Is CTA Broken? Three Wars, Nine Funds, and Exactly What To Do About It 😉

Is CTA Broken? Three Wars, Nine Funds, and Exactly What To Do About It 😉 Eight months ago, I sat down on a rare day with no meetings and wrote twelve facts about a single ETF. Simplify Managed Futures: 12 Facts Investors Need To Know The fund was Simplify Managed Futures. Ticker CTA. It was — and still is — the single biggest holding in the ZEUS family fund, which is to say it is the biggest holding in the thing that supports my family. And a lot of you own it. Probably because I do. That's not a throwaway line. That's the whole reason this report exists. I ended that December piece by telling you the strategy wasn't broken; it was cyclical. Great 2022, flat 2023, great 2024, bad 2025. Don't just do something; sit there. 😉 And then March happened, and I looked like a genius. The market fell 10%, and ZEUS went UP 8% , because CTA was 44% of the fund and absolutely raging as oil climbed. On April 29th, Brent touched $126 intraday. That is the single best month this system has ever had, and it happened for exactly the reason I told you it would. Then came May. And June. CTA fell 19% in two months, while the S&P 500 printed twenty-five all-time highs. 😳 So here I am again. Not because a fund had a bad quarter — funds have bad quarters, and I'd have told you to sit there. I'm here because I told you to own this, and I need to know whether what I told you is still true. Carl Sagan liked to say we are a way for the cosmos to know itself. That the calcium in our bones and the iron in our blood were forged in stars that died before the Sun was born, and that the universe built creatures capable of working that out. I love that line. But there's a discipline hiding inside the wonder, and it's the harder half: the universe does not care what we expect. It only reports what is. Sagan's real gift was never the awe. Anyone can do awe. His gift was insisting the awe had to survive contact with the evidence — that a universe you love is still a universe you have to check. So let's check. Somewhere in a server rack, a piece of software wakes up every morning and looks at the price of Brent crude oil. It does not know there is a war. It does not know that a man in Tehran issued six conditions, or that a tanker took a missile in the Strait of Hormuz on the eighth of August. It does not know what a strait IS. It knows one thing. The line has been going up. So it buys more. And the honest answer to the question in the title is: No. CTA is not broken. CTA is working perfectly — on a job you no longer need done. That distinction is the whole report. Is CTA Broken? Three Wars, Nine Funds, and Exactly What To Do About It 😉 Podcast Source: Source: Portfolio Visualizer monthly return series, April 2022 – August 2026, benchmarked to Vanguard 500 Index Investor. Simplify Managed Futures Strategy ETF inception-to-date performance page. The Answer, Before Anything Else (The TLDR) I'm not making you read fourteen sections to find out where this lands. Here it is. CTA 30% · DBMF 25% · IALT 25% · KMLM 10% · IAUM 10% At a 35% hedging bucket (ZEUS Optimal Heding Allocation) And when you get there: all at once, not in stages. ⚡ Five positions. That's the whole target. Source: Source: Portfolio Visualizer monthly correlations, April 2022 – August 2026 and January – August 2026, benchmarked to Vanguard 500 Index Investor. IALT proxied by BDMIX prior to January 2026. Averages, medians, and weighted correlations computed by GNG Research. Part 1: What Actually Happened Here is Simplify's own risk profile for CTA as of August 12th. Not my model. Not my estimate. Their document, sourced from Simplify Itself 🤯 Brent crude is 56.95% of the fund's entire volatility budget. One contract. Fifty-seven percent of the risk in a $1.57 billion fund. Add heating oil at 14.07% and gasoil at 13.66% and you get 84.68% of all risk in three energy contracts. And then l