CTA vs. AQMIX
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 6.30%/yr vs 10.53%/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
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Returns By Period
In the year-to-date period, CTA achieves a -2.31% return, which is significantly lower than AQMIX's 10.03% return.
CTA
- 1D
- -0.27%
- 1M
- -7.93%
- 6M
- -4.35%
- YTD
- -2.31%
- 1Y
- -2.73%
- 3Y*
- 6.30%
- 5Y*
- —
- 10Y*
- —
AQMIX
- 1D
- 0.57%
- 1M
- -1.31%
- 6M
- 7.78%
- YTD
- 10.03%
- 1Y
- 23.52%
- 3Y*
- 10.53%
- 5Y*
- 13.50%
- 10Y*
- 4.26%
CTA vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | -2.31% | 0.88% | 24.15% | -2.23% | 9.01% |
AQMIX AQR Managed Futures Strategy Fund | 10.03% | 14.62% | 8.13% | 2.08% | 17.09% |
Correlation
The correlation between CTA and AQMIX 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 | 0.40 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | 0.41 |
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Return for Risk
CTA vs. AQMIX — Risk / Return Rank
CTA
AQMIX
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CTA | AQMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.55 | ||
| Sortino ratioReturn per unit of downside risk | -3.33 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.43 | -0.43 |
| Calmar ratioReturn relative to maximum drawdown | -0.07 | 4.45 | -4.51 |
| Martin ratioReturn relative to average drawdown | -0.20 | 16.94 | -17.14 |
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Drawdowns
CTA vs. AQMIX - Drawdown Comparison
The maximum CTA drawdown since its inception was -20.44%, 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.
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Drawdown Indicators
| CTA | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.44% | -26.52% | +6.08% |
Max Drawdown (1Y)Largest decline over 1 year | -20.44% | -5.14% | -15.30% |
Max Drawdown (3Y)Largest decline over 3 years | -20.44% | -13.57% | -6.87% |
Max Drawdown (5Y)Largest decline over 5 years | — | -13.57% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -22.17% | — |
Current DrawdownCurrent decline from peak | -19.85% | -3.31% | -16.54% |
Average DrawdownAverage peak-to-trough decline | -5.92% | -9.96% | +4.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.67% | 1.35% | +5.32% |
Volatility
CTA vs. AQMIX - Volatility Comparison
Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 4.27% compared to AQR Managed Futures Strategy Fund (AQMIX) at 3.41%. 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.
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Volatility by Period
| CTA | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.27% | 3.41% | +0.86% |
Volatility (6M)Calculated over the trailing 6-month period | 17.73% | 7.10% | +10.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.44% | 9.19% | +11.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.59% | 11.61% | +4.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.59% | 10.25% | +6.34% |
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 5.14%, more than AQMIX's 2.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.05% | 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 | 5.14% | 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
CTA and AQMIX 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.
CTA has higher volatility (4.27%) compared to AQMIX (3.41%). In terms of maximum drawdown, CTA dropped -20.44% vs AQMIX's -26.52%.
AQMIX currently has the higher Sharpe Ratio (2.49 vs -0.07), 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.
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