AQMNX vs. CTA

Last updated Jun 4, 2026

AQMNX (AQR Managed Futures Strategy Fund Class N) and CTA (Simplify Managed Futures Strategy ETF) are both Systematic Trend funds. Both are actively managed. Over the past 3 years, AQMNX returned 12.17%/yr vs 11.79%/yr for CTA. At a 0.41 correlation, their price movements are largely independent. AQMNX charges 2.97%/yr vs 0.78%/yr for CTA.

Performance

AQMNX vs. CTA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund Class N (AQMNX) and Simplify Managed Futures Strategy ETF (CTA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with AQMNX having a 12.66% return and CTA slightly lower at 12.30%.

AQMNX

• 1D: 0.38%
• 1M: 1.14%
• YTD: 12.66%
• 6M: 14.76%
• 1Y: 24.59%
• 3Y*: 12.17%
• 5Y*: 12.40%
• 10Y*: 4.72%

CTA

• 1D: 0.54%
• 1M: -7.86%
• YTD: 12.30%
• 6M: 13.80%
• 1Y: 15.57%
• 3Y*: 11.79%
• 5Y*: —
• 10Y*: —

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

AQMNX vs. CTA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
AQMNX AQR Managed Futures Strategy Fund Class N	12.66%	14.38%	7.96%	1.79%	15.03%
CTA Simplify Managed Futures Strategy ETF	12.30%	0.88%	24.15%	-2.23%	9.55%

Correlation

The correlation between AQMNX and CTA is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.40
Correlation (All Time) Calculated using the full available price history since Mar 9, 2022	0.41

Return for Risk

AQMNX vs. CTA — Risk / Return Rank

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

AQMNX

AQMNX Risk / Return Rank: 89
AQMNX Sharpe Ratio Rank: 88
AQMNX Sortino Ratio Rank: 83
AQMNX Omega Ratio Rank: 79
AQMNX Calmar Ratio Rank: 98
AQMNX Martin Ratio Rank: 96

CTA

CTA Risk / Return Rank: 24
CTA Sharpe Ratio Rank: 22
CTA Sortino Ratio Rank: 20
CTA Omega Ratio Rank: 22
CTA Calmar Ratio Rank: 29
CTA Martin Ratio Rank: 26

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.

AQMNX vs. CTA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) 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.

	AQMNX	CTA	Difference
Sharpe ratio: Return per unit of total volatility	2.88	0.78	+2.10
Sortino ratio: Return per unit of downside risk	3.91	1.12	+2.79
Omega ratio: Gain probability vs. loss probability	1.52	1.15	+0.36
Calmar ratio: Return relative to maximum drawdown	7.89	1.42	+6.47
Martin ratio: Return relative to average drawdown	25.06	3.72	+21.34
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQMNX vs. CTA - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.88, which is higher than the CTA Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of AQMNX and CTA, 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

	AQMNX	CTA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.88	0.78	+2.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.08	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.62	-0.23

Drawdowns

AQMNX vs. CTA - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, which is greater than CTA's maximum drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for AQMNX and CTA.

Drawdown Indicators

	AQMNX	CTA	Difference
Max Drawdown Largest peak-to-trough decline	-27.50%	-18.07%	-9.43%
Max Drawdown (1Y) Largest decline over 1 year	-3.15%	-11.00%	+7.85%
Max Drawdown (3Y) Largest decline over 3 years	-13.70%	-11.23%	-2.47%
Max Drawdown (5Y) Largest decline over 5 years	-13.70%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-24.13%	—	—
Current Drawdown Current decline from peak	-0.74%	-7.86%	+7.12%
Average Drawdown Average peak-to-trough decline	-10.40%	-5.67%	-4.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.99%	4.19%	-3.20%

Volatility

AQMNX vs. CTA - Volatility Comparison

The current volatility for AQR Managed Futures Strategy Fund Class N (AQMNX) is 2.58%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 7.76%. This indicates that AQMNX 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.

Volatility by Period

	AQMNX	CTA	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.58%	7.76%	-5.18%
Volatility (6M) Calculated over the trailing 6-month period	6.65%	17.30%	-10.65%
Volatility (1Y) Calculated over the trailing 1-year period	8.63%	20.12%	-11.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.55%	16.58%	-5.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.33%	16.58%	-6.25%

AQMNX vs. CTA - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than CTA's 0.78% expense ratio.

Dividends

AQMNX vs. CTA - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.82%, less than CTA's 4.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMNX AQR Managed Futures Strategy Fund Class N	1.82%	2.05%	3.61%	8.15%	12.59%	6.59%	4.17%	2.92%	0.00%	0.00%	0.02%	6.30%
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

Can I hold both AQMNX and CTA in my portfolio?

AQMNX and CTA have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQMNX or CTA?

CTA has higher volatility (7.76%) compared to AQMNX (2.58%). In terms of maximum drawdown, AQMNX dropped -27.50% vs CTA's -18.07%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.88 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.