AMFAX vs. CTA
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A) and CTA (Simplify Managed Futures Strategy ETF) are both Systematic Trend funds. Over the past 3 years, AMFAX returned -1.66%/yr vs 11.79%/yr for CTA. At a 0.38 correlation, their price movements are largely independent. AMFAX charges 1.72%/yr vs 0.78%/yr for CTA.
Performance
AMFAX vs. CTA - Performance Comparison
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Returns By Period
In the year-to-date period, AMFAX achieves a 15.09% return, which is significantly higher than CTA's 12.30% return.
AMFAX
- 1D
- 0.57%
- 1M
- 1.62%
- YTD
- 15.09%
- 6M
- 17.69%
- 1Y
- 26.17%
- 3Y*
- -1.66%
- 5Y*
- 2.77%
- 10Y*
- 2.64%
CTA
- 1D
- 0.54%
- 1M
- -7.86%
- YTD
- 12.30%
- 6M
- 13.80%
- 1Y
- 15.57%
- 3Y*
- 11.79%
- 5Y*
- —
- 10Y*
- —
AMFAX vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 15.09% | -9.75% | -3.56% | -10.59% | 15.11% |
CTA Simplify Managed Futures Strategy ETF | 12.30% | 0.88% | 24.15% | -2.23% | 9.55% |
Correlation
The correlation between AMFAX and CTA is 0.47, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.47 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.37 |
Correlation (All Time) Calculated using the full available price history since Mar 9, 2022 | 0.38 |
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Return for Risk
AMFAX vs. CTA — Risk / Return Rank
AMFAX
CTA
AMFAX vs. CTA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Simplify Managed Futures Strategy ETF (CTA). 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.
| AMFAX | CTA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.40 | ||
| Sortino ratioReturn per unit of downside risk | +1.76 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.15 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 4.94 | 1.42 | +3.52 |
| Martin ratioReturn relative to average drawdown | 17.65 | 3.72 | +13.93 |
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
| AMFAX | CTA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.18 | 0.78 | +1.40 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.20 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.21 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.32 | 0.62 | -0.29 |
Drawdowns
AMFAX vs. CTA - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, which is greater than CTA's maximum drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for AMFAX and CTA.
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Drawdown Indicators
| AMFAX | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.84% | -18.07% | -18.77% |
Max Drawdown (1Y)Largest decline over 1 year | -5.17% | -11.00% | +5.83% |
Max Drawdown (3Y)Largest decline over 3 years | -30.49% | -11.23% | -19.26% |
Max Drawdown (5Y)Largest decline over 5 years | -36.84% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -36.84% | — | — |
Current DrawdownCurrent decline from peak | -18.94% | -7.86% | -11.08% |
Average DrawdownAverage peak-to-trough decline | -13.63% | -5.67% | -7.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.45% | 4.19% | -2.74% |
Volatility
AMFAX vs. CTA - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) is 3.67%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 7.76%. This indicates that AMFAX experiences smaller price fluctuations and is considered to be less risky than CTA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AMFAX | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.67% | 7.76% | -4.09% |
Volatility (6M)Calculated over the trailing 6-month period | 9.59% | 17.30% | -7.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.76% | 20.12% | -8.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.77% | 16.58% | -2.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.70% | 16.58% | -3.88% |
AMFAX vs. CTA - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is higher than CTA's 0.78% expense ratio.
Dividends
AMFAX vs. CTA - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 1.60%, less than CTA's 4.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.60% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
CTA Simplify Managed Futures Strategy ETF | 4.85% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
AMFAX and CTA have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CTA has higher volatility (7.76%) compared to AMFAX (3.67%). In terms of maximum drawdown, AMFAX dropped -36.84% vs CTA's -18.07%.
AMFAX currently has the higher Sharpe Ratio (2.18 vs 0.78), 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.
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