AQMIX vs. CTA
AQMIX (AQR Managed Futures Strategy Fund) and CTA (Simplify Managed Futures Strategy ETF) are both Systematic Trend funds. Over the past 3 years, AQMIX returned 10.53%/yr vs 6.30%/yr for CTA. At a 0.41 correlation, their price movements are largely independent. AQMIX charges 1.25%/yr vs 0.78%/yr for CTA.
Performance
AQMIX vs. CTA - Performance Comparison
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Returns By Period
In the year-to-date period, AQMIX achieves a 10.03% return, which is significantly higher than CTA's -2.31% return.
AQMIX
- 1D
- 0.57%
- 1M
- -1.31%
- 6M
- 7.78%
- YTD
- 10.03%
- 1Y
- 23.52%
- 3Y*
- 10.53%
- 5Y*
- 13.50%
- 10Y*
- 4.26%
CTA
- 1D
- -0.27%
- 1M
- -7.93%
- 6M
- -4.35%
- YTD
- -2.31%
- 1Y
- -2.73%
- 3Y*
- 6.30%
- 5Y*
- —
- 10Y*
- —
AQMIX vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 10.03% | 14.62% | 8.13% | 2.08% | 17.09% |
CTA Simplify Managed Futures Strategy ETF | -2.31% | 0.88% | 24.15% | -2.23% | 9.01% |
Correlation
The correlation between AQMIX and CTA is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.49 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | 0.41 |
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Return for Risk
AQMIX vs. CTA — Risk / Return Rank
AQMIX
CTA
AQMIX vs. CTA - Risk-Adjusted Trends 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AQMIX | CTA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.55 | ||
| Sortino ratioReturn per unit of downside risk | +3.33 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.01 | +0.43 |
| Calmar ratioReturn relative to maximum drawdown | 4.45 | -0.07 | +4.51 |
| Martin ratioReturn relative to average drawdown | 16.94 | -0.20 | +17.14 |
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Drawdowns
AQMIX vs. CTA - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, which is greater than CTA's maximum drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for AQMIX and CTA.
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Drawdown Indicators
| AQMIX | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -20.44% | -6.08% |
Max Drawdown (1Y)Largest decline over 1 year | -5.14% | -20.44% | +15.30% |
Max Drawdown (3Y)Largest decline over 3 years | -13.57% | -20.44% | +6.87% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -22.17% | — | — |
Current DrawdownCurrent decline from peak | -3.31% | -19.85% | +16.54% |
Average DrawdownAverage peak-to-trough decline | -9.96% | -5.92% | -4.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.35% | 6.67% | -5.32% |
Volatility
AQMIX vs. CTA - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 3.41%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 4.27%. 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.
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Volatility by Period
| AQMIX | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.41% | 4.27% | -0.86% |
Volatility (6M)Calculated over the trailing 6-month period | 7.10% | 17.73% | -10.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.19% | 20.44% | -11.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.61% | 16.59% | -4.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.25% | 16.59% | -6.34% |
AQMIX vs. CTA - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is higher than CTA's 0.78% expense ratio.
Dividends
AQMIX vs. CTA - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.05%, less than CTA's 5.14% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
CTA Simplify Managed Futures Strategy ETF | 5.14% | 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
AQMIX and CTA have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CTA has higher volatility (4.27%) compared to AQMIX (3.41%). In terms of maximum drawdown, AQMIX dropped -26.52% vs CTA's -20.44%.
AQMIX currently has the higher Sharpe Ratio (2.49 vs -0.07), 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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