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CTA

Simplify Managed Futures Strategy ETF

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as of 07/01/2024

NAV

$ 26.95

NAV Change

- $ 0.01 /0.04%

Price

$ 27.00

Price Change

+ $ 0.08 /0.30%
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 07/01/2024

Ticker Symbol
CTA
Gross Expense Ratio
0.78%
CUSIP
82889N699
Total Assets
$204,789,872.43
Shares Outstanding
7,600,001
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
30-Day SEC Yield (Subsidized) as of 05/31/2024 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.
-
30-Day SEC Yield (Unsubsidized) as of 05/31/2024
3.13%
Options Available
No
Inception Date
03/07/2022
Premium/Discount (%) as of 07/01/2024
0.20%
NAV Per Share as of 07/01/2024
$26.95
Market Price as of 07/01/2024
$27.00
30-Day Median Bid-Ask Spread
0.18%
Bid/Ask
$26.92/$26.97
Midpoint Price
$26.95
Volume
89,922
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 05/31/2024 03/31/2024

Monthly Quarterly
Cumulative 1 Month 3 Month 6 Month YTD 1 Year Since Inception
NAV -0.69% 9.12% 13.94% 16.79% 16.25% 26.01%
Market Price -0.33% 9.03% 14.31% 16.37% 16.07% 24.61%
Annualized 1 Year 3 Year Since Inception
NAV 16.25% — 10.91%
Market Price 16.07% — 10.37%
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 07/01/2024

Holdings - All ETFs
Ticker Name Quantity Weight
BOQ4 COM SOYBEAN OIL FUTR AUG24 -235 -3.17%
BOU4 COM SOYBEAN OIL FUTR Sep24 -172 -2.32%
BOV4 COM SOYBEAN OIL FUTR Oct24 -8 -0.11%
C H5 COM CORN FUTURE Mar25 -28 -0.30%
C K5 COM CORN FUTURE May25 -10 -0.11%
C U4 COM CORN FUTURE SEP24 -373 -3.71%
C Z4 COM CORN FUTURE DEC24 -324 -3.33%
CLF5 COM WTI CRUDE FUTURE JAN25 25 0.97%
CLG5 COM WTI CRUDE FUTURE FEB25 11 0.42%
CLH5 COM WTI CRUDE FUTURE MAR25 24 0.91%
CLU4 COM WTI CRUDE FUTURE SEP24 77 3.10%
CLV4 COM WTI CRUDE FUTURE OCT24 46 1.83%
CLX4 COM WTI CRUDE FUTURE NOV24 53 2.08%
CLZ4 COM WTI CRUDE FUTURE DEC24 127 4.95%
CNU4 COM CAN 10YR BOND FUT SEP24 -792 -33.80%
CORH5 COM 3M CORRA Futures Mar25 -514 -43.84%
CORU4 COM 3M CORRA Futures Sep24 -750 -63.65%
CORZ4 COM 3M CORRA Futures Dec24 -758 -64.49%
CTH5 COM COTTON NO.2 FUTR MAR25 -37 -0.68%
CTZ4 COM COTTON NO.2 FUTR Dec24 -65 -1.16%
FVU4 COM US 5YR NOTE (CBT) Sep24 -1584 -82.08%
GCQ4 COM GOLD 100 OZ FUTR AUG24 65 7.42%
GCV4 COM GOLD 100 OZ FUTR OCT24 4 0.46%
GCZ4 COM GOLD 100 OZ FUTR DEC24 19 2.21%
HGU4 COM COPPER FUTURE SEP24 -58 -3.13%
HGZ4 COM COPPER FUTURE DEC24 -14 -0.76%
LCQ4 COM LIVE CATTLE FUTR Aug24 171 6.16%
LCV4 COM LIVE CATTLE FUTR Oct24 192 6.91%
LCZ4 COM LIVE CATTLE FUTR Dec24 32 1.16%
NGF25 COM NATURAL GAS FUTR Jan25 81 1.49%
NGG25 COM NATURAL GAS FUTR Feb25 39 0.69%
NGH25 COM NATURAL GAS FUTR Mar25 96 1.50%
NGJ25 COM NATURAL GAS FUTR Apr25 12 0.18%
NGQ24 COM NATURAL GAS FUTR Aug24 8 0.10%
NGU24 COM NATURAL GAS FUTR Sep24 -16 -0.19%
NGV24 COM NATURAL GAS FUTR Oct24 -1 -0.01%
NGX24 COM NATURAL GAS FUTR Nov24 -25 -0.37%
NGZ24 COM NATURAL GAS FUTR Dec24 -3 -0.05%
SBH5 COM SUGAR #11 (WORLD) MAR25 136 1.53%
SBK5 COM SUGAR #11 (WORLD) MAY25 28 0.30%
SBV4 COM SUGAR #11 (WORLD) Oct24 500 5.53%
SFRH5 COM 3 MONTH SOFR FUT Mar25 -290 -33.77%
SFRM5 COM 3 MONTH SOFR FUT Jun25 -993 -115.92%
SFRU5 COM 3 MONTH SOFR FUT Sep25 -1156 -135.19%
SFRZ4 COM 3 MONTH SOFR FUT Dec24 -401 -46.57%
SIU4 COM SILVER FUTURE Sep24 -17 -1.23%
SIZ4 COM SILVER FUTURE DEC24 -7 -0.51%
W H5 COM WHEAT FUTURE(CBT) Mar25 -23 -0.35%
W U4 COM WHEAT FUTURE(CBT) Sep24 -398 -5.74%
W Z4 COM WHEAT FUTURE(CBT) Dec24 -158 -2.36%
- TREASURY BILL DN 7/24 5000000 2.44%
- TREASURY BILL DN 7/24 3000000 1.46%
- TREASURY BILL DN 8/24 6500000 3.15%
- TREASURY BILL DN 8/24 2700000 1.31%
- TREASURY BILL DN 9/24 142600000 68.84%
- TREASURY BILL DN 9/24 33000000 15.93%
- CANADIAN DOLLAR 2819739 1.00%
- Estimated Cash 9205627 4.33%

Holdings are subject to change without notice.

As of

Portfolio Risk Profile
Category Weight Est. Initial Margin Contrib to Vol
3 MONTH SOFR FUT -10.48% 2,443,862 13.44%
US 5YR NOTE (CBT) -82.08% 2,265,120 12.70%
WHEAT FUTURE(CBT) -8.45% 1,273,800 9.50%
CAN 10YR BOND FUT -31.88% 1,589,188 8.79%
WTI CRUDE FUTURE 14.25% 2,428,965 8.40%
GOLD 100 OZ FUTR 10.10% 968,000 6.61%
SUGAR #11 (WORLD) 7.36% 999,187 6.60%
CORN FUTURE -7.44% 1,018,056 5.51%
NATURAL GAS FUTR 3.32% 902,880 5.50%
LIVE CATTLE FUTR 14.22% 1,064,525 5.43%
SOYBEAN OIL FUTR -5.59% 755,810 4.89%
3M CORRA FUTURES -5.44% 936,019 4.20%
COPPER FUTURE -3.89% 483,120 4.02%
SILVER FUTURE -1.74% 303,600 2.94%
COTTON NO.2 FUTR -1.84% 211,353 1.46%
BANK ACCEPT FUTR 0.00% 0 0.00%
Total -109.58% 17,643,485 100.00%
* 10y equivalents for 3 Month SOFR, Bank Acceptances, CORRA, and CAN 10YR Bond futures
Category Weight Market Value/Exposure Est. Yield
Treasury Bill 93.13% 190,727,707 5.36%
Pure Cash 6.87% 14,062,166 0.00%
Total 100.00% 204,789,872 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
$0.00000 $0.00000 $0.00000 $0.00000 $0.00000
$0.00000 $0.00000 $0.00000 $0.00000 $0.00000
$0.15000 $0.00000 $0.00000 $0.00000 $0.15000
$0.00000 $0.00000 $0.00000 $0.00000 $0.00000
View Distribution History

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