QRPNX vs. CTA

Last updated Jul 25, 2026

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

Performance

QRPNX vs. CTA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Alternative Risk Premia Fund Class N (QRPNX) 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, QRPNX achieves a 20.97% return, which is significantly higher than CTA's 6.14% return.

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%

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%

*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

QRPNX vs. CTA - Yearly Performance Comparison

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

Correlation

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

Return for Risk

QRPNX vs. CTA — Risk / Return Rank

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

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

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

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.

QRPNX vs. CTA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund Class N (QRPNX) 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.

	QRPNX	CTA	Difference
Sharpe ratio: Return per unit of total volatility	3.92	0.20	+3.72
Sortino ratio: Return per unit of downside risk	5.66	0.41	+5.25
Omega ratio: Gain probability vs. loss probability	1.70	1.05	+0.65
Calmar ratio: Return relative to maximum drawdown	10.26	0.20	+10.06
Martin ratio: Return relative to average drawdown	27.66	0.57	+27.09

QRPNX vs. CTA - Sharpe Ratio Comparison

The current QRPNX Sharpe Ratio is 3.92, which is higher than the CTA Sharpe Ratio of 0.20. The chart below compares the historical Sharpe Ratios of QRPNX 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

QRPNX vs. CTA - Drawdown Comparison

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

Drawdown Indicators

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

Volatility

QRPNX vs. CTA - Volatility Comparison

The current volatility for AQR Alternative Risk Premia Fund Class N (QRPNX) is 2.51%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 5.80%. This indicates that QRPNX 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

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

QRPNX vs. CTA - Expense Ratio Comparison

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

Dividends

QRPNX vs. CTA - Dividend Comparison

QRPNX's dividend yield for the trailing twelve months is around 0.94%, less than CTA's 4.73% 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 QRPNX and CTA in my portfolio?

QRPNX and CTA 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, QRPNX or CTA?

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

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.