Data as of Nov 4, 2026.
CTA vs IMF: Correlation to the S&P 500
Over the year to Nov 4, 2026, CTA moved less with the S&P 500 than IMF: correlation −0.14 against +0.38.
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Net assets on Nov 3, 2026: $1.3bn for Simplify Managed Futures Strategy ETF and $304m for Invesco Managed Futures Strategy ETF.
CTA in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, CTA −0.06%.
IMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, IMF −0.14%.
Pair scorecard
IMF costs 0.21 points a year less; their one-year returns differ by 15.5 points; CTA is 4.3 times larger.
| Measure | CTA | IMF |
|---|---|---|
| Return | ||
| Total return, 1 year | +4.6% | +20.1% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.86% | 0.65% |
| Net assets, as of Nov 3, 2026 | $1.3bn | $304m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | −0.30: about 0.30% for each 1% | +0.24: about 0.24% for each 1% |
| Its average week when the S&P 500 fell | fell 0.06% | fell 0.14% |
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 28, 2025 to Oct 30, 2026 · 83 weekly returnsFrom Mar 2025 to Oct 2026, CTA returned more: +9.6% to +8.0%. IMF swung less: 9.2% to 20.4%. IMF fell less at its worst: −13.3% to −19.0%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | CTA | IMF | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +9.6% | +8.0% | CTA | Price change plus distributions, reinvested. |
| Annualized | +5.9% | +4.9% | CTA | Total return as a yearly rate. |
| Price return | +1.7% | +6.9% | IMF | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 20.4% | 9.2% | IMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 14.1% | 7.6% | IMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −19.0% | −13.3% | IMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.19 | 0.14 | CTA | Return above Treasury bills per unit of volatility. |
| Sortino | 0.27 | 0.17 | CTA | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.31 | 0.37 | IMF | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 83 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | CTA | IMF |
| 3 months | +6.2% | +0.4% |
| 6 months | −10.8% | 0.0% |
| 1 year | +4.6% | +20.1% |
| 3 years | +22.3% | – |
| Since launchNot the same days: CTA Mar 2022 · IMF Mar 2025 | +37.8% | +4.3% |
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Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
CTA and IMF 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 IMF’s +0.38. In the 26 weeks the index fell, by 1.07% a week on average, CTA averaged −0.06% and IMF −0.14%. Over the same weeks, CTA finished level with cash and IMF finished 15.6 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.
IMF
IMF is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.38 with the S&P 500’s and a beta of +0.24, so for each 1% the index moved it moved about 0.24% the same way. In the same weeks IMF fell 0.14% on average, a down-week capture of 13.0%. Over the same 52 weeks IMF returned +19.2% and a Treasury bill fund +3.7%, so it finished 15.6 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, CTA or IMF?
- Over the 52 weeks to Nov 4, 2026, CTA’s weekly returns had a correlation of −0.14 with the S&P 500 and IMF’s +0.38, so CTA moved less with the index.
- Which did better when the S&P 500 fell, CTA or IMF?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, CTA averaged −0.06% and IMF −0.14%, 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 IMF, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/cta-vs-imf
ETFIQ. (Nov 4, 2026). CTA against IMF. Retrieved from https://etfiq.com/compare/alternatives/cta-vs-imf
[CTA against IMF (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/cta-vs-imf)
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