CTA vs. SPY
Compare and contrast key facts about Simplify Managed Futures Strategy ETF (CTA) and SPDR S&P 500 ETF (SPY).
CTA and SPY 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. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CTA or SPY.
Key characteristics
| CTA | SPY | |
|---|---|---|
| YTD Return | 14.45% | 27.04% |
| 1Y Return | 6.78% | 39.75% |
| Sharpe Ratio | 0.58 | 3.15 |
| Sortino Ratio | 0.90 | 4.19 |
| Omega Ratio | 1.11 | 1.59 |
| Calmar Ratio | 0.71 | 4.60 |
| Martin Ratio | 1.67 | 20.85 |
| Ulcer Index | 4.74% | 1.85% |
| Daily Std Dev | 13.71% | 12.29% |
| Max Drawdown | -18.07% | -55.19% |
| Current Drawdown | -4.90% | 0.00% |
Correlation
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.
Performance
CTA vs. SPY - Performance Comparison
In the year-to-date period, CTA achieves a 14.45% return, which is significantly lower than SPY's 27.04% 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. SPY - Expense Ratio Comparison
CTA has a 0.78% expense ratio, which is higher than SPY's 0.09% expense ratio.
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.
Dividends
CTA vs. SPY - Dividend Comparison
CTA's dividend yield for the trailing twelve months is around 8.47%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 8.47% | 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 | 1.17% | 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.
Volatility
CTA vs. SPY - Volatility Comparison
Simplify Managed Futures Strategy ETF (CTA) and SPDR S&P 500 ETF (SPY) have volatilities of 3.94% and 3.95%, 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.