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

Key characteristics


GAAVSMGX
YTD Return9.50%12.36%
1Y Return18.21%19.92%
3Y Return (Ann)2.00%1.34%
5Y Return (Ann)6.01%5.79%
Sharpe Ratio1.732.57
Sortino Ratio2.473.72
Omega Ratio1.311.48
Calmar Ratio1.681.45
Martin Ratio11.6115.90
Ulcer Index1.51%1.26%
Daily Std Dev10.13%7.79%
Max Drawdown-26.57%-41.18%
Current Drawdown-1.12%0.00%

Correlation

-0.50.00.51.00.7

The correlation between GAA and VSMGX 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.

Performance

GAA vs. VSMGX - Performance Comparison

In the year-to-date period, GAA achieves a 9.50% return, which is significantly lower than VSMGX's 12.36% 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%8.00%JuneJulyAugustSeptemberOctoberNovember
4.96%
8.07%
GAA
VSMGX

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GAA vs. VSMGX - Expense Ratio Comparison

GAA has a 0.41% expense ratio, which is higher than VSMGX's 0.13% 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 VSMGX: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

GAA vs. VSMGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Global Asset Allocation ETF (GAA) and Vanguard LifeStrategy Moderate Growth Fund (VSMGX). 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 market-2.000.002.004.006.008.0010.0012.002.47
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
VSMGX
Sharpe ratio
The chart of Sharpe ratio for VSMGX, currently valued at 2.57, compared to the broader market-2.000.002.004.006.002.57
Sortino ratio
The chart of Sortino ratio for VSMGX, currently valued at 3.72, compared to the broader market-2.000.002.004.006.008.0010.0012.003.72
Omega ratio
The chart of Omega ratio for VSMGX, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for VSMGX, currently valued at 1.45, compared to the broader market0.005.0010.0015.001.45
Martin ratio
The chart of Martin ratio for VSMGX, currently valued at 15.90, compared to the broader market0.0020.0040.0060.0080.00100.0015.90

GAA vs. VSMGX - Sharpe Ratio Comparison

The current GAA Sharpe Ratio is 1.73, which is lower than the VSMGX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of GAA and VSMGX, 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
1.73
2.57
GAA
VSMGX

Dividends

GAA vs. VSMGX - Dividend Comparison

GAA's dividend yield for the trailing twelve months is around 4.52%, more than VSMGX's 2.57% 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%
VSMGX
Vanguard LifeStrategy Moderate Growth Fund
2.57%2.63%2.10%1.91%1.71%2.45%2.65%2.15%2.22%2.19%2.10%1.93%

Drawdowns

GAA vs. VSMGX - Drawdown Comparison

The maximum GAA drawdown since its inception was -26.57%, smaller than the maximum VSMGX drawdown of -41.18%. Use the drawdown chart below to compare losses from any high point for GAA and VSMGX. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.12%
0
GAA
VSMGX

Volatility

GAA vs. VSMGX - Volatility Comparison

Cambria Global Asset Allocation ETF (GAA) has a higher volatility of 2.86% compared to Vanguard LifeStrategy Moderate Growth Fund (VSMGX) at 2.04%. This indicates that GAA's price experiences larger fluctuations and is considered to be riskier than VSMGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
2.86%
2.04%
GAA
VSMGX