CTA - CTA: Differentiated Managed Futures ETF

2024-02-20 10:27:37 ET

Summary

• The Simplify Managed Futures Strategy ETF is an absolute return fund that seeks long-term capital appreciation through systematic investing in futures.
• The CTA ETF employs novel strategies such as a fundamental reversion factor for commodities and carry factors for interest rates.
• CTA has performed the best among MF peers since its inception, although there is a large drawdown in March 2023 that is hard to explain.
• Overall, I believe CTA can be useful as a portfolio diversifier.

In my most recent article on managed futures ("MF") funds, I compared the KFA Mount Lucas Index Strategy ETF ( KMLM ) with the iMGP DBi Managed Futures Strategy ETF ( DBMF ), and the WisdomTree Managed Futures Strategy Fund ETF ( WTMF ) and suggested KMLM was my favorite of the three. However, users highlighted another managed futures fund that I should review, the Simplify Managed Futures Strategy ETF ( CTA ).

Upon close review, the CTA ETF does have many qualities that I like. First, the CTA ETF claims to add a fundamental reversion factor when trading commodities to reduce inflection risk. In rates, it also looks at intermarket relationships and carry, in addition to just price trends....

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