CTA vs. KMLM

Last updated Jun 4, 2026

CTA (Simplify Managed Futures Strategy ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - CTA is a Systematic Trend fund actively managed by Simplify, while KMLM is a Long-Short fund actively managed by CICC. Both are actively managed. Over the past 3 years, CTA returned 11.79%/yr vs -0.47%/yr for KMLM. At a 0.39 correlation, their price movements are largely independent. CTA charges 0.78%/yr vs 0.90%/yr for KMLM.

Performance

CTA vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Managed Futures Strategy ETF (CTA) and KFA Mount Lucas Index Strategy ETF (KMLM). 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 higher than KMLM's 10.79% return.

CTA

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

KMLM

• 1D: 0.17%
• 1M: -2.41%
• YTD: 10.79%
• 6M: 13.19%
• 1Y: 13.68%
• 3Y*: -0.47%
• 5Y*: 4.33%
• 10Y*: —

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

CTA vs. KMLM - 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%
KMLM KFA Mount Lucas Index Strategy ETF	10.79%	-2.98%	-1.69%	-5.66%	6.88%

Correlation

The correlation between CTA and KMLM is 0.59, 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	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.38
Correlation (All Time) Calculated using the full available price history since Mar 9, 2022	0.39

Over the past year, CTA and KMLM have become more correlated (0.59) than their long-term average of 0.39, meaning their price movements have been converging.

Return for Risk

CTA vs. KMLM — 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

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 43
KMLM Martin Ratio Rank: 43

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. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and KFA Mount Lucas Index Strategy ETF (KMLM). 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	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	0.78	1.20	-0.43
Sortino ratio: Return per unit of downside risk	1.12	1.68	-0.57
Omega ratio: Gain probability vs. loss probability	1.15	1.22	-0.07
Calmar ratio: Return relative to maximum drawdown	1.42	2.18	-0.76
Martin ratio: Return relative to average drawdown	3.72	7.18	-3.46
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. KMLM - Sharpe Ratio Comparison

The current CTA Sharpe Ratio is 0.78, which is lower than the KMLM Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of CTA and KMLM, 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	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.78	1.20	-0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.30	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.62	0.49	+0.12

Drawdowns

CTA vs. KMLM - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for CTA and KMLM.

Drawdown Indicators

	CTA	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-18.07%	-27.47%	+9.40%
Max Drawdown (1Y) Largest decline over 1 year	-11.00%	-6.30%	-4.70%
Max Drawdown (3Y) Largest decline over 3 years	-11.23%	-22.28%	+11.05%
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-7.86%	-13.61%	+5.75%
Average Drawdown Average peak-to-trough decline	-5.67%	-12.74%	+7.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.19%	1.91%	+2.28%

Volatility

CTA vs. KMLM - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 7.76% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.46%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CTA	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.76%	4.46%	+3.30%
Volatility (6M) Calculated over the trailing 6-month period	17.30%	9.63%	+7.67%
Volatility (1Y) Calculated over the trailing 1-year period	20.12%	11.43%	+8.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.58%	14.62%	+1.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.58%	14.73%	+1.85%

CTA vs. KMLM - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

CTA vs. KMLM - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 4.85%, more than KMLM's 4.53% yield.

Position	TTM	2025	2024	2023	2022	2021
CTA Simplify Managed Futures Strategy ETF	4.85%	3.19%	4.80%	7.78%	6.58%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.53%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both CTA and KMLM in my portfolio?

CTA and KMLM have a correlation of 0.59, 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 KMLM?

CTA has higher volatility (7.76%) compared to KMLM (4.46%). In terms of maximum drawdown, CTA dropped -18.07% vs KMLM's -27.47%.

Which ETF is better, CTA or KMLM?

On 3-year performance, CTA leads with 11.79% vs -0.47% for KMLM. On fees, CTA is cheaper at 0.78% per year. On volatility, KMLM has been the lower-risk option at 4.46%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CTA or KMLM?

Over the 3-year period, CTA has performed better with a 11.79% return vs -0.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CTA or KMLM?

CTA is cheaper with a 0.78% expense ratio, compared with 0.90% for KMLM.

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

CTA has the higher dividend yield at 4.85%, compared with 4.53% for KMLM.

What is the main difference between CTA and KMLM?

CTA is categorized as Systematic Trend, while KMLM is Long-Short. They also come from different issuers: Simplify and CICC. Their fees differ too: 0.78% for CTA and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.20 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.