AQMIX vs. CTA
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and Simplify Managed Futures Strategy ETF (CTA).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. CTA is an actively managed fund by Simplify. It was launched on Mar 7, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AQMIX or CTA.
Key characteristics
| AQMIX | CTA | |
|---|---|---|
| YTD Return | 4.40% | 15.66% |
| 1Y Return | -0.11% | 8.49% |
| Sharpe Ratio | -0.04 | 0.59 |
| Sortino Ratio | 0.01 | 0.93 |
| Omega Ratio | 1.00 | 1.12 |
| Calmar Ratio | -0.03 | 0.73 |
| Martin Ratio | -0.07 | 1.76 |
| Ulcer Index | 6.11% | 4.64% |
| Daily Std Dev | 9.99% | 13.75% |
| Max Drawdown | -27.99% | -18.07% |
| Current Drawdown | -8.76% | -3.89% |
Correlation
The correlation between AQMIX and CTA is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
AQMIX vs. CTA - Performance Comparison
In the year-to-date period, AQMIX achieves a 4.40% return, which is significantly lower than CTA's 15.66% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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AQMIX vs. CTA - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is higher than CTA's 0.78% expense ratio.
Risk-Adjusted Performance
AQMIX vs. CTA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) 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.
Dividends
AQMIX vs. CTA - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 8.06%, less than CTA's 8.38% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 8.06% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 4.49% | 4.50% |
CTA Simplify Managed Futures Strategy ETF | 8.38% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
AQMIX vs. CTA - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -27.99%, which is greater than CTA's maximum drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for AQMIX and CTA. For additional features, visit the drawdowns tool.
Volatility
AQMIX vs. CTA - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.15%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 4.10%. This indicates that AQMIX 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.