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

Performance

GAA vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Global Asset Allocation ETF (GAA) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.96%
0.89%
GAA
TLT

Returns By Period

In the year-to-date period, GAA achieves a 9.78% return, which is significantly higher than TLT's -5.52% return.


GAA

YTD

9.78%

1M

2.77%

6M

4.96%

1Y

15.05%

5Y (annualized)

6.02%

10Y (annualized)

N/A

TLT

YTD

-5.52%

1M

-1.49%

6M

0.89%

1Y

3.46%

5Y (annualized)

-6.08%

10Y (annualized)

-0.44%

Key characteristics


GAATLT
Sharpe Ratio1.510.23
Sortino Ratio2.150.43
Omega Ratio1.271.05
Calmar Ratio1.930.08
Martin Ratio9.530.55
Ulcer Index1.58%6.33%
Daily Std Dev9.98%14.73%
Max Drawdown-26.57%-48.35%
Current Drawdown-0.87%-41.13%

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GAA vs. TLT - Expense Ratio Comparison

GAA has a 0.41% expense ratio, which is higher than TLT's 0.15% 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 TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.0-0.0

The correlation between GAA and TLT is -0.01. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

GAA vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Global Asset Allocation ETF (GAA) and iShares 20+ Year Treasury Bond ETF (TLT). 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 market0.002.004.001.510.23
The chart of Sortino ratio for GAA, currently valued at 2.15, compared to the broader market-2.000.002.004.006.008.0010.0012.002.150.43
The chart of Omega ratio for GAA, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.05
The chart of Calmar ratio for GAA, currently valued at 1.93, compared to the broader market0.005.0010.0015.001.930.08
The chart of Martin ratio for GAA, currently valued at 9.53, compared to the broader market0.0020.0040.0060.0080.00100.009.530.55
GAA
TLT

The current GAA Sharpe Ratio is 1.51, which is higher than the TLT Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of GAA and TLT, 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 Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.51
0.23
GAA
TLT

Dividends

GAA vs. TLT - Dividend Comparison

GAA's dividend yield for the trailing twelve months is around 4.51%, more than TLT's 4.07% 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%
TLT
iShares 20+ Year Treasury Bond ETF
4.07%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

GAA vs. TLT - Drawdown Comparison

The maximum GAA drawdown since its inception was -26.57%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for GAA and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.87%
-41.13%
GAA
TLT

Volatility

GAA vs. TLT - Volatility Comparison

The current volatility for Cambria Global Asset Allocation ETF (GAA) is 2.51%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.59%. This indicates that GAA experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.51%
4.59%
GAA
TLT