CTA vs. IMF

Last updated Jun 4, 2026

CTA (Simplify Managed Futures Strategy ETF) and IMF (Invesco Managed Futures Strategy ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, CTA returned 15.57% vs 20.55% for IMF. At a 0.46 correlation, their price movements are largely independent. CTA charges 0.78%/yr vs 0.65%/yr for IMF.

Performance

CTA vs. IMF - Performance Comparison

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

Returns By Period

In the year-to-date period, CTA achieves a 12.30% return, which is significantly lower than IMF's 14.07% return.

CTA

• 1D: 0.54%
• 1M: -7.86%
• YTD: 12.30%
• 6M: 13.80%
• 1Y: 15.57%
• 3Y*: 11.79%
• 5Y*: —
• 10Y*: —

IMF

• 1D: 0.01%
• 1M: 0.95%
• YTD: 14.07%
• 6M: 18.34%
• 1Y: 20.55%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CTA vs. IMF - Yearly Performance Comparison

	2026 (YTD)	2025
CTA Simplify Managed Futures Strategy ETF	12.30%	-6.06%
IMF Invesco Managed Futures Strategy ETF	14.07%	-7.96%

Correlation

The correlation between CTA and IMF is 0.51, 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	0.51
Correlation (All Time) Calculated using the full available price history since Mar 20, 2025	0.46

The correlation between CTA and IMF has been stable across timeframes, ranging from 0.46 to 0.51 - a consistent structural relationship.

Return for Risk

CTA vs. IMF — Risk / Return Rank

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

CTA

CTA Risk / Return Rank: 24
CTA Sharpe Ratio Rank: 22
CTA Sortino Ratio Rank: 20
CTA Omega Ratio Rank: 22
CTA Calmar Ratio Rank: 29
CTA Martin Ratio Rank: 26

IMF

IMF Risk / Return Rank: 69
IMF Sharpe Ratio Rank: 59
IMF Sortino Ratio Rank: 54
IMF Omega Ratio Rank: 64
IMF Calmar Ratio Rank: 91
IMF Martin Ratio Rank: 78

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. IMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and Invesco Managed Futures Strategy ETF (IMF). 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	IMF	Difference
Sharpe ratio: Return per unit of total volatility	0.78	1.99	-1.21
Sortino ratio: Return per unit of downside risk	1.12	2.60	-1.48
Omega ratio: Gain probability vs. loss probability	1.15	1.39	-0.24
Calmar ratio: Return relative to maximum drawdown	1.42	5.75	-4.33
Martin ratio: Return relative to average drawdown	3.72	15.12	-11.40
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. IMF - Sharpe Ratio Comparison

The current CTA Sharpe Ratio is 0.78, which is lower than the IMF Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of CTA and IMF, 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	IMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.78	1.99	-1.21
Sharpe Ratio (All Time) Calculated using the full available price history	0.62	0.33	+0.28

Drawdowns

CTA vs. IMF - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, which is greater than IMF's maximum drawdown of -15.10%. Use the drawdown chart below to compare losses from any high point for CTA and IMF.

Drawdown Indicators

	CTA	IMF	Difference
Max Drawdown Largest peak-to-trough decline	-18.07%	-15.10%	-2.97%
Max Drawdown (1Y) Largest decline over 1 year	-11.00%	-3.59%	-7.41%
Max Drawdown (3Y) Largest decline over 3 years	-11.23%	—	—
Current Drawdown Current decline from peak	-7.86%	-0.83%	-7.03%
Average Drawdown Average peak-to-trough decline	-5.67%	-8.41%	+2.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.19%	1.36%	+2.83%

Volatility

CTA vs. IMF - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 7.76% compared to Invesco Managed Futures Strategy ETF (IMF) at 2.08%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than IMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CTA	IMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.76%	2.08%	+5.68%
Volatility (6M) Calculated over the trailing 6-month period	17.30%	8.91%	+8.39%
Volatility (1Y) Calculated over the trailing 1-year period	20.12%	10.45%	+9.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.58%	12.48%	+4.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.58%	12.48%	+4.10%

CTA vs. IMF - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is higher than IMF's 0.65% expense ratio.

Dividends

CTA vs. IMF - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 4.85%, more than IMF's 0.89% yield.

Position	TTM	2025	2024	2023	2022
CTA Simplify Managed Futures Strategy ETF	4.85%	3.19%	4.80%	7.78%	6.58%
IMF Invesco Managed Futures Strategy ETF	0.89%	1.01%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CTA and IMF in my portfolio?

CTA and IMF have a correlation of 0.51, 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 IMF?

CTA has higher volatility (7.76%) compared to IMF (2.08%). In terms of maximum drawdown, CTA dropped -18.07% vs IMF's -15.10%.

Which ETF is better, CTA or IMF?

On 1-year performance, IMF leads with 20.55% vs 15.57% for CTA. On fees, IMF is cheaper at 0.65% per year. On volatility, IMF has been the lower-risk option at 2.08%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CTA or IMF?

Over the 1-year period, IMF has performed better with a 20.55% return vs 15.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CTA or IMF?

IMF is cheaper with a 0.65% expense ratio, compared with 0.78% for CTA.

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

CTA has the higher dividend yield at 4.85%, compared with 0.89% for IMF.

What is the main difference between CTA and IMF?

They also come from different issuers: Simplify and Invesco. Their fees differ too: 0.78% for CTA and 0.65% for IMF.

Which has better risk-adjusted returns?

IMF currently has the higher Sharpe Ratio (1.99 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.