Data as of Nov 4, 2026.
CTA vs FFUT: Correlation to the S&P 500
Over the year to Nov 4, 2026, CTA moved less with the S&P 500 than FFUT: correlation −0.14 against +0.09.
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Net assets: $1.3bn on Nov 3, 2026 for Simplify Managed Futures Strategy ETF, and $394m on Sep 30, 2026 for Fidelity Managed Futures ETF.
CTA in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, CTA −0.06%.
FFUT in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, FFUT −0.15%.
Pair scorecard
FFUT costs 0.06 points a year less; their one-year returns differ by 12.6 points.
| Measure | CTA | FFUT |
|---|---|---|
| Return | ||
| Total return, 1 year | +4.6% | +17.2% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.86% | 0.80% |
| Net assets, CTA as of Nov 3, 2026 and FFUT as of Sep 30, 2026 | $1.3bn | $394m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | −0.30: about 0.30% for each 1% | +0.08: about 0.08% for each 1% |
| Its average week when the S&P 500 fell | fell 0.06% | fell 0.15% |
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
Jun 13, 2025 to Oct 30, 2026 · 72 weekly returnsFrom Jun 2025 to Oct 2026, FFUT returned more: +27.4% to +15.5%. FFUT swung less: 9.3% to 20.9%. FFUT fell less at its worst: −4.2% to −19.0%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | CTA | FFUT | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +15.5% | +27.4% | FFUT | Price change plus distributions, reinvested. |
| Annualized | +11.0% | +19.1% | FFUT | Total return as a yearly rate. |
| Price return | +7.2% | +24.7% | FFUT | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 20.9% | 9.3% | FFUT | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 14.0% | 5.4% | FFUT | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −19.0% | −4.2% | FFUT | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.41 | 1.52 | FFUT | Return above Treasury bills per unit of volatility. |
| Sortino | 0.62 | 2.61 | FFUT | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.58 | 4.54 | FFUT | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 72 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | CTA | FFUT |
| 3 months | +6.2% | +0.9% |
| 6 months | −10.8% | +3.2% |
| 1 year | +4.6% | +17.2% |
| 3 years | +22.3% | – |
| Since launchNot the same days: CTA Mar 2022 · FFUT Jun 2025 | +37.8% | +22.4% |
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Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
CTA and FFUT 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 FFUT’s +0.09. In the 26 weeks the index fell, by 1.07% a week on average, CTA averaged −0.06% and FFUT −0.15%. Over the same weeks, CTA finished level with cash and FFUT finished 13.4 points ahead of cash.
Client brief:
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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.
FFUT
FFUT is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.09 with the S&P 500’s and a beta of +0.08, so for each 1% the index moved it moved about 0.08% the same way. In the same weeks FFUT fell 0.15% on average, a down-week capture of 13.6%. Over the same 52 weeks FFUT returned +17.0% and a Treasury bill fund +3.7%, so it finished 13.4 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, CTA or FFUT?
- Over the 52 weeks to Nov 4, 2026, CTA’s weekly returns had a correlation of −0.14 with the S&P 500 and FFUT’s +0.09, so CTA moved less with the index.
- Which did better when the S&P 500 fell, CTA or FFUT?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, CTA averaged −0.06% and FFUT −0.15%, so CTA returned more in those weeks.
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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.
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ETFIQ, CTA against FFUT, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/cta-vs-ffut
ETFIQ. (Nov 4, 2026). CTA against FFUT. Retrieved from https://etfiq.com/compare/alternatives/cta-vs-ffut
[CTA against FFUT (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/cta-vs-ffut)
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