QMHIX vs. CTA

Last updated Jul 11, 2026

QMHIX (AQR Managed Futures Strategy HV Fund) and CTA (Simplify Managed Futures Strategy ETF) are both Systematic Trend funds. Over the past 3 years, QMHIX returned 13.07%/yr vs 6.30%/yr for CTA. At a 0.42 correlation, their price movements are largely independent. QMHIX charges 1.65%/yr vs 0.78%/yr for CTA.

Performance

QMHIX vs. CTA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy HV Fund (QMHIX) 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, QMHIX achieves a 12.08% return, which is significantly higher than CTA's -2.31% return.

QMHIX

• 1D: 0.73%
• 1M: -2.82%
• 6M: 8.88%
• YTD: 12.08%
• 1Y: 30.57%
• 3Y*: 13.07%
• 5Y*: 17.27%
• 10Y*: 4.53%

CTA

• 1D: -0.27%
• 1M: -7.93%
• 6M: -4.35%
• YTD: -2.31%
• 1Y: -2.73%
• 3Y*: 6.30%
• 5Y*: —
• 10Y*: —

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

QMHIX vs. CTA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
QMHIX AQR Managed Futures Strategy HV Fund	12.08%	19.97%	10.78%	-0.17%	21.11%
CTA Simplify Managed Futures Strategy ETF	-2.31%	0.88%	24.15%	-2.23%	9.01%

Correlation

The correlation between QMHIX and CTA is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.41
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022	0.42

The correlation between QMHIX and CTA has been stable across timeframes, ranging from 0.41 to 0.51 - a consistent structural relationship.

Return for Risk

QMHIX vs. CTA — Risk / Return Rank

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

QMHIX

QMHIX Risk / Return Rank: 82
QMHIX Sharpe Ratio Rank: 84
QMHIX Sortino Ratio Rank: 76
QMHIX Omega Ratio Rank: 75
QMHIX Calmar Ratio Rank: 87
QMHIX Martin Ratio Rank: 89

CTA

CTA Risk / Return Rank: 9
CTA Sharpe Ratio Rank: 9
CTA Sortino Ratio Rank: 8
CTA Omega Ratio Rank: 8
CTA Calmar Ratio Rank: 9
CTA Martin Ratio Rank: 8

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.

QMHIX vs. CTA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) 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.

	QMHIX	CTA	Difference
Sharpe ratio: Return per unit of total volatility	2.18	-0.07	+2.25
Sortino ratio: Return per unit of downside risk	2.83	0.05	+2.78
Omega ratio: Gain probability vs. loss probability	1.37	1.01	+0.36
Calmar ratio: Return relative to maximum drawdown	3.38	-0.07	+3.44
Martin ratio: Return relative to average drawdown	13.14	-0.20	+13.34

QMHIX vs. CTA - Sharpe Ratio Comparison

The current QMHIX Sharpe Ratio is 2.18, which is higher than the CTA Sharpe Ratio of -0.07. The chart below compares the historical Sharpe Ratios of QMHIX 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

QMHIX vs. CTA - Drawdown Comparison

The maximum QMHIX drawdown since its inception was -39.37%, which is greater than CTA's maximum drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for QMHIX and CTA.

Drawdown Indicators

	QMHIX	CTA	Difference
Max Drawdown Largest peak-to-trough decline	-39.37%	-20.44%	-18.93%
Max Drawdown (1Y) Largest decline over 1 year	-8.78%	-20.44%	+11.66%
Max Drawdown (3Y) Largest decline over 3 years	-19.06%	-20.44%	+1.38%
Max Drawdown (5Y) Largest decline over 5 years	-19.06%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-33.06%	—	—
Current Drawdown Current decline from peak	-5.88%	-19.85%	+13.97%
Average Drawdown Average peak-to-trough decline	-17.71%	-5.92%	-11.79%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.25%	6.67%	-4.42%

Volatility

QMHIX vs. CTA - Volatility Comparison

AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 5.03% compared to Simplify Managed Futures Strategy ETF (CTA) at 4.27%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than CTA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHIX	CTA	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.03%	4.27%	+0.76%
Volatility (6M) Calculated over the trailing 6-month period	10.47%	17.73%	-7.26%
Volatility (1Y) Calculated over the trailing 1-year period	13.57%	20.44%	-6.87%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.32%	16.59%	+0.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.32%	16.59%	-1.27%

QMHIX vs. CTA - Expense Ratio Comparison

QMHIX has a 1.65% expense ratio, which is higher than CTA's 0.78% expense ratio.

Dividends

QMHIX vs. CTA - Dividend Comparison

QMHIX's dividend yield for the trailing twelve months is around 1.83%, less than CTA's 5.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CTA Simplify Managed Futures Strategy ETF	5.14%	3.19%	4.80%	7.78%	6.58%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
QMHIX AQR Managed Futures Strategy HV Fund	1.83%	2.05%	2.31%	7.66%	9.34%	10.96%	9.52%	4.18%	0.00%	0.00%	0.01%	7.57%

Frequently Asked Questions

Can I hold both QMHIX and CTA in my portfolio?

QMHIX and CTA have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMHIX or CTA?

QMHIX has higher volatility (5.03%) compared to CTA (4.27%). In terms of maximum drawdown, QMHIX dropped -39.37% vs CTA's -20.44%.

Which has better risk-adjusted returns?

QMHIX currently has the higher Sharpe Ratio (2.18 vs -0.07), 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.