PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GAA vs. OCIO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

GAA vs. OCIO - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.54%
7.80%
GAA
OCIO

Returns By Period

In the year-to-date period, GAA achieves a 9.64% return, which is significantly lower than OCIO's 13.96% return.


GAA

YTD

9.64%

1M

1.84%

6M

4.83%

1Y

14.82%

5Y (annualized)

5.90%

10Y (annualized)

N/A

OCIO

YTD

13.96%

1M

1.50%

6M

7.78%

1Y

18.41%

5Y (annualized)

8.14%

10Y (annualized)

N/A

Key characteristics


GAAOCIO
Sharpe Ratio1.482.03
Sortino Ratio2.122.83
Omega Ratio1.271.37
Calmar Ratio1.902.77
Martin Ratio9.3811.86
Ulcer Index1.58%1.56%
Daily Std Dev9.98%9.20%
Max Drawdown-26.57%-24.21%
Current Drawdown-1.00%-0.42%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


GAA vs. OCIO - Expense Ratio Comparison

GAA has a 0.41% expense ratio, which is lower than OCIO's 0.61% expense ratio.


OCIO
ClearShares OCIO ETF
Expense ratio chart for OCIO: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%
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%

Correlation

The correlation between GAA and OCIO is 0.54, 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.


-0.50.00.51.00.5

Risk-Adjusted Performance

GAA vs. OCIO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Global Asset Allocation ETF (GAA) and ClearShares OCIO ETF (OCIO). 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 1.48, compared to the broader market-2.000.002.004.006.001.482.01
The chart of Sortino ratio for GAA, currently valued at 2.12, compared to the broader market-2.000.002.004.006.008.0010.0012.002.122.81
The chart of Omega ratio for GAA, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.37
The chart of Calmar ratio for GAA, currently valued at 1.90, compared to the broader market0.005.0010.0015.001.902.75
The chart of Martin ratio for GAA, currently valued at 9.38, compared to the broader market0.0020.0040.0060.0080.00100.009.3811.76
GAA
OCIO

The current GAA Sharpe Ratio is 1.48, which is comparable to the OCIO Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of GAA and OCIO, 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
1.48
2.01
GAA
OCIO

Dividends

GAA vs. OCIO - Dividend Comparison

GAA's dividend yield for the trailing twelve months is around 4.51%, more than OCIO's 1.88% yield.


TTM2023202220212020201920182017201620152014
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%
OCIO
ClearShares OCIO ETF
1.88%2.32%3.21%2.83%2.90%2.22%2.16%0.84%0.00%0.00%0.00%

Drawdowns

GAA vs. OCIO - Drawdown Comparison

The maximum GAA drawdown since its inception was -26.57%, which is greater than OCIO's maximum drawdown of -24.21%. Use the drawdown chart below to compare losses from any high point for GAA and OCIO. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.00%
-0.42%
GAA
OCIO

Volatility

GAA vs. OCIO - Volatility Comparison

Cambria Global Asset Allocation ETF (GAA) and ClearShares OCIO ETF (OCIO) have volatilities of 2.51% and 2.61%, 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%
2.61%
GAA
OCIO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab