CTA vs. AQMIX

Last updated Jun 5, 2026

CTA (Simplify Managed Futures Strategy ETF) and AQMIX (AQR Managed Futures Strategy Fund) are both Systematic Trend funds. Over the past 3 years, CTA returned 11.34%/yr vs 12.79%/yr for AQMIX. At a 0.41 correlation, their price movements are largely independent. CTA charges 0.78%/yr vs 1.25%/yr for AQMIX.

Performance

CTA vs. AQMIX - Performance Comparison

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

Returns By Period

In the year-to-date period, CTA achieves a 10.72% return, which is significantly lower than AQMIX's 13.79% return.

CTA

• 1D: -1.40%
• 1M: -8.08%
• YTD: 10.72%
• 6M: 12.41%
• 1Y: 13.86%
• 3Y*: 11.34%
• 5Y*: —
• 10Y*: —

AQMIX

• 1D: 0.74%
• 1M: 1.78%
• YTD: 13.79%
• 6M: 15.67%
• 1Y: 25.86%
• 3Y*: 12.79%
• 5Y*: 12.87%
• 10Y*: 5.08%

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

CTA vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
CTA Simplify Managed Futures Strategy ETF	10.72%	0.88%	24.15%	-2.23%	9.55%
AQMIX AQR Managed Futures Strategy Fund	13.79%	14.62%	8.13%	2.08%	15.17%

Correlation

The correlation between CTA and AQMIX is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
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

CTA vs. AQMIX — Risk / Return Rank

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

CTA

CTA Risk / Return Rank: 23
CTA Sharpe Ratio Rank: 21
CTA Sortino Ratio Rank: 20
CTA Omega Ratio Rank: 22
CTA Calmar Ratio Rank: 27
CTA Martin Ratio Rank: 25

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 85
AQMIX Omega Ratio Rank: 81
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

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.

CTA vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and AQR Managed Futures Strategy Fund (AQMIX). 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.

	CTA	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	0.69	3.00	-2.31
Sortino ratio: Return per unit of downside risk	1.01	4.09	-3.08
Omega ratio: Gain probability vs. loss probability	1.14	1.54	-0.40
Calmar ratio: Return relative to maximum drawdown	1.26	8.64	-7.38
Martin ratio: Return relative to average drawdown	3.28	26.76	-23.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CTA vs. AQMIX - Sharpe Ratio Comparison

The current CTA Sharpe Ratio is 0.69, which is lower than the AQMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of CTA and AQMIX, 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

	CTA	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.69	3.00	-2.31
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	1.11	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.49	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.43	+0.17

Drawdowns

CTA vs. AQMIX - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for CTA and AQMIX.

Drawdown Indicators

	CTA	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-18.07%	-26.52%	+8.45%
Max Drawdown (1Y) Largest decline over 1 year	-11.00%	-3.02%	-7.98%
Max Drawdown (3Y) Largest decline over 3 years	-11.23%	-13.57%	+2.34%
Max Drawdown (5Y) Largest decline over 5 years	—	-13.57%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-23.34%	—
Current Drawdown Current decline from peak	-9.15%	0.00%	-9.15%
Average Drawdown Average peak-to-trough decline	-5.68%	-10.00%	+4.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.23%	0.97%	+3.26%

Volatility

CTA vs. AQMIX - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 7.79% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.63%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CTA	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.79%	2.63%	+5.16%
Volatility (6M) Calculated over the trailing 6-month period	17.37%	6.62%	+10.75%
Volatility (1Y) Calculated over the trailing 1-year period	20.17%	8.69%	+11.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.59%	11.63%	+4.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.59%	10.37%	+6.22%

CTA vs. AQMIX - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

CTA vs. AQMIX - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 4.92%, more than AQMIX's 1.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	1.99%	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	4.92%	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 CTA and AQMIX in my portfolio?

CTA and AQMIX have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CTA or AQMIX?

CTA has higher volatility (7.79%) compared to AQMIX (2.63%). In terms of maximum drawdown, CTA dropped -18.07% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (3.00 vs 0.69), 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.