SGOL vs. CTA
SGOL (abrdn Physical Gold Shares ETF) and CTA (Simplify Managed Futures Strategy ETF) are both exchange-traded funds - SGOL is a Gold fund tracking the LBMA Gold Price PM ($/ozt), while CTA is a Systematic Trend fund actively managed by Simplify. SGOL is passively managed, while CTA is actively managed. Over the past 3 years, SGOL returned 27.11%/yr vs 9.57%/yr for CTA. Their -0.03 correlation means they have often moved in opposite directions in the past. SGOL charges 0.17%/yr vs 0.78%/yr for CTA.
Performance
SGOL vs. CTA - Performance Comparison
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Returns By Period
In the year-to-date period, SGOL achieves a -6.06% return, which is significantly lower than CTA's 6.14% return.
SGOL
- 1D
- 0.08%
- 1M
- 0.65%
- 6M
- -18.71%
- YTD
- -6.06%
- 1Y
- 21.20%
- 3Y*
- 27.11%
- 5Y*
- 17.42%
- 10Y*
- 11.62%
- ALL TIME*
- 8.34%
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 | |
| $79.87M | $79.24M | $102.39M |
SGOL vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SGOL abrdn Physical Gold Shares ETF | -6.06% | 63.99% | 26.90% | 12.99% | -8.82% |
CTA Simplify Managed Futures Strategy ETF | 6.14% | 0.88% | 24.15% | -2.23% | 9.01% |
Correlation
The correlation between SGOL and CTA is 0.16, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.16 |
Correlation (3Y) Balances recent behavior with more history. | 0.09 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | -0.03 |
The correlation between SGOL and CTA shifts across timeframes, from -0.03 (all time) to 0.16 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SGOL vs. CTA — Risk / Return Rank
SGOL
CTA
SGOL vs. CTA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for abrdn Physical Gold Shares ETF (SGOL) 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.
| SGOL | CTA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.53 | ||
| Sortino ratioReturn per unit of downside risk | +0.66 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.05 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 0.77 | 0.20 | +0.56 |
| Martin ratioReturn relative to average drawdown | 1.73 | 0.57 | +1.16 |
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Drawdowns
SGOL vs. CTA - Drawdown Comparison
The maximum SGOL drawdown since its inception was -45.51%, which is greater than CTA's maximum drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for SGOL and CTA.
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Drawdown Indicators
| SGOL | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.51% | -20.44% | -25.07% |
Max Drawdown (1Y)Largest decline over 1 year | -26.32% | -20.44% | -5.88% |
Max Drawdown (3Y)Largest decline over 3 years | -26.32% | -20.44% | -5.88% |
Max Drawdown (5Y)Largest decline over 5 years | -26.32% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -26.32% | — | — |
Current DrawdownCurrent decline from peak | -24.94% | -12.91% | -12.03% |
Average DrawdownAverage peak-to-trough decline | -18.45% | -6.01% | -12.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.64% | 7.33% | +4.31% |
Volatility
SGOL vs. CTA - Volatility Comparison
abrdn Physical Gold Shares ETF (SGOL) and Simplify Managed Futures Strategy ETF (CTA) have volatilities of 6.07% and 5.80%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SGOL | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.07% | 5.80% | +0.27% |
Volatility (6M)Calculated over the trailing 6-month period | 23.69% | 18.29% | +5.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.79% | 20.97% | +6.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.34% | 16.71% | +1.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.08% | 16.71% | -0.63% |
SGOL vs. CTA - Expense Ratio Comparison
SGOL has a 0.17% expense ratio, which is lower than CTA's 0.78% expense ratio.
Dividends
SGOL vs. CTA - Dividend Comparison
SGOL has not paid dividends to shareholders, while CTA's dividend yield for the trailing twelve months is around 4.73%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 4.73% | 3.19% | 4.80% | 7.78% | 6.58% |
SGOL abrdn Physical Gold Shares ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SGOL and CTA have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SGOL has higher volatility (6.07%) compared to CTA (5.80%). In terms of maximum drawdown, SGOL dropped -45.51% vs CTA's -20.44%.
On 3-year performance, SGOL leads with 27.11% vs 9.57% for CTA. On fees, SGOL is cheaper at 0.17% per year. On volatility, CTA has been the lower-risk option at 5.80%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, SGOL has performed better with a 27.11% return vs 9.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOL is cheaper with a 0.17% expense ratio, compared with 0.78% for CTA.
CTA has the higher dividend yield at 4.73%, compared with 0.00% for SGOL.
SGOL is categorized as Gold, while CTA is Systematic Trend. They also come from different issuers: abrdn and Simplify. Their fees differ too: 0.17% for SGOL and 0.78% for CTA.
SGOL currently has the higher Sharpe Ratio (0.73 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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