PHDG vs. CTA
PHDG (Invesco S&P 500 Downside Hedged ETF) and CTA (Simplify Managed Futures Strategy ETF) are both exchange-traded funds - PHDG is a Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index, while CTA is a Systematic Trend fund actively managed by Simplify. PHDG is passively managed, while CTA is actively managed. Over the past 3 years, PHDG returned 8.21%/yr vs 9.57%/yr for CTA. Their -0.08 correlation means they have often moved in opposite directions in the past. PHDG charges 0.39%/yr vs 0.78%/yr for CTA.
Performance
PHDG vs. CTA - Performance Comparison
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Returns By Period
In the year-to-date period, PHDG achieves a 9.47% return, which is significantly higher than CTA's 6.14% return.
PHDG
- 1D
- -0.16%
- 1M
- 0.44%
- 6M
- 8.74%
- YTD
- 9.47%
- 1Y
- 14.71%
- 3Y*
- 8.21%
- 5Y*
- 4.01%
- 10Y*
- 7.14%
- ALL TIME*
- 5.56%
CTA
- 1D
- -1.88%
- 1M
- 7.04%
- 6M
- 2.60%
- YTD
- 6.14%
- 1Y
- 4.94%
- 3Y*
- 9.57%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.28%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $10.73M | $13.32M | $14.98M | |
| $1.28M | $774.65K | $908.35K |
PHDG vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 9.47% | 2.72% | 10.95% | 8.18% | -10.88% |
CTA Simplify Managed Futures Strategy ETF | 6.14% | 0.88% | 24.15% | -2.23% | 9.01% |
Correlation
The correlation between PHDG and CTA is -0.05, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.05 |
Correlation (3Y) Balances recent behavior with more history. | -0.05 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | -0.08 |
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Return for Risk
PHDG vs. CTA — Risk / Return Rank
PHDG
CTA
PHDG vs. CTA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| PHDG | CTA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.13 | ||
| Sortino ratioReturn per unit of downside risk | +1.48 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.05 | +0.22 |
| Calmar ratioReturn relative to maximum drawdown | 2.38 | 0.20 | +2.18 |
| Martin ratioReturn relative to average drawdown | 7.41 | 0.57 | +6.84 |
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Drawdowns
PHDG vs. CTA - Drawdown Comparison
The maximum PHDG drawdown since its inception was -17.70%, smaller than the maximum CTA drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for PHDG and CTA.
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Drawdown Indicators
| PHDG | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.70% | -20.44% | +2.74% |
Max Drawdown (1Y)Largest decline over 1 year | -6.36% | -20.44% | +14.08% |
Max Drawdown (3Y)Largest decline over 3 years | -14.78% | -20.44% | +5.66% |
Max Drawdown (5Y)Largest decline over 5 years | -17.06% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -17.06% | — | — |
Current DrawdownCurrent decline from peak | -5.95% | -12.91% | +6.96% |
Average DrawdownAverage peak-to-trough decline | -6.23% | -6.01% | -0.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.04% | 7.33% | -5.29% |
Volatility
PHDG vs. CTA - Volatility Comparison
The current volatility for Invesco S&P 500 Downside Hedged ETF (PHDG) is 2.14%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 5.80%. This indicates that PHDG 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.
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Volatility by Period
| PHDG | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.14% | 5.80% | -3.66% |
Volatility (6M)Calculated over the trailing 6-month period | 9.37% | 18.29% | -8.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.41% | 20.97% | -9.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.37% | 16.71% | -5.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.10% | 16.71% | -4.61% |
PHDG vs. CTA - Expense Ratio Comparison
PHDG has a 0.39% expense ratio, which is lower than CTA's 0.78% expense ratio.
Dividends
PHDG vs. CTA - Dividend Comparison
PHDG's dividend yield for the trailing twelve months is around 1.70%, less than CTA's 4.73% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 4.73% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PHDG Invesco S&P 500 Downside Hedged ETF | 1.70% | 2.10% | 1.94% | 1.93% | 1.35% | 0.44% | 0.63% | 1.80% | 1.56% | 1.83% | 2.29% | 1.64% |
Frequently Asked Questions
PHDG and CTA have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CTA has higher volatility (5.80%) compared to PHDG (2.14%). In terms of maximum drawdown, PHDG dropped -17.70% vs CTA's -20.44%.
On 3-year performance, CTA leads with 9.57% vs 8.21% for PHDG. On fees, PHDG is cheaper at 0.39% per year. On volatility, PHDG has been the lower-risk option at 2.14%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, CTA has performed better with a 9.57% return vs 8.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PHDG is cheaper with a 0.39% expense ratio, compared with 0.78% for CTA.
CTA has the higher dividend yield at 4.73%, compared with 1.70% for PHDG.
PHDG is categorized as Equity Hedged, while CTA is Systematic Trend. They also come from different issuers: Invesco and Simplify. Their fees differ too: 0.39% for PHDG and 0.78% for CTA.
PHDG currently has the higher Sharpe Ratio (1.33 vs 0.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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