Simplify Managed Futures Strategy ETF

10-Year Study

CTA.US · · US · ETF

Executive Summary: Simplify Managed Futures Strategy ETF has compounded at 11.2% annually over the last 10 years, with a maximum drawdown of 17.3% and an annualized volatility of 38.3%.

1Y CAGR
+14.6%
3Y CAGR
+11.4%
5Y CAGR
+11.2%
10Y CAGR
+11.2%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
17.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.52
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.70
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +24.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -2.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
75%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20263.38.3-0.1-2.0————————9.6%
20252.20.83.4-5.2-3.4-0.42.72.00.6-2.30.70.20.9%
20240.76.0-0.49.8-0.3-0.8-4.21.01.02.93.93.024.1%
2023-4.19.3-14.16.72.00.40.6-1.19.0-4.1-2.8-1.8-2.2%
2022———9.01.13.53.74.2-0.11.8-6.9-1.415.0%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 38.3%. The dominant macroeconomic risk driver is SHV.US, accounting for 74.4% of variance. Idiosyncratic stock-specific factors contribute 3.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-03-0110000
2022-04-0110895.79667702487
2022-05-0111018.781946904766
2022-06-0111401.03045232145
2022-07-0111820.674853822098
2022-08-0112320.644037671253
2022-09-0112310.91209842082
2022-10-0112529.402584182764
2022-11-0111667.642842799856
2022-12-0111504.495181745704
2023-01-0111033.433535527047
2023-02-0112057.383649149177
2023-03-0110358.913720742054
2023-04-0111057.760401444979
2023-05-0111274.494366608811
2023-06-0111323.675949286555
2023-07-0111394.725070231003
2023-08-0111265.946363992422
2023-09-0112278.789740408722
2023-10-0111775.159399025415
2023-11-0111449.805460621928
2023-12-0111247.477548943005
2024-01-0111328.500167997727
2024-02-0112005.253656684223
2024-03-0111963.056405484878
2024-04-0113132.988590071633
2024-05-0113089.834050057358
2024-06-0112980.201120117381
2024-07-0112440.1619935465
2024-08-0112560.707817162805
2024-09-0112682.485292743493
2024-10-0113048.327677078549
2024-11-0113560.503038870102
2024-12-0113963.46596207029
2025-01-0114268.868927975698
2025-02-0114384.02192519429
2025-03-0114880.148036812378
2025-04-0114105.976742752737
2025-05-0113628.404936150924
2025-06-0113568.455593926634
2025-07-0113938.874673696726
2025-08-0114212.845165741188
2025-09-0114294.322074503512
2025-10-0113967.69970356851
2025-11-0114060.98814472855
2025-12-0114086.751440903568
2026-01-0114545.989625891929
2026-02-0115760.442321112245
2026-03-0115750.018748148545
2026-04-0115437.31155923759
Annual Return Matrix
YearAnnual Return
2023-0.022340626750012582
20240.241475335363752
20250.008829145941857686
20260.09587449058073183
Total Factor Risk
0.38299791576346637
VTI.US Exposure
0.039467787223480585
VEA.US Exposure
-0.0032248902870419963
VWO.US Exposure
-0.0017800645939718828
QQQ.US Exposure
-0.007252600041765881
VTV.US Exposure
0.013625518224399709
IJR.US Exposure
0.0004598164373889806
QUAL.US Exposure
0.007448321367994636
SHV.US Exposure
0.7440815178562479
TLT.US Exposure
-0.017519895601046002
LQD.US Exposure
0.144549883383487
HYG.US Exposure
-0.0009333867762750972
GLD.US Exposure
0.005485144396888876
USO.US Exposure
-0.00037438325736049554
VNQ.US Exposure
-0.00006774990333910113
BTC-USD.CC Exposure
0.004113227041288736
CPER.US Exposure
-0.0004693257476145489
VIX.INDX Exposure
0.0014065621575940174
UUP.US Exposure
0.03139084689696572
TIP.US Exposure
0.0023820189114585207
Idiosyncratic Exposure
0.03721165231122046
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
38.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$156
Avg Yield on Cost
1.56%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$156.351.56%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.2%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
4.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
-0.48
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Simplify Managed Futures Strategy ETF a high-risk investment?

Simplify Managed Futures Strategy ETF (CTA.US) has an annualized volatility of 38.3% and experienced a maximum drawdown of 17.3% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of CTA.US?

Over the past 10 years, CTA.US has generated a Compound Annual Growth Rate (CAGR) of 11.2%. It has had a positive return in 75% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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