JDJIX vs. CTA
JDJIX (JHancock Diversified Macro Fund) and CTA (Simplify Managed Futures Strategy ETF) are both funds - JDJIX is a Macro Trading fund managed by John Hancock, while CTA is a Systematic Trend fund actively managed by Simplify. Over the past 3 years, JDJIX returned 1.36%/yr vs 8.19%/yr for CTA. At a 0.31 correlation, their price movements are largely independent. JDJIX charges 1.39%/yr vs 0.78%/yr for CTA.
Performance
JDJIX vs. CTA - Performance Comparison
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Returns By Period
In the year-to-date period, JDJIX achieves a 9.74% return, which is significantly higher than CTA's 0.33% return.
JDJIX
- 1D
- -0.22%
- 1M
- 1.00%
- 6M
- 6.53%
- YTD
- 9.74%
- 1Y
- 6.24%
- 3Y*
- 1.36%
- 5Y*
- 3.00%
- 10Y*
- —
CTA
- 1D
- 2.70%
- 1M
- -5.44%
- 6M
- -2.22%
- YTD
- 0.33%
- 1Y
- -0.10%
- 3Y*
- 8.19%
- 5Y*
- —
- 10Y*
- —
JDJIX vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 9.74% | -7.68% | 2.59% | 2.77% | 2.22% |
CTA Simplify Managed Futures Strategy ETF | 0.33% | 0.88% | 24.15% | -2.23% | 9.01% |
Correlation
The correlation between JDJIX and CTA is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.40 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | 0.31 |
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Return for Risk
JDJIX vs. CTA — Risk / Return Rank
JDJIX
CTA
JDJIX vs. CTA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JHancock Diversified Macro Fund (JDJIX) 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.
| JDJIX | CTA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.90 | ||
| Sortino ratioReturn per unit of downside risk | +1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.02 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 1.12 | -0.00 | +1.12 |
| Martin ratioReturn relative to average drawdown | 2.85 | -0.01 | +2.86 |
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Drawdowns
JDJIX vs. CTA - Drawdown Comparison
The maximum JDJIX drawdown since its inception was -19.58%, roughly equal to the maximum CTA drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for JDJIX and CTA.
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Drawdown Indicators
| JDJIX | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.58% | -20.44% | +0.86% |
Max Drawdown (1Y)Largest decline over 1 year | -5.72% | -20.44% | +14.72% |
Max Drawdown (3Y)Largest decline over 3 years | -19.58% | -20.44% | +0.86% |
Max Drawdown (5Y)Largest decline over 5 years | -19.58% | — | — |
Current DrawdownCurrent decline from peak | -10.62% | -17.68% | +7.06% |
Average DrawdownAverage peak-to-trough decline | -7.43% | -5.93% | -1.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.24% | 6.76% | -4.52% |
Volatility
JDJIX vs. CTA - Volatility Comparison
The current volatility for JHancock Diversified Macro Fund (JDJIX) is 2.78%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 5.15%. This indicates that JDJIX 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.
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Volatility by Period
| JDJIX | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.78% | 5.15% | -2.37% |
Volatility (6M)Calculated over the trailing 6-month period | 5.51% | 17.93% | -12.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.16% | 20.61% | -13.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.90% | 16.63% | -7.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.14% | 16.63% | -7.49% |
JDJIX vs. CTA - Expense Ratio Comparison
JDJIX has a 1.39% expense ratio, which is higher than CTA's 0.78% expense ratio.
Dividends
JDJIX vs. CTA - Dividend Comparison
JDJIX's dividend yield for the trailing twelve months is around 0.28%, less than CTA's 5.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 5.00% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% |
JDJIX JHancock Diversified Macro Fund | 0.28% | 0.31% | 0.43% | 3.99% | 11.26% | 3.46% | 2.11% | 3.79% |
Frequently Asked Questions
JDJIX and CTA have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CTA has higher volatility (5.15%) compared to JDJIX (2.78%). In terms of maximum drawdown, JDJIX dropped -19.58% vs CTA's -20.44%.
JDJIX currently has the higher Sharpe Ratio (0.90 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.
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