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CTA vs. DBMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CTADBMF
YTD Return15.66%7.63%
1Y Return8.49%1.03%
Sharpe Ratio0.590.10
Sortino Ratio0.930.21
Omega Ratio1.121.03
Calmar Ratio0.730.06
Martin Ratio1.760.20
Ulcer Index4.64%5.58%
Daily Std Dev13.75%11.35%
Max Drawdown-18.07%-20.39%
Current Drawdown-3.89%-11.62%

Correlation

-0.50.00.51.00.4

The correlation between CTA and DBMF is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CTA vs. DBMF - Performance Comparison

In the year-to-date period, CTA achieves a 15.66% return, which is significantly higher than DBMF's 7.63% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-0.94%
-6.09%
CTA
DBMF

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CTA vs. DBMF - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is lower than DBMF's 0.85% expense ratio.


DBMF
iM DBi Managed Futures Strategy ETF
Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for CTA: current value at 0.78% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.78%

Risk-Adjusted Performance

CTA vs. DBMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and iM DBi Managed Futures Strategy ETF (DBMF). 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.


CTA
Sharpe ratio
The chart of Sharpe ratio for CTA, currently valued at 0.59, compared to the broader market-2.000.002.004.006.000.59
Sortino ratio
The chart of Sortino ratio for CTA, currently valued at 0.93, compared to the broader market-2.000.002.004.006.008.0010.0012.000.93
Omega ratio
The chart of Omega ratio for CTA, currently valued at 1.12, compared to the broader market1.001.502.002.503.001.12
Calmar ratio
The chart of Calmar ratio for CTA, currently valued at 0.73, compared to the broader market0.005.0010.0015.000.73
Martin ratio
The chart of Martin ratio for CTA, currently valued at 1.76, compared to the broader market0.0020.0040.0060.0080.00100.001.76
DBMF
Sharpe ratio
The chart of Sharpe ratio for DBMF, currently valued at 0.10, compared to the broader market-2.000.002.004.006.000.10
Sortino ratio
The chart of Sortino ratio for DBMF, currently valued at 0.21, compared to the broader market-2.000.002.004.006.008.0010.0012.000.21
Omega ratio
The chart of Omega ratio for DBMF, currently valued at 1.03, compared to the broader market1.001.502.002.503.001.03
Calmar ratio
The chart of Calmar ratio for DBMF, currently valued at 0.06, compared to the broader market0.005.0010.0015.000.06
Martin ratio
The chart of Martin ratio for DBMF, currently valued at 0.20, compared to the broader market0.0020.0040.0060.0080.00100.000.20

CTA vs. DBMF - Sharpe Ratio Comparison

The current CTA Sharpe Ratio is 0.59, which is higher than the DBMF Sharpe Ratio of 0.10. The chart below compares the historical Sharpe Ratios of CTA and DBMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.59
0.10
CTA
DBMF

Dividends

CTA vs. DBMF - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 8.38%, more than DBMF's 5.21% yield.


TTM20232022202120202019
CTA
Simplify Managed Futures Strategy ETF
8.38%7.78%6.58%0.00%0.00%0.00%
DBMF
iM DBi Managed Futures Strategy ETF
5.21%2.91%7.72%10.38%0.86%9.35%

Drawdowns

CTA vs. DBMF - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, smaller than the maximum DBMF drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for CTA and DBMF. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.89%
-11.62%
CTA
DBMF

Volatility

CTA vs. DBMF - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 4.10% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.36%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.10%
2.36%
CTA
DBMF