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

Key characteristics


GAAIYLD
YTD Return9.50%5.14%
1Y Return18.21%13.39%
3Y Return (Ann)2.00%-0.48%
5Y Return (Ann)6.01%0.83%
Sharpe Ratio1.732.20
Sortino Ratio2.473.26
Omega Ratio1.311.43
Calmar Ratio1.680.94
Martin Ratio11.6112.03
Ulcer Index1.51%1.08%
Daily Std Dev10.13%5.92%
Max Drawdown-26.57%-30.23%
Current Drawdown-1.12%-1.92%

Correlation

-0.50.00.51.00.6

The correlation between GAA and IYLD is 0.60, 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.

Performance

GAA vs. IYLD - Performance Comparison

In the year-to-date period, GAA achieves a 9.50% return, which is significantly higher than IYLD's 5.14% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.96%
4.69%
GAA
IYLD

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GAA vs. IYLD - Expense Ratio Comparison

GAA has a 0.41% expense ratio, which is lower than IYLD's 0.60% expense ratio.


IYLD
iShares Morningstar Multi-Asset Income ETF
Expense ratio chart for IYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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%

Risk-Adjusted Performance

GAA vs. IYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Global Asset Allocation ETF (GAA) and iShares Morningstar Multi-Asset Income ETF (IYLD). 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.


GAA
Sharpe ratio
The chart of Sharpe ratio for GAA, currently valued at 1.73, compared to the broader market-2.000.002.004.006.001.73
Sortino ratio
The chart of Sortino ratio for GAA, currently valued at 2.47, compared to the broader market0.005.0010.002.47
Omega ratio
The chart of Omega ratio for GAA, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for GAA, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.68
Martin ratio
The chart of Martin ratio for GAA, currently valued at 11.61, compared to the broader market0.0020.0040.0060.0080.00100.0011.61
IYLD
Sharpe ratio
The chart of Sharpe ratio for IYLD, currently valued at 2.20, compared to the broader market-2.000.002.004.006.002.20
Sortino ratio
The chart of Sortino ratio for IYLD, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for IYLD, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for IYLD, currently valued at 0.94, compared to the broader market0.005.0010.0015.000.94
Martin ratio
The chart of Martin ratio for IYLD, currently valued at 12.03, compared to the broader market0.0020.0040.0060.0080.00100.0012.03

GAA vs. IYLD - Sharpe Ratio Comparison

The current GAA Sharpe Ratio is 1.73, which is comparable to the IYLD Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of GAA and IYLD, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.73
2.20
GAA
IYLD

Dividends

GAA vs. IYLD - Dividend Comparison

GAA's dividend yield for the trailing twelve months is around 4.52%, less than IYLD's 5.12% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%
IYLD
iShares Morningstar Multi-Asset Income ETF
5.12%5.76%5.44%3.47%4.94%5.25%5.78%4.22%5.32%4.93%5.56%6.16%

Drawdowns

GAA vs. IYLD - Drawdown Comparison

The maximum GAA drawdown since its inception was -26.57%, smaller than the maximum IYLD drawdown of -30.23%. Use the drawdown chart below to compare losses from any high point for GAA and IYLD. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.12%
-1.92%
GAA
IYLD

Volatility

GAA vs. IYLD - Volatility Comparison

Cambria Global Asset Allocation ETF (GAA) has a higher volatility of 2.86% compared to iShares Morningstar Multi-Asset Income ETF (IYLD) at 1.16%. This indicates that GAA's price experiences larger fluctuations and is considered to be riskier than IYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
2.86%
1.16%
GAA
IYLD