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CTA

Simplify Managed Futures Strategy ETF

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as of 05/01/2024

NAV

$ 27.26

NAV Change

- $ 0.24 /0.87%

Price

$ 27.27

Price Change

- $ 0.12 /0.44%
The Simplify Managed Futures Strategy ETF (CTA) seeks long term capital appreciation by systematically investing in futures in an attempt to create an absolute return profile, that also has a low correlation to equities, and can provide support in risk-off events.

To this end, CTA deploys a suite of systematic models that have been designed by Altis Partners, a commodity trading advisor with over 20 years of experience.
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Documents

CTA Fund Deep Dive

Fund Overview

As of 05/01/2024

Ticker Symbol
CTA
Gross Expense Ratio
0.78%
CUSIP
82889N699
Total Assets
$184,715,533.34
Shares Outstanding
6,775,001
Distribution Yield as of 03/31/2024 Distribution yield calculation employs the most recent distribution, and multiplies the payment by 12 (monthly) or 4 (quarterly) to get an annualized total. The annualized total is then divided by the most recent net asset value (NAV) to determine the distribution yield.
Distribution Yield Close
Distribution yield calculation employs the most recent distribution, and multiplies the payment by 12 (monthly) or 4 (quarterly) to get an annualized total. The annualized total is then divided by the most recent net asset value (NAV) to determine the distribution yield.
2.41%
Distribution Frequency
Quarterly
SEC 30-Day Yield as of 03/31/2024 SEC 30-day Yield is available once fund has a full quarter of performance.
SEC 30-Day Yield Close
SEC 30-day Yield is available once fund has a full quarter of performance.
3.16%
Unsubsidized 30-Day SEC Yield as of 03/31/2024
3.16%
Options Available
No
Inception Date
03/07/2022
Premium/Discount (%) as of 05/01/2024
0.02%
NAV Per Share as of 05/01/2024
$27.26
Market Price as of 05/01/2024
$27.27
30-Day Median Bid-Ask Spread
0.25%
Bid/Ask
$27.28/$27.36
Midpoint Price
$27.32
Volume
91,953
NAV Symbol
CTA.NV
IOPV Symbol
CTA.IV
Shares Out. Symbol
CTA.SO
Schedule K-1
No

Management Fees

This table describes the fees and expenses that you may pay if you buy, sell, and hold shares of the Fund. Investors purchasing or selling shares of the Fund in the secondary market may be subject to costs (including customary brokerage commissions) charged by their broker. The fee table located in the prospectus and updates in prospectus supplements prevail.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)
Management Fees 0.75%
Distribution and Service (12b-1) Fees 0.00%
Other Expenses1 0.03%
Total Annual Fund Operating Expenses 0.78%
1. Amount of interest expense included in percentage.

Fund Performance

As of 03/31/2024 12/31/2023

Monthly Quarterly
Cumulative 1 Month 3 Month 6 Month YTD 1 Year Since Inception
NAV -0.49% 6.51% -2.47% 6.51% 15.34% 14.92%
Market Price -0.36% 6.35% -2.59% 6.35% 15.46% 13.88%
Annualized 1 Year 3 Year Since Inception
NAV 15.34% — 6.96%
Market Price 15.46% — 6.50%
Cumulative 1 Year Since Inception
NAV 15.34% 14.92%
Market Price 15.46% 13.88%
Annualized 1 Year 3 Year 5 Year Since Inception
NAV 15.34% — — 6.96%
Market Price 15.46% — — 6.50%
The performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available above.

NAV: The dollar value of a single share, based on the value of the underlying assets of the fund minus its liabilities, divided by the number of shares outstanding. Calculated at the end of each business day.

Market Price: The current price at which shares are bought and sold. Market returns are based upon the last trade price.

Historical Premium/Discount

Calendar Year 2023 1st Quarter of 2024
Days Traded at Premium
114
39
Days Traded at Discount
136
22
The above frequency distribution chart presents information about the difference between the daily market price for shares of the Fund and the Fund's reported Net Asset Value. The amount that the Fund's market price is above the reported NAV is called the premium. The amount that the Fund's market price is below the reported NAV is called the discount. The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund's NAV is calculated (usually 4:00 p.m. EST). The horizontal axis of the chart shows the premium or discount expressed in basis points. The vertical axis indicates the number of trading days in the period covered by the chart. Each bar in the chart shows the number of trading days in which the Fund traded within the premium/discount range indicated.

Portfolio Holdings

Holdings Summary Risk Profile

As of 05/01/2024

Holdings - All ETFs
Ticker Name Quantity Weight
BON4 COM SOYBEAN OIL FUTR Jul24 -83 -1.17%
BOQ4 COM SOYBEAN OIL FUTR Aug24 -14 -0.20%
BOU4 COM SOYBEAN OIL FUTR Sep24 -9 -0.13%
C H5 COM CORN FUTURE Mar25 4 0.05%
C N4 COM CORN FUTURE Jul24 66 0.81%
C U4 COM CORN FUTURE Sep24 44 0.55%
C Z4 COM CORN FUTURE Dec24 156 2.00%
CLF5 COM WTI CRUDE FUTURE Jan25 7 0.28%
CLM4 COM WTI CRUDE FUTURE Jun24 -3 -0.13%
CLN4 COM WTI CRUDE FUTURE Jul24 -28 -1.19%
CLQ4 COM WTI CRUDE FUTURE Aug24 2 0.08%
CLX4 COM WTI CRUDE FUTURE Nov24 3 0.12%
CLZ4 COM WTI CRUDE FUTURE Dec24 33 1.35%
CNM4 COM CAN 10YR BOND FUT Jun24 -1158 -53.61%
CORH5 COM 3M CORRA Futures Mar25 -598 -56.33%
CORM4 COM 3M CORRA Futures Jun24 -280 -26.23%
CORU4 COM 3M CORRA Futures Sep24 -761 -71.43%
CORZ4 COM 3M CORRA Futures Dec24 -848 -79.75%
CTN4 COM COTTON NO.2 FUTR Jul24 -307 -6.36%
CTZ4 COM COTTON NO.2 FUTR Dec24 -116 -2.36%
FVM4 COM US 5YR NOTE (CBT) Jun24 -35 -1.99%
GCM4 COM GOLD 100 OZ FUTR Jun24 47 5.88%
GCQ4 COM GOLD 100 OZ FUTR Aug24 9 1.14%
GCV4 COM GOLD 100 OZ FUTR Oct24 1 0.13%
HGN4 COM COPPER FUTURE Jul24 152 9.35%
HGU4 COM COPPER FUTURE Sep24 48 2.96%
HGZ4 COM COPPER FUTURE Dec24 3 0.19%
LCM4 COM LIVE CATTLE FUTR Jun24 165 6.21%
LCQ4 COM LIVE CATTLE FUTR Aug24 215 7.97%
LCV4 COM LIVE CATTLE FUTR Oct24 187 7.08%
NGF25 COM NATURAL GAS FUTR Jan25 210 4.26%
NGG25 COM NATURAL GAS FUTR Feb25 64 1.24%
NGQ24 COM NATURAL GAS FUTR Aug24 25 0.32%
NGU24 COM NATURAL GAS FUTR Sep24 52 0.68%
NGV24 COM NATURAL GAS FUTR Oct24 130 1.78%
NGX24 COM NATURAL GAS FUTR Nov24 103 1.64%
NGZ24 COM NATURAL GAS FUTR Dec24 114 2.15%
SBH5 COM SUGAR #11 (WORLD) Mar25 -21 -0.25%
SBN4 COM SUGAR #11 (WORLD) Jul24 -809 -9.43%
SBV4 COM SUGAR #11 (WORLD) Oct24 -295 -3.44%
SFRH5 COM 3 MONTH SOFR FUT Mar25 -705 -90.86%
SFRM5 COM 3 MONTH SOFR FUT Jun25 -868 -112.09%
SFRU4 COM 3 MONTH SOFR FUT Sep24 -705 -90.50%
SFRZ4 COM 3 MONTH SOFR FUT Dec24 -593 -76.27%
SIN4 COM SILVER FUTURE Jul24 -87 -6.30%
SIU4 COM SILVER FUTURE Sep24 -9 -0.66%
SIZ4 COM SILVER FUTURE Dec24 -3 -0.22%
W N4 COM WHEAT FUTURE(CBT) Jul24 585 9.49%
W U4 COM WHEAT FUTURE(CBT) Sep24 143 2.40%
W Z4 COM WHEAT FUTURE(CBT) Dec24 50 0.87%
- TREASURY BILL DN 5/24 1000000 0.54%
- TREASURY BILL DN 6/24 112000000 60.20%
- TREASURY BILL DN 6/24 24500000 13.17%
- TREASURY BILL DN 7/24 14300000 7.67%
- TREASURY BILL DN 7/24 3000000 1.61%
- TREASURY BILL DN 8/24 9700000 5.17%
- TREASURY BILL DN 8/24 6500000 3.47%
- CANADIAN DOLLAR 8206450 3.23%
- Estimated Cash 2718631 1.69%

Holdings are subject to change without notice.

As of

Portfolio Risk Profile
Category Weight Est. Initial Margin Contrib to Vol
3 MONTH SOFR FUT -11.72% 2,606,835 13.80%
CAN 10YR BOND FUT -49.23% 2,381,313 12.99%
LIVE CATTLE FUTR 21.26% 1,528,065 12.51%
WHEAT FUTURE(CBT) 12.76% 1,602,040 9.81%
SUGAR #11 (WORLD) -13.12% 1,997,183 9.60%
COPPER FUTURE 12.50% 1,004,850 7.80%
NATURAL GAS FUTR 12.07% 2,423,190 7.43%
SILVER FUTURE -7.18% 1,143,450 6.46%
3M CORRA FUTURES -7.41% 1,678,987 5.84%
COTTON NO.2 FUTR -8.72% 1,376,760 5.58%
GOLD 100 OZ FUTR 7.14% 627,000 3.66%
CORN FUTURE 3.40% 336,268 1.84%
WTI CRUDE FUTURE 0.52% 499,070 1.27%
SOYBEAN OIL FUTR -1.49% 195,195 1.11%
US 5YR NOTE (CBT) -1.99% 53,900 0.30%
BANK ACCEPT FUTR 0.00% 0 0.00%
Total -31.19% 19,454,106 100.00%
* 10y equivalents for 3 Month SOFR, Bank Acceptances, CORRA, and CAN 10YR Bond futures
Category Weight Market Value/Exposure Est. Yield
Treasury Bill 91.82% 169,613,422 5.39%
Pure Cash 8.18% 15,102,112 0.00%
Total 100.00% 184,715,533 0.00%
Source: Bloomberg, Simplify

Recent Distributions

Ex-Dividend Date Record Date Payable Date Ordinary Income Short Term Capital Gains Long Term Capital Gains Return of Capital Total Distribution
$0.15000 $0.00000 $0.00000 $0.00000 $0.15000
$0.38351 $0.42835 $0.82328 $0.00000 $1.63514
$0.10000 $0.00000 $0.00000 $0.00000 $0.10000
$0.10000 $0.00000 $0.00000 $0.00000 $0.10000
$0.43565 $0.00000 $0.67531 $0.00000 $1.11096
View Distribution History

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