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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Simplify Managed Futures Strategy ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Simplify Managed Futures Strategy ETF (CTA) has returned 12.39% so far this year and 6.40% over the past 12 months.
Simplify Managed Futures Strategy ETF
- 1D
- -1.31%
- 1M
- 0.45%
- YTD
- 12.39%
- 6M
- 10.76%
- 1Y
- 6.40%
- 3Y*
- 15.19%
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Mar 8, 2022, CTA's average daily return is +0.05%, while the average monthly return is +0.94%. At this rate, your investment would double in approximately 6.2 years.
Historically, 63% of months were positive and 37% were negative. The best month was Apr 2024 with a return of +9.8%, while the worst month was Mar 2023 at -14.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.
On a daily basis, CTA closed higher 53% of trading days. The best single day was Jul 5, 2022 with a return of +4.1%, while the worst single day was Mar 13, 2023 at -11.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.26% | 8.35% | 0.45% | 12.39% | |||||||||
| 2025 | 2.19% | 0.81% | 3.45% | -5.20% | -3.39% | -0.44% | 2.73% | 1.97% | 0.57% | -2.28% | 0.67% | 0.18% | 0.88% |
| 2024 | 0.72% | 5.97% | -0.35% | 9.78% | -0.33% | -0.84% | -4.16% | 0.97% | 0.97% | 2.88% | 3.93% | 2.97% | 24.15% |
| 2023 | -4.09% | 9.28% | -14.09% | 6.75% | 1.96% | 0.44% | 0.63% | -1.13% | 8.99% | -4.10% | -2.76% | -1.77% | -2.23% |
| 2022 | -4.78% | 8.96% | 1.13% | 3.47% | 3.68% | 4.23% | -0.08% | 1.77% | -6.88% | -1.40% | 9.55% |
Benchmark Metrics
Simplify Managed Futures Strategy ETF has an annualized alpha of 13.49%, beta of -0.10, and R² of 0.01 versus S&P 500 Index. Calculated based on daily prices since March 09, 2022.
- This ETF tended to rise when S&P 500 Index fell (downside capture of -102.46%), but participation in market rallies was also limited (-5.58%) — a profile typical of counter-cyclical assets.
- Beta of -0.10 may look defensive, but with R² of 0.01 this ETF is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R² of 0.01 means this ETF moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 13.49%
- Beta
- -0.10
- R²
- 0.01
- Upside Capture
- -5.58%
- Downside Capture
- -102.46%
Expense Ratio
CTA has an expense ratio of 0.78%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CTA ranks 22 for risk / return — below 22% of ETFs on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and compare them to a chosen benchmark (S&P 500 Index).
| CTA | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.40 | 0.90 | -0.50 |
Sortino ratioReturn per unit of downside risk | 0.63 | 1.39 | -0.76 |
Omega ratioGain probability vs. loss probability | 1.08 | 1.21 | -0.13 |
Calmar ratioReturn relative to maximum drawdown | 0.66 | 1.40 | -0.74 |
Martin ratioReturn relative to average drawdown | 1.14 | 6.61 | -5.47 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore CTA risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Simplify Managed Futures Strategy ETF provided a 3.81% dividend yield over the last twelve months, with an annual payout of $1.15 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
| Dividend | $1.15 | $0.87 | $1.34 | $1.84 | $1.71 |
Dividend yield | 3.81% | 3.19% | 4.80% | 7.78% | 6.58% |
Monthly Dividends
The table displays the monthly dividend distributions for Simplify Managed Futures Strategy ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.10 | $0.15 | $0.15 | $0.40 | |||||||||
| 2025 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.25 | $0.00 | $0.10 | $0.10 | $0.10 | $0.10 | $0.10 | $0.87 |
| 2024 | $0.00 | $0.00 | $0.15 | $0.00 | $0.00 | $0.15 | $0.00 | $0.00 | $0.30 | $0.00 | $0.00 | $0.74 | $1.34 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $1.64 | $1.84 |
| 2022 | $0.15 | $0.15 | $0.15 | $0.15 | $1.11 | $1.71 |
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 Simplify Managed Futures Strategy 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 Simplify Managed Futures Strategy ETF was 18.07%, occurring on Apr 3, 2023. Recovery took 256 trading sessions.
The current Simplify Managed Futures Strategy ETF drawdown is 1.47%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -18.07% | Oct 17, 2022 | 116 | Apr 3, 2023 | 256 | Apr 10, 2024 | 372 |
| -11.23% | Feb 20, 2025 | 114 | Aug 4, 2025 | 136 | Feb 18, 2026 | 250 |
| -8.34% | May 21, 2024 | 51 | Aug 2, 2024 | 78 | Nov 21, 2024 | 129 |
| -6.39% | Mar 19, 2026 | 3 | Mar 23, 2026 | — | — | — |
| -5.28% | Mar 9, 2022 | 8 | Mar 18, 2022 | 20 | Apr 18, 2022 | 28 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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