CTA vs. QRPNX

Last updated Jul 26, 2026

CTA (Simplify Managed Futures Strategy ETF) and QRPNX (AQR Alternative Risk Premia Fund Class N) are both funds - CTA is a Systematic Trend fund actively managed by Simplify, while QRPNX is a Multistrategy fund actively managed by AQR. Both are actively managed. Over the past 3 years, CTA returned 9.57%/yr vs 21.88%/yr for QRPNX. Their 0.24 correlation means their historical movements had little consistent relationship. CTA charges 0.78%/yr vs 5.29%/yr for QRPNX.

Performance

CTA vs. QRPNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Managed Futures Strategy ETF (CTA) and AQR Alternative Risk Premia Fund Class N (QRPNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CTA achieves a 6.14% return, which is significantly lower than QRPNX's 20.97% return.

CTA

• 1D: -1.88%
• 1M: 7.04%
• 6M: 2.60%
• YTD: 6.14%
• 1Y: 4.94%
• 3Y*: 9.57%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 8.28%

QRPNX

• 1D: 0.30%
• 1M: 3.32%
• 6M: 19.57%
• YTD: 20.97%
• 1Y: 37.49%
• 3Y*: 21.88%
• 5Y*: 19.57%
• 10Y*: —
• ALL TIME*: 8.56%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CTA Simplify Managed Futures Strategy ETF	$10.73M	$13.32M	$14.98M
QRPNX AQR Alternative Risk Premia Fund Class N	$0.00	$0.00	$0.00

CTA vs. QRPNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
CTA Simplify Managed Futures Strategy ETF	6.14%	0.88%	24.15%	-2.23%	9.01%
QRPNX AQR Alternative Risk Premia Fund Class N	20.97%	23.09%	18.64%	6.94%	13.39%

Correlation

The correlation between CTA and QRPNX is 0.36, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.36
Correlation (3Y) Balances recent behavior with more history.	0.24
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022	0.24

The correlation between CTA and QRPNX shifts across timeframes, from 0.24 (all time) to 0.36 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

CTA vs. QRPNX — Risk / Return Rank

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

CTA

CTA Risk / Return Rank: 16
CTA Sharpe Ratio Rank: 16
CTA Sortino Ratio Rank: 16
CTA Omega Ratio Rank: 16
CTA Calmar Ratio Rank: 16
CTA Martin Ratio Rank: 16

QRPNX

QRPNX Risk / Return Rank: 98
QRPNX Sharpe Ratio Rank: 99
QRPNX Sortino Ratio Rank: 98
QRPNX Omega Ratio Rank: 96
QRPNX Calmar Ratio Rank: 99
QRPNX Martin Ratio Rank: 98

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. QRPNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and AQR Alternative Risk Premia Fund Class N (QRPNX). 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	QRPNX	Difference
Sharpe ratio: Return per unit of total volatility	0.20	3.92	-3.72
Sortino ratio: Return per unit of downside risk	0.41	5.66	-5.25
Omega ratio: Gain probability vs. loss probability	1.05	1.70	-0.65
Calmar ratio: Return relative to maximum drawdown	0.20	10.26	-10.06
Martin ratio: Return relative to average drawdown	0.57	27.66	-27.09

CTA vs. QRPNX - Sharpe Ratio Comparison

The current CTA Sharpe Ratio is 0.20, which is lower than the QRPNX Sharpe Ratio of 3.92. The chart below compares the historical Sharpe Ratios of CTA and QRPNX, 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. QRPNX - Drawdown Comparison

The maximum CTA drawdown since its inception was -20.44%, smaller than the maximum QRPNX drawdown of -28.78%. Use the drawdown chart below to compare losses from any high point for CTA and QRPNX.

Drawdown Indicators

	CTA	QRPNX	Difference
Max Drawdown Largest peak-to-trough decline	-20.44%	-28.78%	+8.34%
Max Drawdown (1Y) Largest decline over 1 year	-20.44%	-3.62%	-16.82%
Max Drawdown (3Y) Largest decline over 3 years	-20.44%	-11.22%	-9.22%
Max Drawdown (5Y) Largest decline over 5 years	—	-11.22%	—
Current Drawdown Current decline from peak	-12.91%	0.00%	-12.91%
Average Drawdown Average peak-to-trough decline	-6.01%	-7.74%	+1.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	7.33%	1.34%	+5.99%

Volatility

CTA vs. QRPNX - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 5.80% compared to AQR Alternative Risk Premia Fund Class N (QRPNX) at 2.51%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than QRPNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CTA	QRPNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.80%	2.51%	+3.29%
Volatility (6M) Calculated over the trailing 6-month period	18.29%	6.92%	+11.37%
Volatility (1Y) Calculated over the trailing 1-year period	20.97%	9.48%	+11.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.71%	11.81%	+4.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.71%	10.31%	+6.40%

CTA vs. QRPNX - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is lower than QRPNX's 5.29% expense ratio.

Dividends

CTA vs. QRPNX - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 4.73%, more than QRPNX's 0.94% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
CTA Simplify Managed Futures Strategy ETF	4.73%	3.19%	4.80%	7.78%	6.58%	0.00%	0.00%	0.00%	0.00%
QRPNX AQR Alternative Risk Premia Fund Class N	0.94%	1.14%	2.04%	4.33%	0.00%	3.84%	1.98%	0.57%	0.07%

Frequently Asked Questions

Can I hold both CTA and QRPNX in my portfolio?

CTA and QRPNX have a correlation of 0.36, 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 QRPNX?

CTA has higher volatility (5.80%) compared to QRPNX (2.51%). In terms of maximum drawdown, CTA dropped -20.44% vs QRPNX's -28.78%.

Which has better risk-adjusted returns?

QRPNX currently has the higher Sharpe Ratio (3.92 vs 0.20), 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.