etf
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
CTA Simplify Managed Futures Strategy ETF | Systematic Trend | 10% |
DHS WisdomTree US High Dividend Fund | Large Cap Value Equities, Dividend | 20% |
MGV Vanguard Mega Cap Value ETF | Large Cap Value Equities | 40% |
SPMO Invesco S&P 500® Momentum ETF | Large Cap Growth Equities | 30% |
Performance
Performance Chart
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The earliest data available for this chart is Mar 8, 2022, corresponding to the inception date of CTA
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -1.34% | 5.80% | -2.79% | 9.39% | 14.45% | 10.68% |
| etf | 3.21% | 4.15% | -0.01% | 14.68% | N/A | N/A |
| Portfolio components: | ||||||
CTA Simplify Managed Futures Strategy ETF | -1.10% | -2.83% | 1.04% | 4.35% | N/A | N/A |
MGV Vanguard Mega Cap Value ETF | 0.74% | 2.20% | -4.31% | 8.37% | 14.62% | 10.22% |
DHS WisdomTree US High Dividend Fund | 1.26% | 1.05% | -5.00% | 14.45% | 13.36% | 8.26% |
SPMO Invesco S&P 500® Momentum ETF | 8.46% | 10.79% | 8.03% | 25.63% | 21.33% | N/A |
Monthly Returns
The table below presents the monthly returns of etf, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 4.27% | 1.36% | -2.75% | -2.56% | 3.05% | 3.21% | |||||||
| 2024 | 2.12% | 5.62% | 4.45% | -2.81% | 3.86% | 2.29% | 2.51% | 2.88% | 1.29% | 0.15% | 5.78% | -3.89% | 26.51% |
| 2023 | 0.79% | -2.52% | -1.42% | 2.33% | -4.33% | 4.95% | 2.92% | -0.76% | -1.23% | -2.70% | 6.24% | 4.79% | 8.74% |
| 2022 | 5.60% | -4.12% | 2.57% | -6.54% | 5.32% | -2.07% | -6.61% | 11.58% | 3.75% | -2.95% | 5.03% |
Expense Ratio
etf has an expense ratio of 0.22%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of etf is 74, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 0.27 | 0.35 | 1.04 | 0.25 | 0.49 |
MGV Vanguard Mega Cap Value ETF | 0.55 | 0.72 | 1.10 | 0.52 | 1.92 |
DHS WisdomTree US High Dividend Fund | 1.00 | 1.15 | 1.16 | 1.00 | 3.17 |
SPMO Invesco S&P 500® Momentum ETF | 1.08 | 1.59 | 1.23 | 1.34 | 4.84 |
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Dividends
Dividend yield
etf provided a 2.21% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.21% | 2.28% | 3.12% | 2.82% | 1.68% | 2.19% | 2.23% | 2.13% | 1.77% | 2.24% | 1.85% | 1.49% |
| Portfolio components: | ||||||||||||
CTA Simplify Managed Futures Strategy ETF | 4.76% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MGV Vanguard Mega Cap Value ETF | 2.29% | 2.31% | 2.48% | 2.45% | 2.17% | 2.47% | 2.69% | 2.65% | 2.34% | 2.53% | 2.59% | 2.26% |
DHS WisdomTree US High Dividend Fund | 3.34% | 3.66% | 4.31% | 3.42% | 3.29% | 4.14% | 3.69% | 3.76% | 3.00% | 3.25% | 3.53% | 2.91% |
SPMO Invesco S&P 500® Momentum ETF | 0.50% | 0.48% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the etf. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the etf was 13.93%, occurring on Apr 8, 2025. The portfolio has not yet recovered.
The current etf drawdown is 3.58%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -13.93% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
| -12.92% | Apr 21, 2022 | 113 | Sep 30, 2022 | 38 | Nov 23, 2022 | 151 |
| -9.96% | Dec 1, 2022 | 73 | Mar 17, 2023 | 124 | Sep 14, 2023 | 197 |
| -7.12% | Sep 15, 2023 | 31 | Oct 27, 2023 | 19 | Nov 24, 2023 | 50 |
| -5.75% | Jul 17, 2024 | 14 | Aug 5, 2024 | 9 | Aug 16, 2024 | 23 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 4 assets, with an effective number of assets of 3.33, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | CTA | DHS | SPMO | MGV | Portfolio | |
|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.13 | 0.64 | 0.85 | 0.82 | 0.86 |
| CTA | -0.13 | 1.00 | -0.15 | -0.12 | -0.14 | -0.03 |
| DHS | 0.64 | -0.15 | 1.00 | 0.57 | 0.90 | 0.84 |
| SPMO | 0.85 | -0.12 | 0.57 | 1.00 | 0.75 | 0.89 |
| MGV | 0.82 | -0.14 | 0.90 | 0.75 | 1.00 | 0.95 |
| Portfolio | 0.86 | -0.03 | 0.84 | 0.89 | 0.95 | 1.00 |