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Cambria Value & Momentum ETF (VAMO)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISINUS1320618887
CUSIP132061888
IssuerCambria
Inception DateSep 8, 2015
RegionNorth America (U.S.)
CategorySmall Cap Blend Equities, Actively Managed
Index TrackedNo Index (Active)
Asset ClassAlternatives

Expense Ratio

VAMO has a high expense ratio of 0.64%, indicating higher-than-average management fees.


Expense ratio chart for VAMO: current value at 0.64% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.64%

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 Value & Momentum ETF

Popular comparisons: VAMO vs. GMOM, VAMO vs. VTI, VAMO vs. SPY, VAMO vs. VOO, VAMO vs. JEPQ

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Cambria Value & 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
-0.87%
14.78%
VAMO (Cambria Value & Momentum ETF)
Benchmark (^GSPC)

S&P 500

Returns By Period

Cambria Value & Momentum ETF had a return of -1.38% year-to-date (YTD) and 12.89% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date-1.38%15.04%
1 month-5.10%3.47%
6 months1.25%15.07%
1 year12.89%24.43%
5 years (annualized)7.70%13.22%
10 years (annualized)N/A10.85%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.71%2.78%3.62%-3.90%2.54%-1.38%
20230.62%-0.35%-7.30%-2.05%-3.32%8.66%3.19%0.24%0.20%-2.12%1.05%7.68%5.58%
2022-2.76%7.71%-3.60%3.48%3.74%-6.18%1.05%2.20%-2.12%7.95%-0.57%-1.60%8.55%
20217.85%6.96%4.10%-0.86%7.71%-1.22%-5.12%0.99%2.37%5.00%0.71%0.59%32.16%
2020-3.51%-6.24%-11.84%-1.70%1.32%-0.29%7.71%1.89%0.99%-1.80%7.78%2.31%-4.93%
2019-0.25%-0.37%-4.47%0.28%-4.93%3.44%-0.30%-3.54%1.90%1.76%1.61%0.54%-4.63%
20182.08%-4.39%1.77%1.53%4.14%-1.00%-0.22%1.81%-3.42%-5.64%-3.88%-4.26%-11.43%
2017-1.62%0.08%-0.65%1.27%-3.69%1.03%2.32%-0.04%4.17%1.13%0.69%-0.73%3.82%
2016-4.02%4.41%-0.45%-1.00%-1.12%-0.62%2.62%1.63%0.22%-4.35%7.67%0.62%5.11%
2015-0.52%-2.26%1.28%-5.84%-7.28%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of VAMO is 53, 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 VAMO is 5353
VAMO (Cambria Value & Momentum ETF)
The Sharpe Ratio Rank of VAMO is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of VAMO is 4949Sortino Ratio Rank
The Omega Ratio Rank of VAMO is 4747Omega Ratio Rank
The Calmar Ratio Rank of VAMO is 5757Calmar Ratio Rank
The Martin Ratio Rank of VAMO is 6565Martin 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 Value & Momentum ETF (VAMO) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


VAMO
Sharpe ratio
The chart of Sharpe ratio for VAMO, currently valued at 0.96, compared to the broader market0.002.004.006.000.96
Sortino ratio
The chart of Sortino ratio for VAMO, currently valued at 1.47, compared to the broader market0.005.0010.001.47
Omega ratio
The chart of Omega ratio for VAMO, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.003.501.17
Calmar ratio
The chart of Calmar ratio for VAMO, currently valued at 0.93, compared to the broader market0.005.0010.0015.0020.000.93
Martin ratio
The chart of Martin ratio for VAMO, currently valued at 5.55, compared to the broader market0.0020.0040.0060.0080.00100.005.55
^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 Value & Momentum ETF Sharpe ratio is 0.96. 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 Value & 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 Ratio0.000.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.96
2.10
VAMO (Cambria Value & Momentum ETF)
Benchmark (^GSPC)

Dividends

Dividend History

Cambria Value & Momentum ETF granted a 0.94% dividend yield in the last twelve months. The annual payout for that period amounted to $0.26 per share.


PeriodTTM202320222021202020192018201720162015
Dividend$0.26$0.38$0.30$0.27$0.20$0.24$0.22$0.09$0.13$0.05

Dividend yield

0.94%1.35%1.10%1.07%1.03%1.15%1.03%0.35%0.56%0.20%

Monthly Dividends

The table displays the monthly dividend distributions for Cambria Value & 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$0.06$0.00$0.00$0.00$0.06
2023$0.00$0.00$0.18$0.00$0.00$0.10$0.00$0.00$0.03$0.00$0.00$0.07$0.38
2022$0.00$0.00$0.01$0.00$0.00$0.07$0.00$0.00$0.07$0.00$0.00$0.15$0.30
2021$0.00$0.00$0.02$0.00$0.00$0.06$0.00$0.00$0.03$0.00$0.00$0.16$0.27
2020$0.00$0.00$0.02$0.00$0.00$0.10$0.00$0.00$0.02$0.00$0.00$0.07$0.20
2019$0.00$0.00$0.06$0.00$0.00$0.07$0.00$0.00$0.06$0.00$0.00$0.05$0.24
2018$0.00$0.00$0.04$0.00$0.00$0.07$0.00$0.00$0.04$0.00$0.00$0.07$0.22
2017$0.00$0.00$0.02$0.00$0.00$0.02$0.00$0.00$0.02$0.00$0.00$0.03$0.09
2016$0.00$0.00$0.02$0.00$0.00$0.02$0.00$0.00$0.06$0.00$0.00$0.03$0.13
2015$0.05$0.05

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-6.75%
0
VAMO (Cambria Value & Momentum ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Cambria Value & 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 Value & Momentum ETF was 41.84%, occurring on Mar 18, 2020. Recovery took 412 trading sessions.

The current Cambria Value & Momentum ETF drawdown is 6.75%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.84%Jun 12, 2018445Mar 18, 2020412Nov 3, 2021857
-17.25%Nov 8, 2022140May 31, 2023145Dec 27, 2023285
-14.75%Jun 10, 202217Jul 6, 202287Nov 7, 2022104
-13.08%Sep 25, 201582Feb 11, 2016378Oct 13, 2017460
-11.96%Nov 15, 202147Jan 21, 202227Mar 2, 202274

Volatility

Volatility Chart

The current Cambria Value & Momentum ETF volatility is 4.20%, 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
4.20%
2.33%
VAMO (Cambria Value & Momentum ETF)
Benchmark (^GSPC)