SGOV vs. CTA
SGOV (iShares 0-3 Month Treasury Bond ETF) and CTA (Simplify Managed Futures Strategy ETF) are both exchange-traded funds - SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index, while CTA is a Systematic Trend fund actively managed by Simplify. SGOV is passively managed, while CTA is actively managed. Over the past 3 years, SGOV returned 4.65%/yr vs 9.57%/yr for CTA. Their -0.02 correlation means they have often moved in opposite directions in the past. SGOV charges 0.09%/yr vs 0.78%/yr for CTA.
Performance
SGOV vs. CTA - Performance Comparison
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Returns By Period
In the year-to-date period, SGOV achieves a 2.04% return, which is significantly lower than CTA's 6.14% return.
SGOV
- 1D
- 0.03%
- 1M
- 0.30%
- 6M
- 1.80%
- YTD
- 2.04%
- 1Y
- 3.85%
- 3Y*
- 4.65%
- 5Y*
- 3.64%
- 10Y*
- —
- ALL TIME*
- 2.96%
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 | |
| $1.66B | $1.89B | $2.03B |
SGOV vs. CTA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SGOV iShares 0-3 Month Treasury Bond ETF | 2.04% | 4.24% | 5.27% | 5.12% | 1.56% |
CTA Simplify Managed Futures Strategy ETF | 6.14% | 0.88% | 24.15% | -2.23% | 9.01% |
Correlation
The correlation between SGOV and CTA is -0.06, 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. | -0.06 |
Correlation (3Y) Balances recent behavior with more history. | -0.03 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | -0.02 |
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Return for Risk
SGOV vs. CTA — Risk / Return Rank
SGOV
CTA
SGOV vs. CTA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 0-3 Month Treasury Bond ETF (SGOV) 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.
| SGOV | CTA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +20.52 | ||
| Sortino ratioReturn per unit of downside risk | +382.41 | ||
| Omega ratioGain probability vs. loss probability | 383.06 | 1.05 | +382.00 |
| Calmar ratioReturn relative to maximum drawdown | 390.94 | 0.20 | +390.74 |
| Martin ratioReturn relative to average drawdown | 6,193.70 | 0.57 | +6,193.13 |
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Drawdowns
SGOV vs. CTA - Drawdown Comparison
The maximum SGOV drawdown since its inception was -0.03%, smaller than the maximum CTA drawdown of -20.44%. Use the drawdown chart below to compare losses from any high point for SGOV and CTA.
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Drawdown Indicators
| SGOV | CTA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -0.03% | -20.44% | +20.41% |
Max Drawdown (1Y)Largest decline over 1 year | -0.01% | -20.44% | +20.43% |
Max Drawdown (3Y)Largest decline over 3 years | -0.01% | -20.44% | +20.43% |
Max Drawdown (5Y)Largest decline over 5 years | -0.03% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -12.91% | +12.91% |
Average DrawdownAverage peak-to-trough decline | 0.00% | -6.01% | +6.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.00% | 7.33% | -7.33% |
Volatility
SGOV vs. CTA - Volatility Comparison
The current volatility for iShares 0-3 Month Treasury Bond ETF (SGOV) is 0.05%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 5.80%. This indicates that SGOV 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
| SGOV | CTA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.05% | 5.80% | -5.75% |
Volatility (6M)Calculated over the trailing 6-month period | 0.13% | 18.29% | -18.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 0.19% | 20.97% | -20.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 0.24% | 16.71% | -16.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 0.24% | 16.71% | -16.47% |
SGOV vs. CTA - Expense Ratio Comparison
SGOV has a 0.09% expense ratio, which is lower than CTA's 0.78% expense ratio.
Dividends
SGOV vs. CTA - Dividend Comparison
SGOV's dividend yield for the trailing twelve months is around 3.80%, less than CTA's 4.73% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 4.73% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
Frequently Asked Questions
SGOV and CTA have a correlation of -0.06, 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 SGOV (0.05%). In terms of maximum drawdown, SGOV dropped -0.03% vs CTA's -20.44%.
On 3-year performance, CTA leads with 9.57% vs 4.65% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.05%. 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 4.65%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.78% for CTA.
CTA has the higher dividend yield at 4.73%, compared with 3.80% for SGOV.
SGOV is categorized as Ultrashort Bond, while CTA is Systematic Trend. They also come from different issuers: iShares and Simplify. Their fees differ too: 0.09% for SGOV and 0.78% for CTA.
SGOV currently has the higher Sharpe Ratio (20.72 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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