CTA vs. FMF

Last updated Jul 12, 2026

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 6.30%/yr vs 5.70%/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

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

Returns By Period

In the year-to-date period, CTA achieves a -2.31% return, which is significantly lower than FMF's 6.99% return.

CTA

• 1D: -0.27%
• 1M: -7.93%
• 6M: -4.35%
• YTD: -2.31%
• 1Y: -2.73%
• 3Y*: 6.30%
• 5Y*: —
• 10Y*: —

FMF

• 1D: -0.20%
• 1M: -1.93%
• 6M: 4.35%
• YTD: 6.99%
• 1Y: 14.30%
• 3Y*: 5.70%
• 5Y*: 4.11%
• 10Y*: 2.56%

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

CTA vs. FMF - 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%
FMF First Trust Managed Futures Strategy Fund	6.99%	4.54%	8.17%	-0.18%	-4.49%

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	0.36
Correlation (All Time) Calculated using the full available price history since Mar 8, 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.

Return for Risk

CTA vs. FMF — Risk / Return Rank

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

CTA

CTA Risk / Return Rank: 9
CTA Sharpe Ratio Rank: 9
CTA Sortino Ratio Rank: 8
CTA Omega Ratio Rank: 8
CTA Calmar Ratio Rank: 9
CTA Martin Ratio Rank: 8

FMF

FMF Risk / Return Rank: 66
FMF Sharpe Ratio Rank: 59
FMF Sortino Ratio Rank: 61
FMF Omega Ratio Rank: 56
FMF Calmar Ratio Rank: 81
FMF Martin Ratio Rank: 71

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. 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.

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	FMF	Difference
Sharpe ratio: Return per unit of total volatility	-0.07	1.58	-1.64
Sortino ratio: Return per unit of downside risk	0.05	2.30	-2.26
Omega ratio: Gain probability vs. loss probability	1.01	1.28	-0.27
Calmar ratio: Return relative to maximum drawdown	-0.07	3.43	-3.50
Martin ratio: Return relative to average drawdown	-0.20	10.37	-10.58

CTA vs. FMF - Sharpe Ratio Comparison

The current CTA Sharpe Ratio is -0.07, which is lower than the FMF Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of CTA and FMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CTA vs. FMF - Drawdown Comparison

The maximum CTA drawdown since its inception was -20.44%, 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.

Drawdown Indicators

	CTA	FMF	Difference
Max Drawdown Largest peak-to-trough decline	-20.44%	-22.21%	+1.77%
Max Drawdown (1Y) Largest decline over 1 year	-20.44%	-4.51%	-15.93%
Max Drawdown (3Y) Largest decline over 3 years	-20.44%	-7.25%	-13.19%
Max Drawdown (5Y) Largest decline over 5 years	—	-14.98%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-16.89%	—
Current Drawdown Current decline from peak	-19.85%	-3.64%	-16.21%
Average Drawdown Average peak-to-trough decline	-5.92%	-9.80%	+3.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.67%	1.49%	+5.18%

Volatility

CTA vs. FMF - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 4.27% compared to First Trust Managed Futures Strategy Fund (FMF) at 3.32%. 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.

Volatility by Period

	CTA	FMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.27%	3.32%	+0.95%
Volatility (6M) Calculated over the trailing 6-month period	17.73%	7.67%	+10.06%
Volatility (1Y) Calculated over the trailing 1-year period	20.44%	9.84%	+10.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.59%	10.78%	+5.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.59%	11.63%	+4.96%

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 5.14%, more than FMF's 5.05% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
FMF First Trust Managed Futures Strategy Fund	5.05%	5.60%	4.85%	3.09%	0.41%	3.29%	0.02%	1.05%	1.56%	0.82%

Frequently Asked Questions

Can I hold both CTA and FMF in my portfolio?

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.

Which is riskier, CTA or FMF?

CTA has higher volatility (4.27%) compared to FMF (3.32%). In terms of maximum drawdown, CTA dropped -20.44% vs FMF's -22.21%.

Which ETF is better, CTA or FMF?

On 3-year performance, CTA leads with 6.30% vs 5.70% for FMF. On fees, CTA is cheaper at 0.78% per year. On volatility, FMF has been the lower-risk option at 3.32%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CTA or FMF?

Over the 3-year period, CTA has performed better with a 6.30% return vs 5.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CTA or FMF?

CTA is cheaper with a 0.78% expense ratio, compared with 0.95% for FMF.

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

CTA has the higher dividend yield at 5.14%, compared with 5.05% for FMF.

What is the main difference between CTA and FMF?

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.

Which has better risk-adjusted returns?

FMF currently has the higher Sharpe Ratio (1.58 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.