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

Key characteristics


CTAVT
YTD Return15.88%18.43%
1Y Return13.52%26.74%
Sharpe Ratio0.632.52
Sortino Ratio0.983.45
Omega Ratio1.121.46
Calmar Ratio0.783.65
Martin Ratio1.9716.54
Ulcer Index4.42%1.79%
Daily Std Dev13.74%11.78%
Max Drawdown-18.07%-50.27%
Current Drawdown-3.71%-1.17%

Correlation

-0.50.00.51.0-0.2

The correlation between CTA and VT is -0.19. 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. VT - Performance Comparison

In the year-to-date period, CTA achieves a 15.88% return, which is significantly lower than VT's 18.43% return. 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
-0.76%
7.86%
CTA
VT

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CTA vs. VT - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is higher than VT's 0.07% 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 VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

CTA vs. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and Vanguard Total World Stock ETF (VT). 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 0.63, compared to the broader market-2.000.002.004.006.000.63
Sortino ratio
The chart of Sortino ratio for CTA, currently valued at 0.98, compared to the broader market-2.000.002.004.006.008.0010.0012.000.98
Omega ratio
The chart of Omega ratio for CTA, currently valued at 1.12, compared to the broader market1.001.502.002.503.001.12
Calmar ratio
The chart of Calmar ratio for CTA, currently valued at 0.78, compared to the broader market0.005.0010.0015.000.78
Martin ratio
The chart of Martin ratio for CTA, currently valued at 1.97, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.97
VT
Sharpe ratio
The chart of Sharpe ratio for VT, currently valued at 2.52, compared to the broader market-2.000.002.004.006.002.52
Sortino ratio
The chart of Sortino ratio for VT, currently valued at 3.45, compared to the broader market-2.000.002.004.006.008.0010.0012.003.45
Omega ratio
The chart of Omega ratio for VT, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for VT, currently valued at 3.65, compared to the broader market0.005.0010.0015.003.65
Martin ratio
The chart of Martin ratio for VT, currently valued at 16.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.54

CTA vs. VT - Sharpe Ratio Comparison

The current CTA Sharpe Ratio is 0.63, which is lower than the VT Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of CTA and VT, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
0.63
2.52
CTA
VT

Dividends

CTA vs. VT - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 8.36%, more than VT's 1.84% yield.


TTM20232022202120202019201820172016201520142013
CTA
Simplify Managed Futures Strategy ETF
8.36%7.78%6.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VT
Vanguard Total World Stock ETF
1.84%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

Drawdowns

CTA vs. VT - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, smaller than the maximum VT drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for CTA and VT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.71%
-1.17%
CTA
VT

Volatility

CTA vs. VT - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 4.10% compared to Vanguard Total World Stock ETF (VT) at 3.14%. This indicates that CTA's price experiences larger fluctuations and is considered to be riskier than VT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.10%
3.14%
CTA
VT