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

Performance

CTA vs. WTMF - Performance Comparison

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

-6.00%-4.00%-2.00%0.00%2.00%JuneJulyAugustSeptemberOctoberNovember
2.36%
2.83%
CTA
WTMF

Returns By Period

In the year-to-date period, CTA achieves a 20.43% return, which is significantly higher than WTMF's 7.96% return.


CTA

YTD

20.43%

1M

4.60%

6M

1.44%

1Y

15.83%

5Y (annualized)

N/A

10Y (annualized)

N/A

WTMF

YTD

7.96%

1M

6.08%

6M

3.44%

1Y

10.84%

5Y (annualized)

5.55%

10Y (annualized)

1.48%

Key characteristics


CTAWTMF
Sharpe Ratio1.241.23
Sortino Ratio1.892.07
Omega Ratio1.221.24
Calmar Ratio1.460.85
Martin Ratio3.683.41
Ulcer Index4.43%3.28%
Daily Std Dev13.19%9.07%
Max Drawdown-18.07%-30.78%
Current Drawdown0.00%-3.40%

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CTA vs. WTMF - Expense Ratio Comparison

CTA has a 0.78% expense ratio, which is higher than WTMF's 0.65% 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 WTMF: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%

Correlation

-0.50.00.51.00.1

The correlation between CTA and WTMF is 0.11, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

CTA vs. WTMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Managed Futures Strategy ETF (CTA) and WisdomTree Managed Futures Strategy Fund (WTMF). 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 1.24, compared to the broader market0.002.004.001.241.23
The chart of Sortino ratio for CTA, currently valued at 1.89, compared to the broader market-2.000.002.004.006.008.0010.001.892.07
The chart of Omega ratio for CTA, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.24
The chart of Calmar ratio for CTA, currently valued at 1.46, compared to the broader market0.005.0010.0015.001.461.48
The chart of Martin ratio for CTA, currently valued at 3.68, compared to the broader market0.0020.0040.0060.0080.00100.003.683.41
CTA
WTMF

The current CTA Sharpe Ratio is 1.24, which is comparable to the WTMF Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of CTA and WTMF, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.24
1.23
CTA
WTMF

Dividends

CTA vs. WTMF - Dividend Comparison

CTA's dividend yield for the trailing twelve months is around 8.05%, more than WTMF's 3.12% yield.


TTM202320222021202020192018
CTA
Simplify Managed Futures Strategy ETF
8.05%7.78%6.58%0.00%0.00%0.00%0.00%
WTMF
WisdomTree Managed Futures Strategy Fund
3.12%4.74%5.29%14.71%0.47%1.63%3.59%

Drawdowns

CTA vs. WTMF - Drawdown Comparison

The maximum CTA drawdown since its inception was -18.07%, smaller than the maximum WTMF drawdown of -30.78%. Use the drawdown chart below to compare losses from any high point for CTA and WTMF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
CTA
WTMF

Volatility

CTA vs. WTMF - Volatility Comparison

The current volatility for Simplify Managed Futures Strategy ETF (CTA) is 4.39%, while WisdomTree Managed Futures Strategy Fund (WTMF) has a volatility of 5.56%. This indicates that CTA experiences smaller price fluctuations and is considered to be less risky than WTMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.39%
5.56%
CTA
WTMF