Data as of Nov 4, 2026.
CTA vs RSST: Correlation to the S&P 500
Over the year to Nov 4, 2026, CTA moved less with the S&P 500 than RSST: correlation −0.14 against +0.85.
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Net assets: $1.3bn on Nov 3, 2026 for Simplify Managed Futures Strategy ETF, and $480m on Jul 31, 2026 for Return Stacked U.S. Stocks & Managed Futures ETF.
CTA in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, CTA −0.06%.
RSST in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, RSST −1.76%.
Pair scorecard
CTA costs 0.13 points a year less; their one-year returns differ by 18.7 points.
| Measure | CTA | RSST |
|---|---|---|
| Return | ||
| Total return, 1 year | +4.6% | +23.3% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.86% | 0.99% |
| Net assets, CTA as of Nov 3, 2026 and RSST as of Jul 31, 2026 | $1.3bn | $480m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | −0.30: about 0.30% for each 1% | +1.45: about 1.45% for each 1% |
| Its average week when the S&P 500 fell | fell 0.06% | fell 1.76% |
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
Sep 15, 2023 to Oct 30, 2026 · 163 weekly returnsFrom Sep 2023 to Oct 2026, RSST returned more: +72.6% to +35.6%. CTA swung less: 17.4% to 21.3%. CTA fell less at its worst: −19.0% to −26.8%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | CTA | RSST | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +35.6% | +72.6% | RSST | Price change plus distributions, reinvested. |
| Annualized | +10.2% | +19.0% | RSST | Total return as a yearly rate. |
| Price return | +11.2% | +69.0% | RSST | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 17.4% | 21.3% | CTA | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 11.9% | 15.4% | CTA | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −19.0% | −26.8% | CTA | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.39 | 0.72 | RSST | Return above Treasury bills per unit of volatility. |
| Sortino | 0.57 | 0.99 | RSST | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.54 | 0.71 | RSST | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 163 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | vs its benchmark | |||
|---|---|---|---|---|
| Window | CTA | RSST | CTA | RSST |
| 3 months | +6.2% | +0.9% | not measured | +1.0 pts vs VOO |
| 6 months | −10.8% | +3.0% | not measured | −2.0 pts vs VOO |
| 1 year | +4.6% | +23.3% | not measured | +8.5 pts vs VOO |
| 3 years | +22.3% | +80.1% | not measured | −3.2 pts vs VOO |
| Since launchNot the same days: CTA Mar 2022 · RSST Sep 2023 | +37.8% | +71.0% | not measured | −8.2 pts vs VOO |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
CTA and RSST 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 RSST’s +0.85. In the 26 weeks the index fell, by 1.07% a week on average, CTA averaged −0.06% and RSST −1.76%. Over the same weeks, CTA finished level with cash and RSST finished 18.9 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.
RSST
RSST is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.85 with the S&P 500’s and a beta of +1.45, so for each 1% the index moved it moved about 1.45% the same way. In the same weeks RSST fell 1.76% on average, a down-week capture of 164.8%. Over the same 52 weeks RSST returned +22.5% and a Treasury bill fund +3.7%, so it finished 18.9 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, CTA or RSST?
- Over the 52 weeks to Nov 4, 2026, CTA’s weekly returns had a correlation of −0.14 with the S&P 500 and RSST’s +0.85, so CTA moved less with the index.
- Which did better when the S&P 500 fell, CTA or RSST?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, CTA averaged −0.06% and RSST −1.76%, 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 RSST, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/cta-vs-rsst
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