SBR vs. CTA
SBR (Sabine Royalty Trust) is a stock, while CTA (Simplify Managed Futures Strategy ETF) is Systematic Trend fund actively managed by Simplify. Over the past 3 years, SBR returned 12.34%/yr vs 9.57%/yr for CTA. Their 0.08 correlation means their historical movements had little consistent relationship.
Performance
SBR vs. CTA - Performance Comparison
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Returns By Period
In the year-to-date period, SBR achieves a 11.57% return, which is significantly higher than CTA's 6.14% return.
SBR
- 1D
- -0.51%
- 1M
- 2.51%
- 6M
- 11.20%
- YTD
- 11.57%
- 1Y
- 19.45%
- 3Y*
- 12.34%
- 5Y*
- 24.15%
- 10Y*
- 16.34%
- ALL TIME*
- 15.38%
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 | |
| $2.30M | $2.17M | $2.74M |
SBR vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SBR Sabine Royalty Trust | 11.57% | 14.04% | 4.06% | -13.10% | 53.64% |
CTA Simplify Managed Futures Strategy ETF | 6.14% | 0.88% | 24.15% | -2.23% | 9.01% |
Correlation
The correlation between SBR and CTA is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
Correlation (3Y) Balances recent behavior with more history. | 0.12 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | 0.08 |
The correlation between SBR and CTA shifts across timeframes, from 0.08 (all time) to 0.27 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SBR vs. CTA — Risk / Return Rank
SBR
CTA
SBR vs. CTA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Sabine Royalty Trust (SBR) 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.
| SBR | CTA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.58 | ||
| Sortino ratioReturn per unit of downside risk | +0.71 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.05 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 1.03 | 0.20 | +0.82 |
| Martin ratioReturn relative to average drawdown | 2.10 | 0.57 | +1.53 |
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Drawdowns
SBR vs. CTA - Drawdown Comparison
The maximum SBR drawdown since its inception was -56.40%, which is greater than CTA's maximum drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for SBR and CTA.
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Drawdown Indicators
| SBR | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.40% | -20.44% | -35.96% |
Max Drawdown (1Y)Largest decline over 1 year | -18.54% | -20.44% | +1.90% |
Max Drawdown (3Y)Largest decline over 3 years | -18.54% | -20.44% | +1.90% |
Max Drawdown (5Y)Largest decline over 5 years | -34.56% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -50.71% | — | — |
Current DrawdownCurrent decline from peak | -5.64% | -12.91% | +7.27% |
Average DrawdownAverage peak-to-trough decline | -13.61% | -6.01% | -7.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.05% | 7.33% | +1.72% |
Volatility
SBR vs. CTA - Volatility Comparison
The current volatility for Sabine Royalty Trust (SBR) is 3.95%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 5.80%. This indicates that SBR 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
| SBR | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.95% | 5.80% | -1.85% |
Volatility (6M)Calculated over the trailing 6-month period | 15.32% | 18.29% | -2.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.41% | 20.97% | +3.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 31.69% | 16.71% | +14.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.21% | 16.71% | +14.50% |
Dividends
SBR vs. CTA - Dividend Comparison
SBR's dividend yield for the trailing twelve months is around 6.64%, more 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% |
SBR Sabine Royalty Trust | 6.64% | 7.53% | 8.41% | 9.41% | 10.13% | 7.72% | 8.59% | 7.49% | 8.98% | 5.31% | 5.50% | 11.82% |
Frequently Asked Questions
SBR and CTA have a correlation of 0.27, 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 SBR (3.95%). In terms of maximum drawdown, SBR dropped -56.40% vs CTA's -20.44%.
SBR currently has the higher Sharpe Ratio (0.78 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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