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

Performance

GAA vs. AOA - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.96%
7.02%
GAA
AOA

Returns By Period

In the year-to-date period, GAA achieves a 9.78% return, which is significantly lower than AOA's 15.03% return.


GAA

YTD

9.78%

1M

2.77%

6M

4.96%

1Y

15.05%

5Y (annualized)

6.02%

10Y (annualized)

N/A

AOA

YTD

15.03%

1M

0.80%

6M

7.02%

1Y

21.04%

5Y (annualized)

8.93%

10Y (annualized)

7.80%

Key characteristics


GAAAOA
Sharpe Ratio1.512.19
Sortino Ratio2.153.05
Omega Ratio1.271.40
Calmar Ratio1.933.37
Martin Ratio9.5313.85
Ulcer Index1.58%1.52%
Daily Std Dev9.98%9.62%
Max Drawdown-26.57%-28.38%
Current Drawdown-0.87%-1.11%

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GAA vs. AOA - Expense Ratio Comparison

GAA has a 0.41% expense ratio, which is higher than AOA's 0.25% 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 AOA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.7

The correlation between GAA and AOA is 0.66, 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.

Risk-Adjusted Performance

GAA vs. AOA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Global Asset Allocation ETF (GAA) and iShares Core Aggressive Allocation ETF (AOA). 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 GAA, currently valued at 1.51, compared to the broader market0.002.004.001.512.19
The chart of Sortino ratio for GAA, currently valued at 2.15, compared to the broader market-2.000.002.004.006.008.0010.0012.002.153.05
The chart of Omega ratio for GAA, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.40
The chart of Calmar ratio for GAA, currently valued at 1.93, compared to the broader market0.005.0010.0015.001.933.37
The chart of Martin ratio for GAA, currently valued at 9.53, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.5313.85
GAA
AOA

The current GAA Sharpe Ratio is 1.51, which is lower than the AOA Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of GAA and AOA, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.51
2.19
GAA
AOA

Dividends

GAA vs. AOA - Dividend Comparison

GAA's dividend yield for the trailing twelve months is around 4.51%, more than AOA's 2.10% yield.


TTM20232022202120202019201820172016201520142013
GAA
Cambria Global Asset Allocation ETF
4.51%3.73%6.05%4.21%2.73%3.32%3.00%2.35%2.81%2.49%0.57%0.00%
AOA
iShares Core Aggressive Allocation ETF
2.10%2.22%2.10%1.67%1.71%2.50%2.37%5.09%2.02%2.15%2.18%1.84%

Drawdowns

GAA vs. AOA - Drawdown Comparison

The maximum GAA drawdown since its inception was -26.57%, smaller than the maximum AOA drawdown of -28.38%. Use the drawdown chart below to compare losses from any high point for GAA and AOA. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.87%
-1.11%
GAA
AOA

Volatility

GAA vs. AOA - Volatility Comparison

Cambria Global Asset Allocation ETF (GAA) and iShares Core Aggressive Allocation ETF (AOA) have volatilities of 2.51% and 2.59%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
2.51%
2.59%
GAA
AOA