Data as of Nov 4, 2026.
CTA vs WTMF: Correlation to the S&P 500
Over the year to Nov 4, 2026, CTA moved less with the S&P 500 than WTMF: correlation −0.14 against +0.62.
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Net assets: $1.3bn on Nov 3, 2026 for Simplify Managed Futures Strategy ETF, and $261m on Aug 31, 2026 for WisdomTree Managed Futures Strategy Fund.
CTA in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, CTA −0.06%.
WTMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, WTMF −0.37%.
Pair scorecard
WTMF costs 0.20 points a year less; their one-year returns differ by 8.1 points.
| Measure | CTA | WTMF |
|---|---|---|
| Return | ||
| Total return, 1 year | +4.6% | +12.7% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.86% | 0.66% |
| Net assets, CTA as of Nov 3, 2026 and WTMF as of Aug 31, 2026 | $1.3bn | $261m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | −0.30: about 0.30% for each 1% | +0.38: about 0.38% for each 1% |
| Its average week when the S&P 500 fell | fell 0.06% | fell 0.37% |
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 +39.7%. WTMF swung less: 6.9% to 16.8%. WTMF fell less at its worst: −8.7% to −19.0%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | CTA | WTMF | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +63.0% | +39.7% | CTA | Price change plus distributions, reinvested. |
| Annualized | +11.1% | +7.5% | CTA | Total return as a yearly rate. |
| Price return | +25.1% | +10.9% | CTA | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 16.8% | 6.9% | WTMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 12.0% | 4.8% | WTMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −19.0% | −8.7% | WTMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.46 | 0.47 | Tie | Return above Treasury bills per unit of volatility. |
| Sortino | 0.65 | 0.66 | WTMF (slight) | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.58 | 0.86 | WTMF | 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 | WTMF |
| 3 months | +6.2% | +1.6% |
| 6 months | −10.8% | +3.0% |
| 1 year | +4.6% | +12.7% |
| 3 years | +22.3% | +33.3% |
| Since launchNot the same days: CTA Mar 2022 · WTMF Jan 2011 | +37.8% | +21.0% |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
CTA and WTMF 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 WTMF’s +0.62. In the 26 weeks the index fell, by 1.07% a week on average, CTA averaged −0.06% and WTMF −0.37%. Over the same weeks, CTA finished level with cash and WTMF finished 8.1 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.
WTMF
WTMF is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.62 with the S&P 500’s and a beta of +0.38, so for each 1% the index moved it moved about 0.38% the same way. In the same weeks WTMF fell 0.37% on average, a down-week capture of 34.4%. Over the same 52 weeks WTMF returned +11.8% and a Treasury bill fund +3.7%, so it finished 8.1 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, CTA or WTMF?
- Over the 52 weeks to Nov 4, 2026, CTA’s weekly returns had a correlation of −0.14 with the S&P 500 and WTMF’s +0.62, so CTA moved less with the index.
- Which did better when the S&P 500 fell, CTA or WTMF?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, CTA averaged −0.06% and WTMF −0.37%, 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 WTMF, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/cta-vs-wtmf
ETFIQ. (Nov 4, 2026). CTA against WTMF. Retrieved from https://etfiq.com/compare/alternatives/cta-vs-wtmf
[CTA against WTMF (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/cta-vs-wtmf)
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