ARCNX vs. CTA

Last updated Jun 3, 2026

ARCNX (AQR Risk-Balanced Commodities Strategy Fund Class N) and CTA (Simplify Managed Futures Strategy ETF) are both funds - ARCNX is a Commodities fund managed by AQR, while CTA is a Systematic Trend fund actively managed by Simplify. Over the past 3 years, ARCNX returned 17.70%/yr vs 11.59%/yr for CTA. At a 0.05 correlation, their price movements are largely independent. ARCNX charges 1.28%/yr vs 0.78%/yr for CTA.

Performance

ARCNX vs. CTA - Performance Comparison

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

Returns By Period

In the year-to-date period, ARCNX achieves a 21.24% return, which is significantly higher than CTA's 11.70% return.

ARCNX

• 1D: 0.74%
• 1M: -0.63%
• YTD: 21.24%
• 6M: 23.89%
• 1Y: 40.32%
• 3Y*: 17.70%
• 5Y*: 15.00%
• 10Y*: 12.02%

CTA

• 1D: 0.54%
• 1M: -6.72%
• YTD: 11.70%
• 6M: 12.40%
• 1Y: 15.29%
• 3Y*: 11.59%
• 5Y*: —
• 10Y*: —

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

ARCNX vs. CTA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	21.24%	20.76%	7.19%	-0.50%	-10.98%
CTA Simplify Managed Futures Strategy ETF	11.70%	0.88%	24.15%	-2.23%	9.55%

Correlation

The correlation between ARCNX 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	0.21
Correlation (All Time) Calculated using the full available price history since Mar 9, 2022	0.05

Over the past year, ARCNX and CTA have become more correlated (0.49) than their long-term average of 0.05, meaning their price movements have been converging.

Return for Risk

ARCNX vs. CTA — Risk / Return Rank

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

ARCNX

ARCNX Risk / Return Rank: 84
ARCNX Sharpe Ratio Rank: 88
ARCNX Sortino Ratio Rank: 73
ARCNX Omega Ratio Rank: 78
ARCNX Calmar Ratio Rank: 92
ARCNX Martin Ratio Rank: 89

CTA

CTA Risk / Return Rank: 24
CTA Sharpe Ratio Rank: 22
CTA Sortino Ratio Rank: 21
CTA Omega Ratio Rank: 23
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.

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 ratio Return per unit of total volatility	2.86	0.76	+2.09
Sortino ratio Return per unit of downside risk	3.58	1.10	+2.48
Omega ratio Gain probability vs. loss probability	1.51	1.15	+0.36
Calmar ratio Return relative to maximum drawdown	5.00	1.40	+3.60
Martin ratio Return relative to average drawdown	17.67	3.71	+13.96
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ARCNX vs. CTA - Sharpe Ratio Comparison

The current ARCNX Sharpe Ratio is 2.86, which is higher than the CTA Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of ARCNX 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

	ARCNX	CTA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.86	0.76	+2.09
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.79	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.69	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.61	-0.30

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.

Drawdown Indicators

	ARCNX	CTA	Difference
Max Drawdown Largest peak-to-trough decline	-55.17%	-18.07%	-37.10%
Max Drawdown (1Y) Largest decline over 1 year	-8.28%	-11.00%	+2.72%
Max Drawdown (3Y) Largest decline over 3 years	-13.65%	-11.23%	-2.42%
Max Drawdown (5Y) Largest decline over 5 years	-20.30%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-32.80%	—	—
Current Drawdown Current decline from peak	-4.11%	-8.35%	+4.24%
Average Drawdown Average peak-to-trough decline	-25.96%	-5.67%	-20.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.34%	4.16%	-1.82%

Volatility

ARCNX vs. CTA - Volatility Comparison

The current volatility for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) is 4.93%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 8.01%. 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.

Volatility by Period

	ARCNX	CTA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.93%	8.01%	-3.08%
Volatility (6M) Calculated over the trailing 6-month period	12.68%	17.30%	-4.62%
Volatility (1Y) Calculated over the trailing 1-year period	15.00%	20.12%	-5.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.05%	16.59%	+2.46%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.44%	16.59%	+0.85%

ARCNX vs. CTA - Expense Ratio Comparison

ARCNX has a 1.28% expense ratio, which is higher than CTA's 0.78% expense ratio.

Dividends

ARCNX vs. CTA - Dividend Comparison

ARCNX's dividend yield for the trailing twelve months is around 11.19%, more than CTA's 4.88% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	11.19%	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	4.88%	3.19%	4.80%	7.78%	6.58%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ARCNX and CTA in my portfolio?

ARCNX 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.

Which is riskier, ARCNX or CTA?

CTA has higher volatility (8.01%) compared to ARCNX (4.93%). In terms of maximum drawdown, ARCNX dropped -55.17% vs CTA's -18.07%.

Which has better risk-adjusted returns?

ARCNX currently has the higher Sharpe Ratio (2.86 vs 0.76), 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.