FIG vs. GAA
Compare and contrast key facts about Simplify Macro Strategy ETF (FIG) and Cambria Global Asset Allocation ETF (GAA).
FIG and GAA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FIG is an actively managed fund by Simplify. It was launched on May 16, 2022. GAA is an actively managed fund by Cambria. It was launched on Dec 9, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FIG or GAA.
Key characteristics
| FIG | GAA | |
|---|---|---|
| YTD Return | -3.75% | 9.50% |
| 1Y Return | -1.19% | 18.21% |
| Sharpe Ratio | -0.04 | 1.73 |
| Sortino Ratio | 0.03 | 2.47 |
| Omega Ratio | 1.01 | 1.31 |
| Calmar Ratio | -0.04 | 1.68 |
| Martin Ratio | -0.09 | 11.61 |
| Ulcer Index | 5.88% | 1.51% |
| Daily Std Dev | 12.84% | 10.13% |
| Max Drawdown | -13.88% | -26.57% |
| Current Drawdown | -7.15% | -1.12% |
Correlation
The correlation between FIG and GAA is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
FIG vs. GAA - Performance Comparison
In the year-to-date period, FIG achieves a -3.75% return, which is significantly lower than GAA's 9.50% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FIG vs. GAA - Expense Ratio Comparison
FIG has a 1.00% expense ratio, which is higher than GAA's 0.41% expense ratio.
Risk-Adjusted Performance
FIG vs. GAA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Macro Strategy ETF (FIG) 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.
Dividends
FIG vs. GAA - Dividend Comparison
FIG's dividend yield for the trailing twelve months is around 2.68%, less than GAA's 4.52% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
FIG Simplify Macro Strategy ETF | 2.68% | 4.29% | 3.51% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GAA Cambria Global Asset Allocation ETF | 4.52% | 3.73% | 6.05% | 4.21% | 2.73% | 3.32% | 3.00% | 2.35% | 2.81% | 2.49% | 0.57% |
Drawdowns
FIG vs. GAA - Drawdown Comparison
The maximum FIG drawdown since its inception was -13.88%, smaller than the maximum GAA drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for FIG and GAA. For additional features, visit the drawdowns tool.
Volatility
FIG vs. GAA - Volatility Comparison
Simplify Macro Strategy ETF (FIG) has a higher volatility of 4.43% compared to Cambria Global Asset Allocation ETF (GAA) at 2.86%. This indicates that FIG's price experiences larger fluctuations and is considered to be riskier than GAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.