FYLD vs. SPGM
Compare and contrast key facts about Cambria Foreign Shareholder Yield ETF (FYLD) and SPDR Portfolio MSCI Global Stock Market ETF (SPGM).
FYLD and SPGM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FYLD is an actively managed fund by Cambria. It was launched on Dec 3, 2013. SPGM is a passively managed fund by State Street that tracks the performance of the MSCI AC World IMI. It was launched on Feb 27, 2012.
Performance
FYLD vs. SPGM - Performance Comparison
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FYLD vs. SPGM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FYLD Cambria Foreign Shareholder Yield ETF | 14.87% | 34.53% | 3.00% | 13.18% | -5.53% | 18.67% | 4.17% | 17.83% | -14.47% | 29.81% |
SPGM SPDR Portfolio MSCI Global Stock Market ETF | -0.38% | 23.62% | 16.75% | 21.34% | -17.53% | 21.13% | 15.28% | 26.58% | -10.12% | 23.26% |
Returns By Period
In the year-to-date period, FYLD achieves a 14.87% return, which is significantly higher than SPGM's -0.38% return. Both investments have delivered pretty close results over the past 10 years, with FYLD having a 11.36% annualized return and SPGM not far ahead at 11.83%.
FYLD
- 1D
- -0.31%
- 1M
- -1.81%
- YTD
- 14.87%
- 6M
- 20.45%
- 1Y
- 43.76%
- 3Y*
- 19.99%
- 5Y*
- 12.16%
- 10Y*
- 11.36%
SPGM
- 1D
- 0.94%
- 1M
- -4.67%
- YTD
- -0.38%
- 6M
- 2.64%
- 1Y
- 24.52%
- 3Y*
- 17.72%
- 5Y*
- 9.90%
- 10Y*
- 11.83%
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FYLD vs. SPGM - Expense Ratio Comparison
FYLD has a 0.59% expense ratio, which is higher than SPGM's 0.09% expense ratio.
Return for Risk
FYLD vs. SPGM — Risk / Return Rank
FYLD
SPGM
FYLD vs. SPGM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Foreign Shareholder Yield ETF (FYLD) and SPDR Portfolio MSCI Global Stock Market ETF (SPGM). 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.
| FYLD | SPGM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.68 | 1.41 | +1.27 |
Sortino ratioReturn per unit of downside risk | 3.35 | 2.03 | +1.32 |
Omega ratioGain probability vs. loss probability | 1.59 | 1.30 | +0.28 |
Calmar ratioReturn relative to maximum drawdown | 3.33 | 2.09 | +1.25 |
Martin ratioReturn relative to average drawdown | 19.43 | 9.76 | +9.67 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FYLD | SPGM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.68 | 1.41 | +1.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.75 | 0.62 | +0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.63 | 0.68 | -0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.61 | -0.17 |
Correlation
The correlation between FYLD and SPGM is 0.70, 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.
Dividends
FYLD vs. SPGM - Dividend Comparison
FYLD's dividend yield for the trailing twelve months is around 3.76%, more than SPGM's 1.90% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FYLD Cambria Foreign Shareholder Yield ETF | 3.76% | 4.07% | 5.41% | 6.06% | 6.13% | 4.74% | 3.94% | 3.73% | 5.17% | 2.85% | 2.72% | 3.98% |
SPGM SPDR Portfolio MSCI Global Stock Market ETF | 1.90% | 1.89% | 1.98% | 2.09% | 2.37% | 1.94% | 1.45% | 2.46% | 1.89% | 2.29% | 1.87% | 3.70% |
Drawdowns
FYLD vs. SPGM - Drawdown Comparison
The maximum FYLD drawdown since its inception was -44.55%, which is greater than SPGM's maximum drawdown of -33.97%. Use the drawdown chart below to compare losses from any high point for FYLD and SPGM.
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Drawdown Indicators
| FYLD | SPGM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -44.55% | -33.97% | -10.58% |
Max Drawdown (1Y)Largest decline over 1 year | -13.05% | -11.96% | -1.09% |
Max Drawdown (5Y)Largest decline over 5 years | -25.12% | -25.93% | +0.81% |
Max Drawdown (10Y)Largest decline over 10 years | -44.55% | -33.97% | -10.58% |
Current DrawdownCurrent decline from peak | -1.99% | -5.72% | +3.73% |
Average DrawdownAverage peak-to-trough decline | -8.94% | -4.85% | -4.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.29% | 2.56% | -0.27% |
Volatility
FYLD vs. SPGM - Volatility Comparison
The current volatility for Cambria Foreign Shareholder Yield ETF (FYLD) is 4.82%, while SPDR Portfolio MSCI Global Stock Market ETF (SPGM) has a volatility of 6.33%. This indicates that FYLD experiences smaller price fluctuations and is considered to be less risky than SPGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FYLD | SPGM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.82% | 6.33% | -1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 9.10% | 10.22% | -1.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.41% | 17.49% | -1.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.30% | 15.94% | +0.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 17.56% | +0.53% |