Simplify Managed Correlations

CTA Etf

USD 30.22 0.14 0.47%

The current 90-days correlation between Simplify Managed Futures and iShares Trust is 0.28 (i.e., Modest diversification). The correlation of Simplify Managed is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Simplify Managed Correlation With Market

Very weak diversification

The correlation between Simplify Managed Futures and DJI is 0.45 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Simplify Managed Futures and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Simplify Etf

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Simplify Managed Futures. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Simplify Etf

0.96	DBMF	iMGP DBi Managed	Pair Corr
0.9	KMLM	KFA Mount Lucas	Pair Corr
0.96	FMF	First Trust Managed	Pair Corr
0.81	WTMF	WisdomTree Managed	Pair Corr
0.78	MUU	Direxion Daily MU	Pair Corr
0.81	MULL	GraniteShares 2x Long	Pair Corr
0.92	KORU	Direxion Daily South	Pair Corr
0.71	GDXU	MicroSectors Gold Miners	Pair Corr
0.81	JNUG	Direxion Daily Junior	Pair Corr
0.92	BWET	ETF Managers Group	Pair Corr
0.83	NUGT	Direxion Daily Gold	Pair Corr
0.89	GDMN	WisdomTree Efficient Gold	Pair Corr
0.94	BIL	SPDR Bloomberg 1	Pair Corr
0.88	STNC	Hennessy Stance ESG	Pair Corr
0.87	NOBL	ProShares SP 500	Pair Corr
0.87	FPE	First Trust Preferred	Pair Corr
0.81	VBR	Vanguard Small Cap	Pair Corr
0.76	SMMD	iShares Russell 2500	Pair Corr
0.94	MLPB	UBS AG London	Pair Corr
0.92	IGLD	FT Cboe Vest	Pair Corr
0.88	PXLV	Invesco SP 500	Pair Corr
0.85	PGHY	Invesco Global Short	Pair Corr
0.93	SUSB	iShares ESG 1	Pair Corr
0.79	ROSC	Hartford Multifactor	Pair Corr
0.85	DIVI	Franklin International	Pair Corr
0.94	TXXI	BondBloxx ETF Trust	Pair Corr
0.89	XIDV	Franklin Templeton ETF	Pair Corr
0.87	VCEB	Vanguard ESG Corporate	Pair Corr
0.77	EWX	SPDR SP Emerging	Pair Corr
0.85	WIP	SPDR FTSE International	Pair Corr
0.89	BCI	abrdn Bloomberg All	Pair Corr
0.77	VB	Vanguard Small Cap	Pair Corr
0.84	SCHM	Schwab Mid Cap	Pair Corr
0.85	DBO	Invesco DB Oil Buyout Trend	Pair Corr
0.86	SIL	Global X Silver	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.06	-0.09	-0.03	0.13	-0.14	-0.05	0.11	-0.03	0.11	META
MSFT	-0.06		0.84	-0.35	-0.89	0.84	0.95	0.49	-0.92	-0.95	MSFT
UBER	-0.09	0.84		-0.34	-0.79	0.86	0.79	0.32	-0.82	-0.83	UBER
F	-0.03	-0.35	-0.34		0.1	-0.08	-0.31	0.09	0.44	0.31	F
T	0.13	-0.89	-0.79	0.1		-0.83	-0.85	-0.43	0.8	0.84	T
A	-0.14	0.84	0.86	-0.08	-0.83		0.79	0.56	-0.76	-0.86	A
CRM	-0.05	0.95	0.79	-0.31	-0.85	0.79		0.59	-0.87	-0.95	CRM
JPM	0.11	0.49	0.32	0.09	-0.43	0.56	0.59		-0.32	-0.53	JPM
MRK	-0.03	-0.92	-0.82	0.44	0.8	-0.76	-0.87	-0.32		0.92	MRK
XOM	0.11	-0.95	-0.83	0.31	0.84	-0.86	-0.95	-0.53	0.92		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

CRM	+ 0.95	MSFT
XOM	+ 0.92	MRK
A	+ 0.86	UBER
UBER	+ 0.84	MSFT
A	+ 0.84	MSFT
XOM	+ 0.84	T

High negative correlations

XOM	- 0.95	CRM
XOM	- 0.95	MSFT
MRK	- 0.92	MSFT
T	- 0.89	MSFT
MRK	- 0.87	CRM
XOM	- 0.86	A

Simplify Managed Competition Risk-Adjusted Indicators

There is a big difference between Simplify Etf performing well and Simplify Managed ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Simplify Managed's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.47	0.02	0.01	0.03	1.65	(1.55)	2.38	(2.81)	13.69
MSFT	1.32	(0.25)	0.00	(0.84)	0.00	0.00	2.19	(2.87)	13.28
UBER	1.53	(0.20)	0.00	(0.46)	0.00	0.00	2.70	(3.82)	11.09
F	1.36	(0.10)	0.00	(0.09)	0.00	0.00	3.61	(2.64)	10.01
T	1.07	0.18	0.15	(0.73)	0.94	(1.28)	3.87	(1.76)	7.44
A	1.25	(0.40)	0.00	(0.40)	0.00	0.00	2.48	(2.73)	7.20
CRM	1.81	(0.19)	0.00	(0.23)	0.00	0.00	4.03	(4.75)	12.37
JPM	1.25	(0.09)	0.00	(0.06)	0.00	0.00	2.34	(3.11)	8.17
MRK	1.22	0.21	0.14	0.44	1.32	(1.29)	2.54	(2.06)	7.29
XOM	1.33	0.41	0.28	3.38	1.12	(1.57)	2.90	(2.44)	6.83

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