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Cambria Global Tail Risk ETF (FAIL)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISINUS1320618051
CUSIP132061805
IssuerCambria
Inception DateFeb 23, 2016
RegionEmerging Markets (Broad)
CategoryInternational Government Bonds, Actively Managed
Index TrackedNo Index (Active)
Home Pagewww.cambriafunds.com
Asset ClassBond

Expense Ratio

FAIL has a high expense ratio of 0.63%, indicating higher-than-average management fees.


Expense ratio chart for FAIL: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Cambria Global Tail Risk ETF

Popular comparisons: FAIL vs. TAIL

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Cambria Global Tail Risk ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%50.00%100.00%150.00%200.00%2024FebruaryMarchAprilMayJune
-17.03%
182.71%
FAIL (Cambria Global Tail Risk ETF)
Benchmark (^GSPC)

S&P 500

Returns By Period

Cambria Global Tail Risk ETF had a return of -6.31% year-to-date (YTD) and -9.70% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date-6.31%13.87%
1 month-0.23%2.54%
6 months-6.05%15.10%
1 year-9.70%23.18%
5 years (annualized)-6.79%13.48%
10 years (annualized)N/A10.77%

Monthly Returns

The table below presents the monthly returns of FAIL, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.27%-2.93%-0.83%-2.00%-0.75%-6.31%
2023-2.05%-0.80%1.73%-0.81%-0.64%-1.67%-2.82%0.69%0.40%2.90%-7.21%1.56%-8.76%
20220.35%1.01%-0.86%0.63%-0.73%4.74%-4.25%-0.03%5.22%-4.06%-7.62%0.89%-5.31%
2021-1.64%-1.59%-5.38%-3.64%-0.60%-1.26%-0.65%3.11%-1.91%-3.51%0.18%-4.69%-19.82%
20200.34%-3.09%-6.71%-0.09%5.73%2.68%2.64%-1.98%-0.74%-0.41%5.64%2.63%6.11%
20194.16%0.55%-2.25%-0.56%0.42%5.11%0.23%-3.64%0.87%0.76%-0.65%2.60%7.50%
20184.29%-1.38%0.70%-2.97%-4.91%-3.09%1.77%-5.95%0.21%1.32%2.01%1.01%-7.26%
20171.90%0.67%1.03%1.47%1.60%3.11%2.25%-0.48%0.46%-4.01%2.60%0.75%11.75%
20161.43%5.34%1.45%-1.69%3.40%0.18%0.25%3.32%-0.96%-5.66%1.20%8.14%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of FAIL is 3, indicating that it is in the bottom 3% of ETFs on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of FAIL is 33
FAIL (Cambria Global Tail Risk ETF)
The Sharpe Ratio Rank of FAIL is 22Sharpe Ratio Rank
The Sortino Ratio Rank of FAIL is 33Sortino Ratio Rank
The Omega Ratio Rank of FAIL is 22Omega Ratio Rank
The Calmar Ratio Rank of FAIL is 44Calmar Ratio Rank
The Martin Ratio Rank of FAIL is 22Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Cambria Global Tail Risk ETF (FAIL) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


FAIL
Sharpe ratio
The chart of Sharpe ratio for FAIL, currently valued at -0.75, compared to the broader market0.002.004.006.00-0.75
Sortino ratio
The chart of Sortino ratio for FAIL, currently valued at -0.96, compared to the broader market0.005.0010.00-0.96
Omega ratio
The chart of Omega ratio for FAIL, currently valued at 0.88, compared to the broader market0.501.001.502.002.503.003.500.88
Calmar ratio
The chart of Calmar ratio for FAIL, currently valued at -0.27, compared to the broader market0.005.0010.0015.0020.00-0.27
Martin ratio
The chart of Martin ratio for FAIL, currently valued at -1.20, compared to the broader market0.0020.0040.0060.0080.00100.00120.00140.00-1.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.14, compared to the broader market0.002.004.006.002.14
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.04, compared to the broader market0.005.0010.003.04
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.003.501.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.71, compared to the broader market0.005.0010.0015.0020.001.71
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.00140.008.02

Sharpe Ratio

The current Cambria Global Tail Risk ETF Sharpe ratio is -0.75. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Cambria Global Tail Risk ETF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.002024FebruaryMarchAprilMayJune
-0.75
2.14
FAIL (Cambria Global Tail Risk ETF)
Benchmark (^GSPC)

Dividends

Dividend History

Cambria Global Tail Risk ETF granted a 4.05% dividend yield in the last twelve months. The annual payout for that period amounted to $0.67 per share.


PeriodTTM20232022202120202019201820172016
Dividend$0.67$0.30$0.00$0.00$0.17$1.29$1.15$1.59$0.86

Dividend yield

4.05%1.65%0.00%0.00%0.63%5.14%4.68%5.72%3.28%

Monthly Dividends

The table displays the monthly dividend distributions for Cambria Global Tail Risk ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.37$0.00$0.00$0.00$0.37
2023$0.00$0.00$0.00$0.00$0.00$0.06$0.00$0.00$0.24$0.00$0.00$0.00$0.30
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2020$0.00$0.00$0.02$0.00$0.00$0.08$0.00$0.00$0.07$0.00$0.00$0.00$0.17
2019$0.00$0.00$0.24$0.00$0.00$0.19$0.00$0.00$0.29$0.00$0.00$0.57$1.29
2018$0.00$0.00$0.18$0.00$0.00$0.25$0.00$0.00$0.19$0.00$0.00$0.53$1.15
2017$0.00$0.00$0.11$0.00$0.00$0.60$0.00$0.00$0.44$0.00$0.00$0.44$1.59
2016$0.24$0.00$0.00$0.26$0.00$0.00$0.37$0.86

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-40.00%-30.00%-20.00%-10.00%0.00%2024FebruaryMarchAprilMayJune
-35.95%
-0.04%
FAIL (Cambria Global Tail Risk ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Cambria Global Tail Risk ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Cambria Global Tail Risk ETF was 36.69%, occurring on Jun 10, 2024. The portfolio has not yet recovered.

The current Cambria Global Tail Risk ETF drawdown is 35.95%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.69%Dec 21, 2020872Jun 10, 2024
-25.69%Jan 29, 2018542Mar 24, 2020181Dec 9, 2020723
-7.55%Oct 4, 201630Nov 14, 2016124May 15, 2017154
-5.06%Sep 11, 201737Oct 31, 201745Jan 5, 201882
-3.19%May 3, 201614May 20, 201622Jun 22, 201636

Volatility

Volatility Chart

The current Cambria Global Tail Risk ETF volatility is 2.47%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%2024FebruaryMarchAprilMayJune
2.47%
2.26%
FAIL (Cambria Global Tail Risk ETF)
Benchmark (^GSPC)