CTA vs. DBMF
Compare and contrast key facts about Simplify Managed Futures Strategy ETF (CTA) and iM DBi Managed Futures Strategy ETF (DBMF).
CTA and DBMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CTA is an actively managed fund by Simplify. It was launched on Mar 7, 2022. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CTA or DBMF.
Key characteristics
| CTA | DBMF | |
|---|---|---|
| YTD Return | 14.06% | 7.79% |
| 1Y Return | 6.65% | 1.29% |
| Sharpe Ratio | 0.47 | 0.13 |
| Sortino Ratio | 0.75 | 0.24 |
| Omega Ratio | 1.09 | 1.03 |
| Calmar Ratio | 0.57 | 0.08 |
| Martin Ratio | 1.36 | 0.26 |
| Ulcer Index | 4.70% | 5.54% |
| Daily Std Dev | 13.70% | 11.38% |
| Max Drawdown | -18.07% | -20.39% |
| Current Drawdown | -5.22% | -11.49% |
Correlation
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 14.06% return, which is significantly higher than DBMF's 7.79% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Dividends
CTA vs. DBMF - Dividend Comparison
CTA's dividend yield for the trailing twelve months is around 8.50%, more than DBMF's 5.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 8.50% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% |
DBMF iM DBi Managed Futures Strategy ETF | 5.20% | 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.
Volatility
CTA vs. DBMF - Volatility Comparison
Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 3.84% 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.