PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CTA vs. QQQI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CTAQQQI
Daily Std Dev13.71%14.68%
Max Drawdown-18.07%-10.67%
Current Drawdown-4.90%0.00%

Correlation

-0.50.00.51.00.0

The correlation between CTA and QQQI is 0.01, 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. QQQI - Performance Comparison

The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.16%
13.38%
CTA
QQQI

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CTA vs. QQQI - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is higher than QQQI's 0.68% expense ratio.


CTA
Simplify Managed Futures Strategy ETF
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%
Expense ratio chart for QQQI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%

Risk-Adjusted Performance

CTA vs. QQQI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and NEOS Nasdaq 100 High Income ETF (QQQI). 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 0.58, compared to the broader market-2.000.002.004.000.58
Sortino ratio
The chart of Sortino ratio for CTA, currently valued at 0.90, compared to the broader market-2.000.002.004.006.008.0010.0012.000.90
Omega ratio
The chart of Omega ratio for CTA, currently valued at 1.11, compared to the broader market1.001.502.002.503.001.11
Calmar ratio
The chart of Calmar ratio for CTA, currently valued at 0.71, compared to the broader market0.005.0010.0015.000.71
Martin ratio
The chart of Martin ratio for CTA, currently valued at 1.67, compared to the broader market0.0020.0040.0060.0080.00100.001.67
QQQI
Sharpe ratio
No data

CTA vs. QQQI - Sharpe Ratio Comparison


Chart placeholderNot enough data

Dividends

CTA vs. QQQI - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 8.47%, less than QQQI's 10.37% yield.


TTM20232022
CTA
Simplify Managed Futures Strategy ETF
8.47%7.78%6.58%
QQQI
NEOS Nasdaq 100 High Income ETF
10.37%0.00%0.00%

Drawdowns

CTA vs. QQQI - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, which is greater than QQQI's maximum drawdown of -10.67%. Use the drawdown chart below to compare losses from any high point for CTA and QQQI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.90%
0
CTA
QQQI

Volatility

CTA vs. QQQI - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 3.94% compared to NEOS Nasdaq 100 High Income ETF (QQQI) at 3.64%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than QQQI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.94%
3.64%
CTA
QQQI