ASMF vs. CTA

Last updated Jun 3, 2026

ASMF (Virtus AlphaSimplex Managed Futures ETF) and CTA (Simplify Managed Futures Strategy ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, ASMF returned 16.81% vs 15.29% for CTA. At a 0.32 correlation, their price movements are largely independent. ASMF charges 0.80%/yr vs 0.78%/yr for CTA.

Performance

ASMF vs. CTA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus AlphaSimplex Managed Futures ETF (ASMF) 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, ASMF achieves a 9.38% return, which is significantly lower than CTA's 11.70% return.

ASMF

• 1D: 0.62%
• 1M: 1.58%
• YTD: 9.38%
• 6M: 11.65%
• 1Y: 16.81%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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)

ASMF vs. CTA - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ASMF Virtus AlphaSimplex Managed Futures ETF	9.38%	1.16%	-3.56%
CTA Simplify Managed Futures Strategy ETF	11.70%	0.88%	5.71%

Correlation

The correlation between ASMF and CTA is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.38
Correlation (All Time) Calculated using the full available price history since May 17, 2024	0.32

ASMF vs. CTA - Sectors Allocation Comparison

Sectors	ASMF	CTA
Financial Services	23.9%	-49.1%
Technology	23.3%	-
Industrials	12.7%	-
Consumer Cyclical	10.2%	-
Basic Materials	7.3%	-
Communication Services	5.5%	-
Energy	4.4%	-
Healthcare	4.4%	-
Consumer Defensive	4.2%	-
Utilities	3.1%	-
Real Estate	1.2%	-

Return for Risk

ASMF vs. CTA — Risk / Return Rank

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

ASMF

ASMF Risk / Return Rank: 50
ASMF Sharpe Ratio Rank: 43
ASMF Sortino Ratio Rank: 41
ASMF Omega Ratio Rank: 44
ASMF Calmar Ratio Rank: 68
ASMF Martin Ratio Rank: 53

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.

ASMF vs. CTA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures ETF (ASMF) 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.

	ASMF	CTA	Difference
Sharpe ratio Return per unit of total volatility	1.51	0.76	+0.75
Sortino ratio Return per unit of downside risk	2.11	1.10	+1.01
Omega ratio Gain probability vs. loss probability	1.28	1.15	+0.13
Calmar ratio Return relative to maximum drawdown	3.44	1.40	+2.03
Martin ratio Return relative to average drawdown	9.10	3.71	+5.39
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ASMF vs. CTA - Sharpe Ratio Comparison

The current ASMF Sharpe Ratio is 1.51, which is higher than the CTA Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of ASMF 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

	ASMF	CTA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.51	0.76	+0.75
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.61	-0.31

Drawdowns

ASMF vs. CTA - Drawdown Comparison

The maximum ASMF drawdown since its inception was -15.31%, smaller than the maximum CTA drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for ASMF and CTA.

Drawdown Indicators

	ASMF	CTA	Difference
Max Drawdown Largest peak-to-trough decline	-15.31%	-18.07%	+2.76%
Max Drawdown (1Y) Largest decline over 1 year	-5.02%	-11.00%	+5.98%
Max Drawdown (3Y) Largest decline over 3 years	—	-11.23%	—
Current Drawdown Current decline from peak	-1.35%	-8.35%	+7.00%
Average Drawdown Average peak-to-trough decline	-7.62%	-5.67%	-1.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.90%	4.16%	-2.26%

Volatility

ASMF vs. CTA - Volatility Comparison

The current volatility for Virtus AlphaSimplex Managed Futures ETF (ASMF) is 2.60%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 8.01%. This indicates that ASMF 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

	ASMF	CTA	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.60%	8.01%	-5.41%
Volatility (6M) Calculated over the trailing 6-month period	9.30%	17.30%	-8.00%
Volatility (1Y) Calculated over the trailing 1-year period	11.17%	20.12%	-8.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.98%	16.59%	-5.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.98%	16.59%	-5.61%

ASMF vs. CTA - Expense Ratio Comparison

ASMF has a 0.80% expense ratio, which is higher than CTA's 0.78% expense ratio.

Dividends

ASMF vs. CTA - Dividend Comparison

ASMF's dividend yield for the trailing twelve months is around 0.20%, less than CTA's 4.88% yield.

Position	TTM	2025	2024	2023	2022
ASMF Virtus AlphaSimplex Managed Futures ETF	0.20%	0.22%	1.66%	0.00%	0.00%
CTA Simplify Managed Futures Strategy ETF	4.88%	3.19%	4.80%	7.78%	6.58%

Frequently Asked Questions

Can I hold both ASMF and CTA in my portfolio?

ASMF and CTA have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASMF or CTA?

CTA has higher volatility (8.01%) compared to ASMF (2.60%). In terms of maximum drawdown, ASMF dropped -15.31% vs CTA's -18.07%.

Which ETF is better, ASMF or CTA?

On 1-year performance, ASMF leads with 16.81% vs 15.29% for CTA. On fees, CTA is cheaper at 0.78% per year. On volatility, ASMF has been the lower-risk option at 2.60%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ASMF or CTA?

Over the 1-year period, ASMF has performed better with a 16.81% return vs 15.29%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ASMF or CTA?

CTA is cheaper with a 0.78% expense ratio, compared with 0.80% for ASMF.

Which ETF pays a higher dividend yield, ASMF or CTA?

CTA has the higher dividend yield at 4.88%, compared with 0.20% for ASMF.

What is the main difference between ASMF and CTA?

They also come from different issuers: Virtus and Simplify. Their fees differ too: 0.80% for ASMF and 0.78% for CTA.

Which has better risk-adjusted returns?

ASMF currently has the higher Sharpe Ratio (1.51 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.