CTA vs. FMF
CTA (Simplify Managed Futures Strategy ETF) and FMF (First Trust Managed Futures Strategy Fund) are both exchange-traded funds - CTA is a Systematic Trend fund actively managed by Simplify, while FMF is a Hedge Fund fund actively managed by First Trust. Both are actively managed. Over the past 3 years, CTA returned 11.79%/yr vs 6.78%/yr for FMF. At a 0.32 correlation, their price movements are largely independent. CTA charges 0.78%/yr vs 0.95%/yr for FMF.
Performance
CTA vs. FMF - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, CTA achieves a 12.30% return, which is significantly higher than FMF's 10.96% return.
CTA
- 1D
- 0.54%
- 1M
- -7.86%
- YTD
- 12.30%
- 6M
- 13.80%
- 1Y
- 15.57%
- 3Y*
- 11.79%
- 5Y*
- —
- 10Y*
- —
FMF
- 1D
- 0.33%
- 1M
- 1.08%
- YTD
- 10.96%
- 6M
- 11.47%
- 1Y
- 22.22%
- 3Y*
- 6.78%
- 5Y*
- 4.62%
- 10Y*
- 3.17%
CTA vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 12.30% | 0.88% | 24.15% | -2.23% | 9.55% |
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | -5.23% |
Correlation
The correlation between CTA and FMF is 0.55, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.55 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.35 |
Correlation (All Time) Calculated using the full available price history since Mar 9, 2022 | 0.32 |
Over the past year, CTA and FMF have become more correlated (0.55) than their long-term average of 0.32, meaning their price movements have been converging.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
CTA vs. FMF — Risk / Return Rank
CTA
FMF
CTA vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and First Trust Managed Futures Strategy Fund (FMF). 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 | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.54 | ||
| Sortino ratioReturn per unit of downside risk | -2.19 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.42 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | 1.42 | 6.52 | -5.10 |
| Martin ratioReturn relative to average drawdown | 3.72 | 18.49 | -14.77 |
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 charts...
Sharpe Ratios by Period
| CTA | FMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.78 | 2.31 | -1.54 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.43 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.27 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.62 | 0.17 | +0.44 |
Drawdowns
CTA vs. FMF - Drawdown Comparison
The maximum CTA drawdown since its inception was -18.07%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for CTA and FMF.
Loading charts...
Drawdown Indicators
| CTA | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.07% | -22.21% | +4.14% |
Max Drawdown (1Y)Largest decline over 1 year | -11.00% | -3.42% | -7.58% |
Max Drawdown (3Y)Largest decline over 3 years | -11.23% | -7.25% | -3.98% |
Max Drawdown (5Y)Largest decline over 5 years | — | -14.98% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.89% | — |
Current DrawdownCurrent decline from peak | -7.86% | -0.07% | -7.79% |
Average DrawdownAverage peak-to-trough decline | -5.67% | -9.86% | +4.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.19% | 1.20% | +2.99% |
Volatility
CTA vs. FMF - Volatility Comparison
Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 7.76% compared to First Trust Managed Futures Strategy Fund (FMF) at 1.89%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than FMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| CTA | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.76% | 1.89% | +5.87% |
Volatility (6M)Calculated over the trailing 6-month period | 17.30% | 7.11% | +10.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.12% | 9.66% | +10.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.58% | 10.74% | +5.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.58% | 11.72% | +4.86% |
CTA vs. FMF - Expense Ratio Comparison
CTA has a 0.78% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
CTA vs. FMF - Dividend Comparison
CTA's dividend yield for the trailing twelve months is around 4.85%, less than FMF's 4.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 4.85% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FMF First Trust Managed Futures Strategy Fund | 4.96% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
Frequently Asked Questions
CTA and FMF have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CTA has higher volatility (7.76%) compared to FMF (1.89%). In terms of maximum drawdown, CTA dropped -18.07% vs FMF's -22.21%.
On 3-year performance, CTA leads with 11.79% vs 6.78% for FMF. On fees, CTA is cheaper at 0.78% per year. On volatility, FMF has been the lower-risk option at 1.89%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, CTA has performed better with a 11.79% return vs 6.78%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CTA is cheaper with a 0.78% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 4.96%, compared with 4.85% for CTA.
CTA is categorized as Systematic Trend, while FMF is Hedge Fund. They also come from different issuers: Simplify and First Trust. Their fees differ too: 0.78% for CTA and 0.95% for FMF.
FMF currently has the higher Sharpe Ratio (2.31 vs 0.78), 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.
Find the right allocation for CTA and FMF
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer