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

Correlation

The correlation between CTA and SVOL 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.


-0.50.00.51.0-0.1

Performance

CTA vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Managed Futures Strategy ETF (CTA) and Simplify Volatility Premium ETF (SVOL). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.24%
0.12%
CTA
SVOL

Key characteristics

Sharpe Ratio

CTA:

1.79

SVOL:

0.58

Sortino Ratio

CTA:

2.78

SVOL:

0.83

Omega Ratio

CTA:

1.31

SVOL:

1.15

Calmar Ratio

CTA:

2.05

SVOL:

0.70

Martin Ratio

CTA:

5.54

SVOL:

4.25

Ulcer Index

CTA:

4.13%

SVOL:

1.79%

Daily Std Dev

CTA:

12.76%

SVOL:

13.23%

Max Drawdown

CTA:

-18.07%

SVOL:

-15.62%

Current Drawdown

CTA:

-1.47%

SVOL:

-3.88%

Returns By Period

In the year-to-date period, CTA achieves a 23.79% return, which is significantly higher than SVOL's 6.83% return.


CTA

YTD

23.79%

1M

1.87%

6M

8.23%

1Y

23.87%

5Y*

N/A

10Y*

N/A

SVOL

YTD

6.83%

1M

-2.32%

6M

0.12%

1Y

7.57%

5Y*

N/A

10Y*

N/A

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. SVOL - Expense Ratio Comparison

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

Risk-Adjusted Performance

CTA vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and Simplify Volatility Premium ETF (SVOL). 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 1.79, compared to the broader market0.002.004.001.790.58
The chart of Sortino ratio for CTA, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.0010.002.780.83
The chart of Omega ratio for CTA, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.001.311.15
The chart of Calmar ratio for CTA, currently valued at 2.05, compared to the broader market0.005.0010.0015.002.050.70
The chart of Martin ratio for CTA, currently valued at 5.54, compared to the broader market0.0020.0040.0060.0080.00100.005.544.25
CTA
SVOL

The current CTA Sharpe Ratio is 1.79, which is higher than the SVOL Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of CTA and SVOL, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.79
0.58
CTA
SVOL

Dividends

CTA vs. SVOL - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 10.69%, less than SVOL's 16.80% yield.


TTM202320222021
CTA
Simplify Managed Futures Strategy ETF
10.69%7.78%6.58%0.00%
SVOL
Simplify Volatility Premium ETF
16.80%16.36%18.32%4.65%

Drawdowns

CTA vs. SVOL - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, which is greater than SVOL's maximum drawdown of -15.62%. Use the drawdown chart below to compare losses from any high point for CTA and SVOL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.47%
-3.88%
CTA
SVOL

Volatility

CTA vs. SVOL - Volatility Comparison

The current volatility for Simplify Managed Futures Strategy ETF (CTA) is 4.04%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 5.82%. This indicates that CTA experiences smaller price fluctuations and is considered to be less risky than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.04%
5.82%
CTA
SVOL
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab