MRSK vs. CTA
Compare and contrast key facts about Agility Shares Managed Risk ETF (MRSK) and Simplify Managed Futures Strategy ETF (CTA).
MRSK and CTA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MRSK is an actively managed fund by Toews Corp.. It was launched on Jun 25, 2020. CTA is an actively managed fund by Simplify. It was launched on Mar 7, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MRSK or CTA.
Key characteristics
| MRSK | CTA | |
|---|---|---|
| YTD Return | 16.20% | 14.45% |
| 1Y Return | 24.42% | 6.78% |
| Sharpe Ratio | 2.03 | 0.58 |
| Sortino Ratio | 2.65 | 0.90 |
| Omega Ratio | 1.42 | 1.11 |
| Calmar Ratio | 2.50 | 0.71 |
| Martin Ratio | 10.93 | 1.67 |
| Ulcer Index | 2.16% | 4.74% |
| Daily Std Dev | 11.58% | 13.71% |
| Max Drawdown | -14.70% | -18.07% |
| Current Drawdown | 0.00% | -4.90% |
Correlation
The correlation between MRSK and CTA is -0.18. 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
MRSK vs. CTA - Performance Comparison
In the year-to-date period, MRSK achieves a 16.20% return, which is significantly higher than CTA's 14.45% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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MRSK vs. CTA - Expense Ratio Comparison
MRSK has a 0.99% expense ratio, which is higher than CTA's 0.78% expense ratio.
Risk-Adjusted Performance
MRSK vs. CTA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) and Simplify Managed Futures Strategy ETF (CTA). 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
MRSK vs. CTA - Dividend Comparison
MRSK's dividend yield for the trailing twelve months is around 0.52%, less than CTA's 8.47% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
MRSK Agility Shares Managed Risk ETF | 0.52% | 0.60% | 1.11% | 14.20% | 0.27% |
CTA Simplify Managed Futures Strategy ETF | 8.47% | 7.78% | 6.58% | 0.00% | 0.00% |
Drawdowns
MRSK vs. CTA - Drawdown Comparison
The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum CTA drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for MRSK and CTA. For additional features, visit the drawdowns tool.
Volatility
MRSK vs. CTA - Volatility Comparison
The current volatility for Agility Shares Managed Risk ETF (MRSK) is 3.35%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 3.94%. This indicates that MRSK experiences smaller price fluctuations and is considered to be less risky than CTA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.