GAA vs. MDIV
Compare and contrast key facts about Cambria Global Asset Allocation ETF (GAA) and First Trust Multi-Asset Diversified Income Index Fund (MDIV).
GAA and MDIV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GAA is an actively managed fund by Cambria. It was launched on Dec 9, 2014. MDIV is a passively managed fund by First Trust that tracks the performance of the NASDAQ US Multi-Asset Diversified Income Index. It was launched on Aug 14, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GAA or MDIV.
Key characteristics
| GAA | MDIV | |
|---|---|---|
| YTD Return | 8.95% | 12.31% |
| 1Y Return | 16.74% | 21.52% |
| 3Y Return (Ann) | 1.82% | 6.69% |
| 5Y Return (Ann) | 5.93% | 4.30% |
| Sharpe Ratio | 1.72 | 2.68 |
| Sortino Ratio | 2.46 | 3.97 |
| Omega Ratio | 1.31 | 1.53 |
| Calmar Ratio | 1.68 | 4.33 |
| Martin Ratio | 11.48 | 21.98 |
| Ulcer Index | 1.51% | 0.99% |
| Daily Std Dev | 10.13% | 8.14% |
| Max Drawdown | -26.57% | -48.51% |
| Current Drawdown | -1.63% | 0.00% |
Correlation
The correlation between GAA and MDIV is 0.55, 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. MDIV - Performance Comparison
In the year-to-date period, GAA achieves a 8.95% return, which is significantly lower than MDIV's 12.31% 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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GAA vs. MDIV - Expense Ratio Comparison
GAA has a 0.41% expense ratio, which is lower than MDIV's 0.73% expense ratio.
Risk-Adjusted Performance
GAA vs. MDIV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Global Asset Allocation ETF (GAA) and First Trust Multi-Asset Diversified Income Index Fund (MDIV). 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
GAA vs. MDIV - Dividend Comparison
GAA's dividend yield for the trailing twelve months is around 4.54%, less than MDIV's 6.30% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GAA Cambria Global Asset Allocation ETF | 4.54% | 3.73% | 6.05% | 4.21% | 2.73% | 3.32% | 3.00% | 2.35% | 2.81% | 2.49% | 0.57% | 0.00% |
MDIV First Trust Multi-Asset Diversified Income Index Fund | 6.30% | 6.47% | 6.70% | 5.31% | 6.01% | 5.91% | 6.76% | 6.05% | 6.36% | 6.16% | 5.74% | 5.68% |
Drawdowns
GAA vs. MDIV - Drawdown Comparison
The maximum GAA drawdown since its inception was -26.57%, smaller than the maximum MDIV drawdown of -48.51%. Use the drawdown chart below to compare losses from any high point for GAA and MDIV. For additional features, visit the drawdowns tool.
Volatility
GAA vs. MDIV - Volatility Comparison
Cambria Global Asset Allocation ETF (GAA) has a higher volatility of 2.89% compared to First Trust Multi-Asset Diversified Income Index Fund (MDIV) at 2.22%. This indicates that GAA's price experiences larger fluctuations and is considered to be riskier than MDIV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.