CTA vs. SVOL
Compare and contrast key facts about Simplify Managed Futures Strategy ETF (CTA) and Simplify Volatility Premium ETF (SVOL).
CTA and SVOL 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. SVOL is an actively managed fund by Simplify Asset Management Inc.. It was launched on May 12, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CTA or SVOL.
Performance
CTA vs. SVOL - Performance Comparison
Returns By Period
In the year-to-date period, CTA achieves a 17.53% return, which is significantly higher than SVOL's 9.06% return.
CTA
17.53%
1.04%
-2.06%
13.55%
N/A
N/A
SVOL
9.06%
1.00%
2.49%
11.32%
N/A
N/A
Key characteristics
| CTA | SVOL | |
|---|---|---|
| Sharpe Ratio | 1.04 | 0.95 |
| Sortino Ratio | 1.61 | 1.30 |
| Omega Ratio | 1.19 | 1.24 |
| Calmar Ratio | 1.22 | 1.05 |
| Martin Ratio | 3.08 | 6.82 |
| Ulcer Index | 4.43% | 1.68% |
| Daily Std Dev | 13.08% | 12.00% |
| Max Drawdown | -18.07% | -15.68% |
| Current Drawdown | -2.34% | -0.73% |
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CTA vs. SVOL - Expense Ratio Comparison
CTA has a 0.78% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Correlation
The correlation between CTA and SVOL is -0.14. 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. 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.
Dividends
CTA vs. SVOL - Dividend Comparison
CTA's dividend yield for the trailing twelve months is around 8.25%, less than SVOL's 16.39% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 8.25% | 7.78% | 6.58% | 0.00% |
SVOL Simplify Volatility Premium ETF | 16.39% | 16.37% | 18.31% | 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 -15.68%. Use the drawdown chart below to compare losses from any high point for CTA and SVOL. For additional features, visit the drawdowns tool.
Volatility
CTA vs. SVOL - Volatility Comparison
Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 4.26% compared to Simplify Volatility Premium ETF (SVOL) at 3.51%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.