FMF vs. CTA

Last updated Jul 14, 2026

FMF (First Trust Managed Futures Strategy Fund) and CTA (Simplify Managed Futures Strategy ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while CTA is a Systematic Trend fund actively managed by Simplify. Both are actively managed. Over the past 3 years, FMF returned 5.68%/yr vs 8.19%/yr for CTA. At a 0.32 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.78%/yr for CTA.

Performance

FMF vs. CTA - Performance Comparison

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

Returns By Period

In the year-to-date period, FMF achieves a 7.98% return, which is significantly higher than CTA's 0.33% return.

FMF

• 1D: 0.92%
• 1M: -1.02%
• 6M: 5.23%
• YTD: 7.98%
• 1Y: 15.36%
• 3Y*: 5.68%
• 5Y*: 4.35%
• 10Y*: 2.66%

CTA

• 1D: 2.70%
• 1M: -5.44%
• 6M: -2.22%
• YTD: 0.33%
• 1Y: -0.10%
• 3Y*: 8.19%
• 5Y*: —
• 10Y*: —

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

FMF vs. CTA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
FMF First Trust Managed Futures Strategy Fund	7.98%	4.54%	8.17%	-0.18%	-4.49%
CTA Simplify Managed Futures Strategy ETF	0.33%	0.88%	24.15%	-2.23%	9.01%

Correlation

The correlation between FMF and CTA 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	0.37
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022	0.32

Over the past year, FMF and CTA have become more correlated (0.55) than their long-term average of 0.32, meaning their price movements have been converging.

Return for Risk

FMF vs. CTA — Risk / Return Rank

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

FMF

FMF Risk / Return Rank: 66
FMF Sharpe Ratio Rank: 59
FMF Sortino Ratio Rank: 62
FMF Omega Ratio Rank: 57
FMF Calmar Ratio Rank: 81
FMF Martin Ratio Rank: 71

CTA

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

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.

FMF vs. CTA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Simplify Managed Futures Strategy ETF (CTA). 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.

	FMF	CTA	Difference
Sharpe ratio: Return per unit of total volatility	1.57	-0.00	+1.58
Sortino ratio: Return per unit of downside risk	2.29	0.13	+2.16
Omega ratio: Gain probability vs. loss probability	1.28	1.02	+0.26
Calmar ratio: Return relative to maximum drawdown	3.42	-0.00	+3.42
Martin ratio: Return relative to average drawdown	10.28	-0.01	+10.30

FMF vs. CTA - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 1.57, which is higher than the CTA Sharpe Ratio of -0.00. The chart below compares the historical Sharpe Ratios of FMF and CTA, 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

FMF vs. CTA - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, which is greater than CTA's maximum drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for FMF and CTA.

Drawdown Indicators

	FMF	CTA	Difference
Max Drawdown Largest peak-to-trough decline	-22.21%	-20.44%	-1.77%
Max Drawdown (1Y) Largest decline over 1 year	-4.51%	-20.44%	+15.93%
Max Drawdown (3Y) Largest decline over 3 years	-7.25%	-20.44%	+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	-2.75%	-17.68%	+14.93%
Average Drawdown Average peak-to-trough decline	-9.80%	-5.93%	-3.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.50%	6.76%	-5.26%

Volatility

FMF vs. CTA - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 3.45%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 5.15%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than CTA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FMF	CTA	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.45%	5.15%	-1.70%
Volatility (6M) Calculated over the trailing 6-month period	7.68%	17.93%	-10.25%
Volatility (1Y) Calculated over the trailing 1-year period	9.83%	20.61%	-10.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.77%	16.63%	-5.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.63%	16.63%	-5.00%

FMF vs. CTA - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than CTA's 0.78% expense ratio.

Dividends

FMF vs. CTA - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 5.01%, which matches CTA's 5.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
CTA Simplify Managed Futures Strategy ETF	5.00%	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	5.01%	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 FMF and CTA in my portfolio?

FMF and CTA 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, FMF or CTA?

CTA has higher volatility (5.15%) compared to FMF (3.45%). In terms of maximum drawdown, FMF dropped -22.21% vs CTA's -20.44%.

Which ETF is better, FMF or CTA?

On 3-year performance, CTA leads with 8.19% vs 5.68% for FMF. On fees, CTA is cheaper at 0.78% per year. On volatility, FMF has been the lower-risk option at 3.45%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FMF or CTA?

Over the 3-year period, CTA has performed better with a 8.19% return vs 5.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FMF or CTA?

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

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

FMF and CTA have nearly identical dividend yields, around 5.01%.

What is the main difference between FMF and CTA?

FMF is categorized as Hedge Fund, while CTA is Systematic Trend. They also come from different issuers: First Trust and Simplify. Their fees differ too: 0.95% for FMF and 0.78% for CTA.

Which has better risk-adjusted returns?

FMF currently has the higher Sharpe Ratio (1.57 vs -0.00), 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.