.83%
- 6M
- -1.31%
- 1Y
- -1.07%
- 3Y*
- -0.39%
- 5Y*
- 1.20%
- 10Y*
- —
AQMIX
- 1D
- -0.47%
- 1M
- 1.83%
- YTD
- 10.24%
- 6M
- 13.71%
- 1Y
- 21.11%
- 3Y*
- 13.50%
- 5Y*
- 12.65%
- 10Y*
- 4.48%
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RWSIX vs. AQMIX - Expense Ratio Comparison
RWSIX has a 1.30% expense ratio, which is higher than AQMIX's 1.25% expense ratio.
Return for Risk
RWSIX vs. AQMIX — Risk / Return Rank
RWSIX
AQMIX
RWSIX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX) and AQR Managed Futures Strategy Fund (AQMIX). 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.
| RWSIX | AQMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.08 | 2.26 | -2.34 |
Sortino ratioReturn per unit of downside risk | -0.03 | 2.83 | -2.86 |
Omega ratioGain probability vs. loss probability | 1.00 | 1.42 | -0.43 |
Calmar ratioReturn relative to maximum drawdown | -0.22 | 3.87 | -4.10 |
Martin ratioReturn relative to average drawdown | -0.48 | 11.40 | -11.88 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| RWSIX | AQMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.08 | 2.26 | -2.34 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.10 | 1.10 | -1.00 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.43 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 0.41 | -0.06 |
Correlation
The correlation between RWSIX and AQMIX is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
RWSIX vs. AQMIX - Dividend Comparison
RWSIX's dividend yield for the trailing twelve months is around 4.59%, more than AQMIX's 2.05% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund | 4.59% | 4.51% | 0.00% | 10.35% | 3.41% | 7.81% | 7.78% | 3.05% | 2.51% | 0.63% | 0.00% | 0.00% |
AQMIX AQR Managed Futures Strategy Fund | 2.05% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
Drawdowns
RWSIX vs. AQMIX - Drawdown Comparison
The maximum RWSIX drawdown since its inception was -24.90%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for RWSIX and AQMIX.
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Drawdown Indicators
| RWSIX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.90% | -26.52% | +1.62% |
Max Drawdown (1Y)Largest decline over 1 year | -9.68% | -5.45% | -4.23% |
Max Drawdown (5Y)Largest decline over 5 years | -24.90% | -13.57% | -11.33% |
Max Drawdown (10Y)Largest decline over 10 years | — | -23.34% | — |
Current DrawdownCurrent decline from peak | -18.29% | -0.47% | -17.82% |
Average DrawdownAverage peak-to-trough decline | -6.72% | -10.10% | +3.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.44% | 1.85% | +2.59% |
Volatility
RWSIX vs. AQMIX - Volatility Comparison
Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX) has a higher volatility of 4.46% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.54%. This indicates that RWSIX's price experiences larger fluctuations and is considered to be riskier than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| RWSIX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.46% | 2.54% | +1.92% |
Volatility (6M)Calculated over the trailing 6-month period | 7.43% | 6.69% | +0.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.44% | 9.62% | +1.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.09% | 11.55% | +0.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.26% | 10.36% | +1.90% |