RWSIX vs. GMSAX

Last updated Jun 4, 2026

RWSIX (Redwood Systematic Macro Trend ("SMarT") Fund) and GMSAX (Goldman Sachs Managed Futures Strategy Fund Class A) are both Systematic Trend funds. Over the past 5 years, RWSIX returned 2.42%/yr vs 3.08%/yr for GMSAX. At a 0.17 correlation, their price movements are largely independent. RWSIX charges 1.30%/yr vs 1.54%/yr for GMSAX.

Performance

RWSIX vs. GMSAX - Performance Comparison

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

Returns By Period

In the year-to-date period, RWSIX achieves a 9.73% return, which is significantly higher than GMSAX's 7.84% return.

RWSIX

• 1D: 0.12%
• 1M: 3.21%
• YTD: 9.73%
• 6M: 10.72%
• 1Y: 17.30%
• 3Y*: 3.69%
• 5Y*: 2.42%
• 10Y*: —

GMSAX

• 1D: 0.42%
• 1M: 3.44%
• YTD: 7.84%
• 6M: 8.20%
• 1Y: 17.87%
• 3Y*: 0.45%
• 5Y*: 3.08%
• 10Y*: 3.07%

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

RWSIX vs. GMSAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund	9.73%	-2.43%	-0.64%	8.92%	-6.10%	18.37%	22.40%	11.18%	-3.55%	-6.27%
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	7.84%	0.22%	-5.31%	-4.18%	20.08%	4.68%	6.64%	2.29%	-2.37%	1.09%

Correlation

The correlation between RWSIX and GMSAX is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (3Y) Calculated over the trailing 3-year period	0.24
Correlation (5Y) Calculated over the trailing 5-year period	0.16
Correlation (All Time) Calculated using the full available price history since Oct 27, 2017	0.17

Over the past year, RWSIX and GMSAX have become more correlated (0.39) than their long-term average of 0.17, meaning their price movements have been converging.

Return for Risk

RWSIX vs. GMSAX — Risk / Return Rank

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

RWSIX

RWSIX Risk / Return Rank: 32
RWSIX Sharpe Ratio Rank: 32
RWSIX Sortino Ratio Rank: 32
RWSIX Omega Ratio Rank: 31
RWSIX Calmar Ratio Rank: 31
RWSIX Martin Ratio Rank: 34

GMSAX

GMSAX Risk / Return Rank: 64
GMSAX Sharpe Ratio Rank: 60
GMSAX Sortino Ratio Rank: 59
GMSAX Omega Ratio Rank: 58
GMSAX Calmar Ratio Rank: 81
GMSAX Martin Ratio Rank: 60

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.

RWSIX vs. GMSAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX) and Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX). 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	GMSAX	Difference
Sharpe ratio: Return per unit of total volatility	1.63	2.30	-0.67
Sortino ratio: Return per unit of downside risk	2.33	3.23	-0.90
Omega ratio: Gain probability vs. loss probability	1.29	1.43	-0.13
Calmar ratio: Return relative to maximum drawdown	2.08	3.72	-1.64
Martin ratio: Return relative to average drawdown	7.63	11.97	-4.34
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RWSIX vs. GMSAX - Sharpe Ratio Comparison

The current RWSIX Sharpe Ratio is 1.63, which is comparable to the GMSAX Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of RWSIX and GMSAX, 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

	RWSIX	GMSAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.63	2.30	-0.67
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.20	0.30	-0.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.34	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.45	0.26	+0.19

Drawdowns

RWSIX vs. GMSAX - Drawdown Comparison

The maximum RWSIX drawdown since its inception was -24.90%, which is greater than GMSAX's maximum drawdown of -23.58%. Use the drawdown chart below to compare losses from any high point for RWSIX and GMSAX.

Drawdown Indicators

	RWSIX	GMSAX	Difference
Max Drawdown Largest peak-to-trough decline	-24.90%	-23.58%	-1.32%
Max Drawdown (1Y) Largest decline over 1 year	-8.37%	-4.81%	-3.56%
Max Drawdown (3Y) Largest decline over 3 years	-24.90%	-22.56%	-2.34%
Max Drawdown (5Y) Largest decline over 5 years	-24.90%	-23.58%	-1.32%
Max Drawdown (10Y) Largest decline over 10 years	—	-23.58%	—
Current Drawdown Current decline from peak	-8.67%	-6.37%	-2.30%
Average Drawdown Average peak-to-trough decline	-6.81%	-7.26%	+0.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.28%	1.49%	+0.79%

Volatility

RWSIX vs. GMSAX - Volatility Comparison

Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX) has a higher volatility of 3.29% compared to Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX) at 2.05%. This indicates that RWSIX's price experiences larger fluctuations and is considered to be riskier than GMSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RWSIX	GMSAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.29%	2.05%	+1.24%
Volatility (6M) Calculated over the trailing 6-month period	8.36%	6.01%	+2.35%
Volatility (1Y) Calculated over the trailing 1-year period	10.69%	7.79%	+2.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.19%	10.41%	+1.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.29%	9.07%	+3.22%

RWSIX vs. GMSAX - Expense Ratio Comparison

RWSIX has a 1.30% expense ratio, which is lower than GMSAX's 1.54% expense ratio.

Dividends

RWSIX vs. GMSAX - Dividend Comparison

RWSIX's dividend yield for the trailing twelve months is around 4.11%, while GMSAX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMSAX Goldman Sachs Managed Futures Strategy Fund Class A	0.00%	0.00%	0.00%	0.00%	20.24%	7.31%	1.24%	6.90%	0.16%	0.49%	0.00%	3.88%
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund	4.11%	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 RWSIX and GMSAX in my portfolio?

RWSIX and GMSAX have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RWSIX or GMSAX?

RWSIX has higher volatility (3.29%) compared to GMSAX (2.05%). In terms of maximum drawdown, RWSIX dropped -24.90% vs GMSAX's -23.58%.

Which has better risk-adjusted returns?

GMSAX currently has the higher Sharpe Ratio (2.30 vs 1.63), 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.