MRSK vs. CTA

Last updated Jun 3, 2026

MRSK (Agility Shares Managed Risk ETF) and CTA (Simplify Managed Futures Strategy ETF) are both exchange-traded funds - MRSK is a Hedge Fund fund actively managed by Toews Corp., while CTA is a Systematic Trend fund actively managed by Simplify. Both are actively managed. Over the past 3 years, MRSK returned 11.50%/yr vs 11.59%/yr for CTA. At a correlation of -0.14, they often move in opposite directions. MRSK charges 0.99%/yr vs 0.78%/yr for CTA.

Performance

MRSK vs. CTA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Agility Shares Managed Risk ETF (MRSK) 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, MRSK achieves a 5.48% return, which is significantly lower than CTA's 11.70% return.

MRSK

• 1D: 0.14%
• 1M: 4.29%
• YTD: 5.48%
• 6M: 6.16%
• 1Y: 19.76%
• 3Y*: 11.50%
• 5Y*: 8.40%
• 10Y*: —

CTA

• 1D: 0.54%
• 1M: -6.72%
• YTD: 11.70%
• 6M: 12.40%
• 1Y: 15.29%
• 3Y*: 11.59%
• 5Y*: —
• 10Y*: —

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

MRSK vs. CTA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
MRSK Agility Shares Managed Risk ETF	5.48%	11.93%	14.62%	13.29%	-5.85%
CTA Simplify Managed Futures Strategy ETF	11.70%	0.88%	24.15%	-2.23%	9.55%

Correlation

The correlation between MRSK and CTA is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.11
Correlation (3Y) Calculated over the trailing 3-year period	-0.09
Correlation (All Time) Calculated using the full available price history since Mar 9, 2022	-0.14

MRSK vs. CTA - Sectors Allocation Comparison

Sectors	MRSK	CTA
Technology	35.7%	-
Financial Services	12.0%	-49.1%
Communication Services	10.8%	-
Consumer Cyclical	10.1%	-
Healthcare	8.6%	-
Industrials	8.2%	-
Consumer Defensive	4.9%	-
Energy	3.6%	-
Utilities	2.4%	-
Real Estate	1.9%	-
Basic Materials	1.8%	-

Return for Risk

MRSK vs. CTA — Risk / Return Rank

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

MRSK

MRSK Risk / Return Rank: 55
MRSK Sharpe Ratio Rank: 55
MRSK Sortino Ratio Rank: 53
MRSK Omega Ratio Rank: 57
MRSK Calmar Ratio Rank: 51
MRSK Martin Ratio Rank: 58

CTA

CTA Risk / Return Rank: 24
CTA Sharpe Ratio Rank: 22
CTA Sortino Ratio Rank: 21
CTA Omega Ratio Rank: 23
CTA Calmar Ratio Rank: 29
CTA Martin Ratio Rank: 26

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.

MRSK vs. CTA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) 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.

	MRSK	CTA	Difference
Sharpe ratio Return per unit of total volatility	1.90	0.76	+1.13
Sortino ratio Return per unit of downside risk	2.60	1.10	+1.50
Omega ratio Gain probability vs. loss probability	1.35	1.15	+0.20
Calmar ratio Return relative to maximum drawdown	2.56	1.40	+1.16
Martin ratio Return relative to average drawdown	10.35	3.71	+6.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MRSK vs. CTA - Sharpe Ratio Comparison

The current MRSK Sharpe Ratio is 1.90, which is higher than the CTA Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of MRSK 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.

Sharpe Ratios by Period

	MRSK	CTA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.90	0.76	+1.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.72	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.97	0.61	+0.36

Drawdowns

MRSK vs. CTA - Drawdown Comparison

The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum CTA drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for MRSK and CTA.

Drawdown Indicators

	MRSK	CTA	Difference
Max Drawdown Largest peak-to-trough decline	-14.70%	-18.07%	+3.37%
Max Drawdown (1Y) Largest decline over 1 year	-7.82%	-11.00%	+3.18%
Max Drawdown (3Y) Largest decline over 3 years	-12.22%	-11.23%	-0.99%
Max Drawdown (5Y) Largest decline over 5 years	-14.70%	—	—
Current Drawdown Current decline from peak	0.00%	-8.35%	+8.35%
Average Drawdown Average peak-to-trough decline	-3.59%	-5.67%	+2.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.94%	4.16%	-2.22%

Volatility

MRSK vs. CTA - Volatility Comparison

The current volatility for Agility Shares Managed Risk ETF (MRSK) is 2.44%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 8.01%. This indicates that MRSK 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

	MRSK	CTA	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.44%	8.01%	-5.57%
Volatility (6M) Calculated over the trailing 6-month period	8.31%	17.30%	-8.99%
Volatility (1Y) Calculated over the trailing 1-year period	10.47%	20.12%	-9.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.67%	16.59%	-4.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.85%	16.59%	-4.74%

MRSK vs. CTA - Expense Ratio Comparison

MRSK has a 0.99% expense ratio, which is higher than CTA's 0.78% expense ratio.

Dividends

MRSK vs. CTA - Dividend Comparison

MRSK's dividend yield for the trailing twelve months is around 0.35%, less than CTA's 4.88% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
CTA Simplify Managed Futures Strategy ETF	4.88%	3.19%	4.80%	7.78%	6.58%	0.00%	0.00%
MRSK Agility Shares Managed Risk ETF	0.35%	0.37%	0.44%	0.60%	1.11%	14.20%	4.29%

Frequently Asked Questions

Can I hold both MRSK and CTA in my portfolio?

MRSK and CTA have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MRSK or CTA?

CTA has higher volatility (8.01%) compared to MRSK (2.44%). In terms of maximum drawdown, MRSK dropped -14.70% vs CTA's -18.07%.

Which ETF is better, MRSK or CTA?

On 3-year performance, CTA leads with 11.59% vs 11.50% for MRSK. On fees, CTA is cheaper at 0.78% per year. On volatility, MRSK has been the lower-risk option at 2.44%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MRSK or CTA?

Over the 3-year period, CTA has performed better with a 11.59% return vs 11.50%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MRSK or CTA?

CTA is cheaper with a 0.78% expense ratio, compared with 0.99% for MRSK.

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

CTA has the higher dividend yield at 4.88%, compared with 0.35% for MRSK.

What is the main difference between MRSK and CTA?

MRSK is categorized as Hedge Fund, while CTA is Systematic Trend. They also come from different issuers: Toews Corp. and Simplify. Their fees differ too: 0.99% for MRSK and 0.78% for CTA.

Which has better risk-adjusted returns?

MRSK currently has the higher Sharpe Ratio (1.90 vs 0.76), 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.