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

Performance

CTA vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Managed Futures Strategy ETF (CTA) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.06%
11.79%
CTA
SPY

Returns By Period

In the year-to-date period, CTA achieves a 17.53% return, which is significantly lower than SPY's 25.36% return.


CTA

YTD

17.53%

1M

1.04%

6M

-2.06%

1Y

13.55%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPY

YTD

25.36%

1M

0.98%

6M

11.79%

1Y

31.70%

5Y (annualized)

15.55%

10Y (annualized)

13.07%

Key characteristics


CTASPY
Sharpe Ratio1.042.69
Sortino Ratio1.613.59
Omega Ratio1.191.50
Calmar Ratio1.223.89
Martin Ratio3.0817.53
Ulcer Index4.43%1.87%
Daily Std Dev13.08%12.15%
Max Drawdown-18.07%-55.19%
Current Drawdown-2.34%-1.41%

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CTA vs. SPY - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.0-0.1

The correlation between CTA and SPY is -0.15. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

CTA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for CTA, currently valued at 1.04, compared to the broader market0.002.004.006.001.042.69
The chart of Sortino ratio for CTA, currently valued at 1.61, compared to the broader market-2.000.002.004.006.008.0010.0012.001.613.59
The chart of Omega ratio for CTA, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.50
The chart of Calmar ratio for CTA, currently valued at 1.22, compared to the broader market0.005.0010.0015.001.223.89
The chart of Martin ratio for CTA, currently valued at 3.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.0817.53
CTA
SPY

The current CTA Sharpe Ratio is 1.04, which is lower than the SPY Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of CTA and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.04
2.69
CTA
SPY

Dividends

CTA vs. SPY - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 8.25%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
CTA
Simplify Managed Futures Strategy ETF
8.25%7.78%6.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CTA vs. SPY - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CTA and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.34%
-1.41%
CTA
SPY

Volatility

CTA vs. SPY - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) and SPDR S&P 500 ETF (SPY) have volatilities of 4.26% and 4.09%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.26%
4.09%
CTA
SPY