PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Cambria Global Asset Allocation ETF (GAA)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISINUS1320616071
CUSIP132061607
IssuerCambria
Inception DateDec 9, 2014
RegionDeveloped Markets (Broad)
CategoryDiversified Portfolio, Actively Managed
Index TrackedNo Index (Active)
Asset ClassMulti-Asset

Asset Class Size

Multi-Cap

Asset Class Style

Blend

Expense Ratio

GAA has a high expense ratio of 0.41%, indicating higher-than-average management fees.


Expense ratio chart for GAA: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%

Share Price Chart


Loading data...

Compare to other instruments

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


Cambria Global Asset Allocation ETF

Popular comparisons: GAA vs. MDIV, GAA vs. OCIO, GAA vs. IYLD, GAA vs. VSMGX, GAA vs. PMYYX, GAA vs. EAOM, GAA vs. TLT, GAA vs. Fbalx, GAA vs. AOA, GAA vs. AOM

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Cambria Global Asset Allocation 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%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
3.50%
14.78%
GAA (Cambria Global Asset Allocation ETF)
Benchmark (^GSPC)

S&P 500

Returns By Period

Cambria Global Asset Allocation ETF had a return of 3.12% year-to-date (YTD) and 9.22% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date3.12%15.04%
1 month-2.29%3.47%
6 months4.66%15.07%
1 year9.22%24.43%
5 years (annualized)5.34%13.22%
10 years (annualized)N/A10.85%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.10%0.93%4.15%-1.72%1.60%3.12%
20234.26%-2.93%-0.31%0.45%-2.88%4.74%2.11%-3.00%-1.48%-1.89%4.65%4.24%7.65%
2022-1.92%-1.21%0.36%-2.16%1.19%-6.84%1.09%-1.34%-6.11%3.92%5.81%-0.87%-8.47%
20211.42%2.54%1.30%3.03%2.09%-0.54%0.87%0.68%-3.05%2.92%-3.18%2.81%11.17%
2020-1.56%-4.08%-12.87%6.36%5.70%1.78%2.72%2.84%-1.77%-0.30%7.26%4.45%9.11%
20195.42%1.53%0.43%0.79%-1.96%4.15%0.07%-1.29%1.21%1.64%0.49%1.90%15.12%
20182.38%-2.06%0.22%-0.38%-0.53%-1.11%1.26%-0.88%0.11%-3.84%-0.05%-2.37%-7.15%
20171.61%1.89%0.52%0.83%1.33%0.53%2.60%1.02%0.68%0.66%0.75%1.75%15.11%
2016-2.21%0.89%5.00%1.62%-0.41%1.81%2.34%0.08%0.88%-0.99%-1.93%1.79%8.99%
20150.40%1.82%-0.84%1.88%-0.55%-1.81%-0.61%-3.83%-1.52%3.50%-1.17%-1.25%-4.11%
2014-0.36%-0.36%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of GAA is 48, suggesting that the investment has average results relative to other ETFs in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of GAA is 4848
GAA (Cambria Global Asset Allocation ETF)
The Sharpe Ratio Rank of GAA is 4545Sharpe Ratio Rank
The Sortino Ratio Rank of GAA is 4545Sortino Ratio Rank
The Omega Ratio Rank of GAA is 4545Omega Ratio Rank
The Calmar Ratio Rank of GAA is 5353Calmar Ratio Rank
The Martin Ratio Rank of GAA is 5050Martin 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 Asset Allocation ETF (GAA) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


GAA
Sharpe ratio
The chart of Sharpe ratio for GAA, currently valued at 0.88, compared to the broader market0.002.004.006.000.88
Sortino ratio
The chart of Sortino ratio for GAA, currently valued at 1.33, compared to the broader market0.005.0010.001.33
Omega ratio
The chart of Omega ratio for GAA, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.003.501.16
Calmar ratio
The chart of Calmar ratio for GAA, currently valued at 0.76, compared to the broader market0.005.0010.0015.0020.000.76
Martin ratio
The chart of Martin ratio for GAA, currently valued at 3.39, compared to the broader market0.0020.0040.0060.0080.00100.003.39
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.006.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market0.005.0010.003.07
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 1.73, compared to the broader market0.005.0010.0015.0020.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.0020.0040.0060.0080.00100.008.12

Sharpe Ratio

The current Cambria Global Asset Allocation ETF Sharpe ratio is 0.88. 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 Asset Allocation 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 Ratio0.000.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.88
2.10
GAA (Cambria Global Asset Allocation ETF)
Benchmark (^GSPC)

Dividends

Dividend History

Cambria Global Asset Allocation ETF granted a 3.68% dividend yield in the last twelve months. The annual payout for that period amounted to $1.05 per share.


PeriodTTM2023202220212020201920182017201620152014
Dividend$1.05$1.04$1.63$1.31$0.80$0.92$0.75$0.65$0.69$0.58$0.14

Dividend yield

3.68%3.73%6.05%4.21%2.73%3.32%3.01%2.36%2.82%2.49%0.57%

Monthly Dividends

The table displays the monthly dividend distributions for Cambria Global Asset Allocation 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$0.33$0.00$0.00$0.00$0.33
2023$0.00$0.00$0.33$0.00$0.00$0.33$0.00$0.00$0.13$0.00$0.00$0.26$1.04
2022$0.00$0.00$0.73$0.00$0.00$0.15$0.00$0.00$0.34$0.00$0.00$0.41$1.63
2021$0.00$0.00$0.07$0.00$0.00$0.18$0.00$0.00$0.41$0.00$0.00$0.64$1.31
2020$0.00$0.00$0.15$0.00$0.00$0.27$0.00$0.00$0.20$0.00$0.00$0.18$0.80
2019$0.00$0.00$0.11$0.00$0.00$0.16$0.00$0.00$0.24$0.00$0.00$0.40$0.92
2018$0.00$0.00$0.08$0.00$0.00$0.18$0.00$0.00$0.17$0.00$0.00$0.31$0.75
2017$0.00$0.00$0.07$0.00$0.00$0.19$0.00$0.00$0.16$0.00$0.00$0.23$0.65
2016$0.00$0.00$0.09$0.00$0.00$0.08$0.00$0.00$0.14$0.00$0.00$0.37$0.69
2015$0.00$0.00$0.07$0.00$0.00$0.11$0.00$0.00$0.23$0.00$0.00$0.17$0.58
2014$0.14$0.14

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-2.50%
0
GAA (Cambria Global Asset Allocation ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Cambria Global Asset Allocation 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 Asset Allocation ETF was 26.57%, occurring on Mar 19, 2020. Recovery took 164 trading sessions.

The current Cambria Global Asset Allocation ETF drawdown is 2.50%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.57%Jan 21, 202042Mar 19, 2020164Nov 10, 2020206
-18.47%Oct 21, 2021234Sep 26, 2022373Mar 21, 2024607
-12.62%May 18, 2015171Jan 20, 2016123Jul 22, 2016294
-12.06%Jan 29, 2018229Dec 24, 2018210Oct 24, 2019439
-4.28%Jun 11, 202126Jul 19, 202132Sep 1, 202158

Volatility

Volatility Chart

The current Cambria Global Asset Allocation ETF volatility is 2.73%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.73%
2.33%
GAA (Cambria Global Asset Allocation ETF)
Benchmark (^GSPC)