CTA vs. FXF
CTA (Simplify Managed Futures Strategy ETF) and FXF (Invesco CurrencyShares® Swiss Franc Trust) are both exchange-traded funds - CTA is a Systematic Trend fund actively managed by Simplify, while FXF is a Currency fund tracking the Swiss Franc. CTA is actively managed, while FXF is passively managed. Over the past 3 years, CTA returned 9.57%/yr vs 1.52%/yr for FXF. Their -0.22 correlation means they have often moved in opposite directions in the past. CTA charges 0.78%/yr vs 0.40%/yr for FXF.
Performance
CTA vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, CTA achieves a 6.14% return, which is significantly higher than FXF's -3.50% return.
CTA
- 1D
- -1.88%
- 1M
- 7.04%
- 6M
- 2.60%
- YTD
- 6.14%
- 1Y
- 4.94%
- 3Y*
- 9.57%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.28%
FXF
- 1D
- -0.17%
- 1M
- -1.09%
- 6M
- -4.81%
- YTD
- -3.50%
- 1Y
- -3.38%
- 3Y*
- 1.52%
- 5Y*
- 1.83%
- 10Y*
- 1.08%
- ALL TIME*
- 1.60%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $10.73M | $13.32M | $14.98M | |
| $2.99M | $3.23M | $5.41M |
CTA vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 6.14% | 0.88% | 24.15% | -2.23% | 9.01% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -3.50% | 14.04% | -7.46% | 9.63% | -0.64% |
Correlation
The correlation between CTA and FXF is -0.11, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.11 |
Correlation (3Y) Balances recent behavior with more history. | -0.17 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | -0.22 |
The correlation between CTA and FXF shifts across timeframes, from -0.22 (all time) to -0.11 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CTA vs. FXF — Risk / Return Rank
CTA
FXF
CTA vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and Invesco CurrencyShares® Swiss Franc Trust (FXF). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CTA | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.67 | ||
| Sortino ratioReturn per unit of downside risk | +1.05 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 0.93 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 0.20 | -0.48 | +0.69 |
| Martin ratioReturn relative to average drawdown | 0.57 | -1.15 | +1.72 |
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Drawdowns
CTA vs. FXF - Drawdown Comparison
The maximum CTA drawdown since its inception was -20.44%, smaller than the maximum FXF drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for CTA and FXF.
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Drawdown Indicators
| CTA | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.44% | -35.58% | +15.14% |
Max Drawdown (1Y)Largest decline over 1 year | -20.44% | -7.15% | -13.29% |
Max Drawdown (3Y)Largest decline over 3 years | -20.44% | -8.52% | -11.92% |
Max Drawdown (5Y)Largest decline over 5 years | — | -11.99% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -15.04% | — |
Current DrawdownCurrent decline from peak | -12.91% | -21.23% | +8.32% |
Average DrawdownAverage peak-to-trough decline | -6.01% | -20.83% | +14.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.33% | 2.98% | +4.35% |
Volatility
CTA vs. FXF - Volatility Comparison
Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 5.80% compared to Invesco CurrencyShares® Swiss Franc Trust (FXF) at 1.75%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CTA | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.80% | 1.75% | +4.05% |
Volatility (6M)Calculated over the trailing 6-month period | 18.29% | 5.46% | +12.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.97% | 7.39% | +13.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.71% | 8.31% | +8.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.71% | 7.57% | +9.14% |
CTA vs. FXF - Expense Ratio Comparison
CTA has a 0.78% expense ratio, which is higher than FXF's 0.40% expense ratio.
Dividends
CTA vs. FXF - Dividend Comparison
CTA's dividend yield for the trailing twelve months is around 4.73%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 4.73% | 3.19% | 4.80% | 7.78% | 6.58% |
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% |
Frequently Asked Questions
CTA and FXF have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CTA has higher volatility (5.80%) compared to FXF (1.75%). In terms of maximum drawdown, CTA dropped -20.44% vs FXF's -35.58%.
On 3-year performance, CTA leads with 9.57% vs 1.52% for FXF. On fees, FXF is cheaper at 0.40% per year. On volatility, FXF has been the lower-risk option at 1.75%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, CTA has performed better with a 9.57% return vs 1.52%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXF is cheaper with a 0.40% expense ratio, compared with 0.78% for CTA.
CTA has the higher dividend yield at 4.73%, compared with 0.00% for FXF.
CTA is categorized as Systematic Trend, while FXF is Currency. They also come from different issuers: Simplify and Invesco. Their fees differ too: 0.78% for CTA and 0.40% for FXF.
CTA currently has the higher Sharpe Ratio (0.20 vs -0.47), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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