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EAOM vs. GAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EAOM and GAA is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

EAOM vs. GAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware Moderate Allocation ETF (EAOM) and Cambria Global Asset Allocation ETF (GAA). The values are adjusted to include any dividend payments, if applicable.

15.00%20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
19.07%
35.04%
EAOM
GAA

Key characteristics

Sharpe Ratio

EAOM:

1.30

GAA:

0.77

Sortino Ratio

EAOM:

1.83

GAA:

1.12

Omega Ratio

EAOM:

1.23

GAA:

1.14

Calmar Ratio

EAOM:

1.10

GAA:

1.31

Martin Ratio

EAOM:

7.23

GAA:

4.59

Ulcer Index

EAOM:

1.17%

GAA:

1.65%

Daily Std Dev

EAOM:

6.51%

GAA:

9.86%

Max Drawdown

EAOM:

-20.73%

GAA:

-26.57%

Current Drawdown

EAOM:

-2.80%

GAA:

-4.28%

Returns By Period

In the year-to-date period, EAOM achieves a 7.35% return, which is significantly higher than GAA's 6.00% return.


EAOM

YTD

7.35%

1M

-0.35%

6M

2.81%

1Y

8.11%

5Y*

N/A

10Y*

N/A

GAA

YTD

6.00%

1M

-1.77%

6M

1.67%

1Y

6.39%

5Y*

4.90%

10Y*

5.00%

Compare stocks, funds, or ETFs

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


EAOM vs. GAA - Expense Ratio Comparison

EAOM has a 0.18% expense ratio, which is lower than GAA's 0.41% expense ratio.


GAA
Cambria Global Asset Allocation ETF
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%
Expense ratio chart for EAOM: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

EAOM vs. GAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware Moderate Allocation ETF (EAOM) and Cambria Global Asset Allocation ETF (GAA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for EAOM, currently valued at 1.30, compared to the broader market0.002.004.001.300.77
The chart of Sortino ratio for EAOM, currently valued at 1.83, compared to the broader market-2.000.002.004.006.008.0010.001.831.12
The chart of Omega ratio for EAOM, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.14
The chart of Calmar ratio for EAOM, currently valued at 1.10, compared to the broader market0.005.0010.0015.001.101.31
The chart of Martin ratio for EAOM, currently valued at 7.23, compared to the broader market0.0020.0040.0060.0080.00100.007.234.59
EAOM
GAA

The current EAOM Sharpe Ratio is 1.30, which is higher than the GAA Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of EAOM and GAA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.30
0.77
EAOM
GAA

Dividends

EAOM vs. GAA - Dividend Comparison

EAOM's dividend yield for the trailing twelve months is around 2.85%, less than GAA's 4.67% yield.


TTM2023202220212020201920182017201620152014
EAOM
iShares ESG Aware Moderate Allocation ETF
2.85%2.70%1.93%1.32%1.03%0.00%0.00%0.00%0.00%0.00%0.00%
GAA
Cambria Global Asset Allocation ETF
4.67%3.73%6.05%4.21%2.73%3.32%3.00%2.35%2.81%2.49%0.57%

Drawdowns

EAOM vs. GAA - Drawdown Comparison

The maximum EAOM drawdown since its inception was -20.73%, smaller than the maximum GAA drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for EAOM and GAA. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.80%
-4.28%
EAOM
GAA

Volatility

EAOM vs. GAA - Volatility Comparison

The current volatility for iShares ESG Aware Moderate Allocation ETF (EAOM) is 2.12%, while Cambria Global Asset Allocation ETF (GAA) has a volatility of 2.35%. This indicates that EAOM experiences smaller price fluctuations and is considered to be less risky than GAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%JulyAugustSeptemberOctoberNovemberDecember
2.12%
2.35%
EAOM
GAA
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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