Data as of Nov 4, 2026.
CTA vs DBMF: Correlation to the S&P 500
Over the year to Nov 4, 2026, CTA moved less with the S&P 500 than DBMF: correlation −0.14 against +0.26.
askIQ about this page
askIQ about CTA and DBMF
Net assets on Nov 3, 2026: $1.3bn for Simplify Managed Futures Strategy ETF and $5.2bn for iMGP DBi Managed Futures Strategy ETF.
CTA in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, CTA −0.06%.
DBMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, DBMF −0.35%.
Pair scorecard
DBMF costs 0.01 points a year less; their one-year returns differ by 13.9 points; DBMF is 4.0 times larger.
| Measure | CTA | DBMF |
|---|---|---|
| Return | ||
| Total return, 1 year | +4.6% | +18.5% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.86% | 0.85% |
| Net assets, as of Nov 3, 2026 | $1.3bn | $5.2bn |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | −0.30: about 0.30% for each 1% | +0.23: about 0.23% for each 1% |
| Its average week when the S&P 500 fell | fell 0.06% | fell 0.35% |
How much it diversifies a stock portfolio, ranked against 17 systematic trend alternatives ETFs with a full year. 100 is best. How it is computed
One year of weekly moves against the S&P 500, within one strategy; it ignores what the fund returned. All alternatives ETFs ranked by it →
Risk and return
Mar 18, 2022 to Oct 30, 2026 · 241 weekly returnsFrom Mar 2022 to Oct 2026, CTA returned more: +63.0% to +47.8%. DBMF swung less: 11.0% to 16.8%. CTA fell slightly less at its worst: −19.0% to −19.9%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | CTA | DBMF | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +63.0% | +47.8% | CTA | Price change plus distributions, reinvested. |
| Annualized | +11.1% | +8.8% | CTA | Total return as a yearly rate. |
| Price return | +25.1% | +17.4% | CTA | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 16.8% | 11.0% | DBMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 12.0% | 7.9% | DBMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −19.0% | −19.9% | CTA (slight) | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.46 | 0.44 | CTA (slight) | Return above Treasury bills per unit of volatility. |
| Sortino | 0.65 | 0.61 | CTA (slight) | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.58 | 0.44 | CTA | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 241 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | CTA | DBMF |
| 3 months | +6.2% | +3.0% |
| 6 months | −10.8% | +4.4% |
| 1 year | +4.6% | +18.5% |
| 3 years | +22.3% | +31.9% |
| Since launchNot the same days: CTA Mar 2022 · DBMF May 2019 | +37.8% | +92.9% |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
CTA and DBMF both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, CTA’s weekly returns had a correlation of −0.14 with the S&P 500 and DBMF’s +0.26. In the 26 weeks the index fell, by 1.07% a week on average, CTA averaged −0.06% and DBMF −0.35%. Over the same weeks, CTA finished level with cash and DBMF finished 14.3 points ahead of cash.
Client brief:
The two-page PDF for this pair is coming. Save the comparison to follow its changes. Free. It needs an email sign-in, once.
CTA
CTA is a managed futures fund. ETFIQ measures what every alternatives fund is sold on: whether it moves differently from the stock market. Over the year to Nov 4, 2026, its weekly returns had a correlation of −0.14 with the S&P 500’s and a beta of −0.30, so for each 1% the index moved it moved about 0.30% the other way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks CTA fell 0.06% on average, a down-week capture of 5.3%. Over the same 52 weeks CTA returned +3.6% and a Treasury bill fund +3.7%, so it finished level with cash.
DBMF
DBMF is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.26 with the S&P 500’s and a beta of +0.23, so for each 1% the index moved it moved about 0.23% the same way. In the same weeks DBMF fell 0.35% on average, a down-week capture of 32.9%. Over the same 52 weeks DBMF returned +17.9% and a Treasury bill fund +3.7%, so it finished 14.3 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, CTA or DBMF?
- Over the 52 weeks to Nov 4, 2026, CTA’s weekly returns had a correlation of −0.14 with the S&P 500 and DBMF’s +0.26, so CTA moved less with the index.
- Which did better when the S&P 500 fell, CTA or DBMF?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, CTA averaged −0.06% and DBMF −0.35%, so CTA returned more in those weeks.
Links are sources, not endorsements. A comparison is not a recommendation.
How this is computed
It is a place in a set, not a rating or a recommendation.
Every number is an ETFIQ calculation with distributions reinvested.
Cite this pageCitation, APA and Markdown
ETFIQ, CTA against DBMF, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/cta-vs-dbmf
ETFIQ. (Nov 4, 2026). CTA against DBMF. Retrieved from https://etfiq.com/compare/alternatives/cta-vs-dbmf
[CTA against DBMF (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/cta-vs-dbmf)
Free to use with attribution for data ETFIQ computes; issuer data stays under its owner's terms.