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

Correlation

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.


-0.50.00.51.0-0.2

Performance

CTA vs. VT - Performance Comparison

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

20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
33.31%
34.21%
CTA
VT

Key characteristics

Sharpe Ratio

CTA:

1.88

VT:

1.65

Sortino Ratio

CTA:

2.91

VT:

2.25

Omega Ratio

CTA:

1.33

VT:

1.30

Calmar Ratio

CTA:

2.15

VT:

2.41

Martin Ratio

CTA:

5.80

VT:

10.48

Ulcer Index

CTA:

4.13%

VT:

1.87%

Daily Std Dev

CTA:

12.75%

VT:

11.85%

Max Drawdown

CTA:

-18.07%

VT:

-50.27%

Current Drawdown

CTA:

-0.93%

VT:

-3.31%

Returns By Period

In the year-to-date period, CTA achieves a 24.47% return, which is significantly higher than VT's 17.12% return.


CTA

YTD

24.47%

1M

4.52%

6M

9.68%

1Y

23.52%

5Y*

N/A

10Y*

N/A

VT

YTD

17.12%

1M

-0.90%

6M

6.21%

1Y

17.87%

5Y*

10.16%

10Y*

9.28%

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. 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.


Sharpe ratio
The chart of Sharpe ratio for CTA, currently valued at 1.88, compared to the broader market0.002.004.001.881.65
The chart of Sortino ratio for CTA, currently valued at 2.91, compared to the broader market-2.000.002.004.006.008.0010.002.912.25
The chart of Omega ratio for CTA, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.30
The chart of Calmar ratio for CTA, currently valued at 2.15, compared to the broader market0.005.0010.0015.002.152.41
The chart of Martin ratio for CTA, currently valued at 5.80, compared to the broader market0.0020.0040.0060.0080.00100.005.8010.48
CTA
VT

The current CTA Sharpe Ratio is 1.88, which is comparable to the VT Sharpe Ratio of 1.65. 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.88
1.65
CTA
VT

Dividends

CTA vs. VT - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 7.79%, more than VT's 1.94% yield.


TTM20232022202120202019201820172016201520142013
CTA
Simplify Managed Futures Strategy ETF
7.79%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
1.94%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%JulyAugustSeptemberOctoberNovemberDecember
-0.93%
-3.31%
CTA
VT

Volatility

CTA vs. VT - Volatility Comparison

Simplify Managed Futures Strategy ETF (CTA) has a higher volatility of 4.09% compared to Vanguard Total World Stock ETF (VT) at 3.66%. 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%JulyAugustSeptemberOctoberNovemberDecember
4.09%
3.66%
CTA
VT
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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.

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