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Cambria Global Momentum ETF (GMOM)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISINUS1320615081
CUSIP132061508
IssuerCambria
Inception DateNov 4, 2014
RegionDeveloped Markets (Broad)
CategoryHedge Fund, Actively Managed
Index TrackedNo Index (Active)
Asset ClassMulti-Asset

Asset Class Size

Multi-Cap

Asset Class Style

Blend

Expense Ratio

GMOM has a high expense ratio of 0.96%, indicating higher-than-average management fees.


Expense ratio chart for GMOM: current value at 0.96% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.96%

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 Momentum ETF

Popular comparisons: GMOM vs. VAMO, GMOM vs. SPY, GMOM vs. ITOT, GMOM vs. QMOM, GMOM vs. TZINX, GMOM vs. IMFL, GMOM vs. VYMI, GMOM vs. BUFR, GMOM vs. SPYI

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Cambria Global Momentum 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
5.62%
14.58%
GMOM (Cambria Global Momentum ETF)
Benchmark (^GSPC)

S&P 500

Returns By Period

Cambria Global Momentum ETF had a return of 3.87% year-to-date (YTD) and 4.35% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date3.87%14.75%
1 month-2.87%3.20%
6 months5.88%15.46%
1 year4.35%24.12%
5 years (annualized)5.25%13.37%
10 years (annualized)N/A10.83%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.17%4.04%3.31%-2.60%2.08%3.87%
20233.32%-4.41%-0.69%1.07%-3.04%3.70%4.05%-3.89%-2.57%-2.48%2.64%3.57%0.65%
20221.26%2.59%4.98%-2.92%2.23%-7.36%0.31%-1.13%-3.09%2.22%0.14%-1.49%-2.81%
20211.95%5.41%2.55%4.01%3.02%-1.05%-2.41%2.01%-1.56%4.20%-4.75%4.81%19.13%
2020-0.28%-5.63%-5.47%1.25%1.02%1.47%3.94%0.56%-2.49%-1.60%6.05%4.31%2.42%
20191.99%0.10%1.74%-0.16%-1.48%2.33%0.16%1.25%0.03%0.60%-0.46%1.91%8.24%
20185.23%-3.34%-1.58%0.25%-0.69%-1.50%0.41%1.12%-1.22%-6.88%1.08%-2.48%-9.61%
20172.80%1.89%1.15%0.76%0.70%1.23%2.85%2.38%1.44%0.75%-0.06%3.09%20.67%
2016-1.06%0.36%2.07%-0.73%0.38%2.92%2.06%-1.38%0.78%-1.57%-0.65%1.43%4.57%
20152.67%-0.04%-0.09%-1.52%-0.12%-2.91%1.27%-4.90%-1.20%0.11%-1.03%-0.94%-8.54%
20141.76%-0.07%1.69%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of GMOM is 23, indicating that it is in the bottom 23% 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 GMOM is 2323
GMOM (Cambria Global Momentum ETF)
The Sharpe Ratio Rank of GMOM is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of GMOM is 2222Sortino Ratio Rank
The Omega Ratio Rank of GMOM is 2121Omega Ratio Rank
The Calmar Ratio Rank of GMOM is 2626Calmar Ratio Rank
The Martin Ratio Rank of GMOM is 2323Martin 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 Momentum ETF (GMOM) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


GMOM
Sharpe ratio
The chart of Sharpe ratio for GMOM, currently valued at 0.40, compared to the broader market0.002.004.006.000.40
Sortino ratio
The chart of Sortino ratio for GMOM, currently valued at 0.66, compared to the broader market0.005.0010.0015.000.66
Omega ratio
The chart of Omega ratio for GMOM, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.003.501.07
Calmar ratio
The chart of Calmar ratio for GMOM, currently valued at 0.25, compared to the broader market0.005.0010.0015.0020.000.25
Martin ratio
The chart of Martin ratio for GMOM, currently valued at 1.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.11
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market0.002.004.006.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.98, compared to the broader market0.005.0010.0015.002.98
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.003.501.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.67, compared to the broader market0.005.0010.0015.0020.001.67
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.85, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.85

Sharpe Ratio

The current Cambria Global Momentum ETF Sharpe ratio is 0.40. 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 Momentum 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-0.500.000.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.40
2.14
GMOM (Cambria Global Momentum ETF)
Benchmark (^GSPC)

Dividends

Dividend History

Cambria Global Momentum ETF granted a 3.19% dividend yield in the last twelve months. The annual payout for that period amounted to $0.91 per share.


PeriodTTM2023202220212020201920182017201620152014
Dividend$0.91$1.00$0.71$1.02$0.32$0.67$0.46$0.56$0.41$0.42$0.27

Dividend yield

3.19%3.63%2.52%3.42%1.24%2.60%1.90%2.05%1.77%1.88%1.09%

Monthly Dividends

The table displays the monthly dividend distributions for Cambria Global Momentum 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$0.10$0.00$0.00$0.00$0.10
2023$0.00$0.00$0.18$0.00$0.00$0.35$0.00$0.00$0.02$0.00$0.00$0.44$1.00
2022$0.00$0.00$0.31$0.00$0.00$0.14$0.00$0.00$0.01$0.00$0.00$0.25$0.71
2021$0.00$0.00$0.02$0.00$0.00$0.16$0.00$0.00$0.25$0.00$0.00$0.59$1.02
2020$0.00$0.00$0.02$0.00$0.00$0.06$0.00$0.00$0.05$0.00$0.00$0.19$0.32
2019$0.00$0.00$0.13$0.00$0.00$0.12$0.00$0.00$0.17$0.00$0.00$0.25$0.67
2018$0.00$0.00$0.00$0.00$0.00$0.16$0.00$0.00$0.06$0.00$0.00$0.25$0.46
2017$0.00$0.00$0.06$0.00$0.00$0.25$0.00$0.00$0.12$0.00$0.00$0.14$0.56
2016$0.00$0.00$0.04$0.00$0.00$0.08$0.00$0.00$0.13$0.00$0.00$0.16$0.41
2015$0.00$0.00$0.07$0.00$0.00$0.16$0.00$0.00$0.04$0.00$0.00$0.16$0.42
2014$0.27$0.27

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-10.40%
-0.04%
GMOM (Cambria Global Momentum ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Cambria Global Momentum 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 Momentum ETF was 25.03%, occurring on Mar 19, 2020. Recovery took 226 trading sessions.

The current Cambria Global Momentum ETF drawdown is 10.40%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.03%Jan 29, 2018539Mar 19, 2020226Feb 10, 2021765
-19.16%Apr 21, 2022382Oct 26, 2023
-14.1%Mar 23, 2015209Jan 20, 2016351Jun 19, 2017560
-8.72%Jun 9, 202152Aug 20, 202139Oct 15, 202191
-8.34%Nov 9, 202116Dec 1, 202128Jan 11, 202244

Volatility

Volatility Chart

The current Cambria Global Momentum ETF volatility is 3.06%, 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%2024FebruaryMarchAprilMayJune
3.06%
2.26%
GMOM (Cambria Global Momentum ETF)
Benchmark (^GSPC)