ARCNX vs. CTA
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and Simplify Managed Futures Strategy ETF (CTA).
ARCNX is managed by AQR. CTA is an actively managed fund by Simplify. It was launched on Mar 7, 2022.
Performance
ARCNX vs. CTA - Performance Comparison
Loading graphics...
ARCNX vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 17.04% | 20.76% | 7.19% | -0.50% | -10.98% |
CTA Simplify Managed Futures Strategy ETF | 12.39% | 0.88% | 24.15% | -2.23% | 9.55% |
Returns By Period
In the year-to-date period, ARCNX achieves a 17.04% return, which is significantly higher than CTA's 12.39% return.
ARCNX
- 1D
- 0.67%
- 1M
- 6.12%
- YTD
- 17.04%
- 6M
- 26.24%
- 1Y
- 30.47%
- 3Y*
- 14.14%
- 5Y*
- 18.43%
- 10Y*
- 12.71%
CTA
- 1D
- -1.31%
- 1M
- 0.45%
- YTD
- 12.39%
- 6M
- 10.76%
- 1Y
- 6.40%
- 3Y*
- 15.19%
- 5Y*
- —
- 10Y*
- —
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
ARCNX vs. CTA - Expense Ratio Comparison
ARCNX has a 1.28% expense ratio, which is higher than CTA's 0.78% expense ratio.
Return for Risk
ARCNX vs. CTA — Risk / Return Rank
ARCNX
CTA
ARCNX vs. CTA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) 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.
| ARCNX | CTA | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 0.40 | +1.56 |
Sortino ratioReturn per unit of downside risk | 2.45 | 0.63 | +1.82 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.08 | +0.28 |
Calmar ratioReturn relative to maximum drawdown | 3.07 | 0.66 | +2.42 |
Martin ratioReturn relative to average drawdown | 9.67 | 1.14 | +8.54 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| ARCNX | CTA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.96 | 0.40 | +1.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.73 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.69 | -0.39 |
Correlation
The correlation between ARCNX and CTA is 0.03, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
ARCNX vs. CTA - Dividend Comparison
ARCNX's dividend yield for the trailing twelve months is around 11.59%, more than CTA's 3.81% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 11.59% | 13.57% | 1.89% | 7.45% | 9.45% | 18.31% | 0.09% | 4.98% | 0.29% | 0.01% | 4.69% |
CTA Simplify Managed Futures Strategy ETF | 3.81% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ARCNX vs. CTA - Drawdown Comparison
The maximum ARCNX drawdown since its inception was -55.17%, which is greater than CTA's maximum drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for ARCNX and CTA.
Loading graphics...
Drawdown Indicators
| ARCNX | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.17% | -18.07% | -37.10% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -10.68% | +0.58% |
Max Drawdown (5Y)Largest decline over 5 years | -20.30% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -32.80% | — | — |
Current DrawdownCurrent decline from peak | -1.03% | -1.47% | +0.44% |
Average DrawdownAverage peak-to-trough decline | -26.27% | -5.74% | -20.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 6.16% | -2.95% |
Volatility
ARCNX vs. CTA - Volatility Comparison
The current volatility for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) is 5.36%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 8.10%. This indicates that ARCNX 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.
Loading graphics...
Volatility by Period
| ARCNX | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.36% | 8.10% | -2.74% |
Volatility (6M)Calculated over the trailing 6-month period | 12.61% | 12.72% | -0.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.95% | 16.05% | -0.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.17% | 15.58% | +3.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.47% | 15.58% | +1.89% |