GMOM vs. ITOT
Compare and contrast key facts about Cambria Global Momentum ETF (GMOM) and iShares Core S&P Total U.S. Stock Market ETF (ITOT).
GMOM and ITOT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GMOM is an actively managed fund by Cambria. It was launched on Nov 4, 2014. ITOT is a passively managed fund by iShares that tracks the performance of the S&P Composite 1500 Index. It was launched on Jan 20, 2004.
Performance
GMOM vs. ITOT - Performance Comparison
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GMOM vs. ITOT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMOM Cambria Global Momentum ETF | 7.43% | 20.63% | 6.75% | 0.65% | -2.82% | 19.13% | 2.42% | 8.24% | -9.61% | 20.67% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | -3.15% | 17.00% | 23.80% | 26.12% | -19.47% | 25.68% | 20.71% | 30.67% | -5.33% | 21.37% |
Returns By Period
In the year-to-date period, GMOM achieves a 7.43% return, which is significantly higher than ITOT's -3.15% return. Over the past 10 years, GMOM has underperformed ITOT with an annualized return of 7.24%, while ITOT has yielded a comparatively higher 13.71% annualized return.
GMOM
- 1D
- -0.55%
- 1M
- -2.16%
- YTD
- 7.43%
- 6M
- 11.68%
- 1Y
- 27.12%
- 3Y*
- 12.16%
- 5Y*
- 7.61%
- 10Y*
- 7.24%
ITOT
- 1D
- 0.16%
- 1M
- -3.24%
- YTD
- -3.15%
- 6M
- -1.32%
- 1Y
- 17.82%
- 3Y*
- 18.06%
- 5Y*
- 10.65%
- 10Y*
- 13.71%
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GMOM vs. ITOT - Expense Ratio Comparison
GMOM has a 0.96% expense ratio, which is higher than ITOT's 0.03% expense ratio.
Return for Risk
GMOM vs. ITOT — Risk / Return Rank
GMOM
ITOT
GMOM vs. ITOT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Global Momentum ETF (GMOM) and iShares Core S&P Total U.S. Stock Market ETF (ITOT). 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.
| GMOM | ITOT | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.72 | 0.96 | +0.76 |
Sortino ratioReturn per unit of downside risk | 2.29 | 1.47 | +0.82 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.22 | +0.12 |
Calmar ratioReturn relative to maximum drawdown | 2.63 | 1.52 | +1.11 |
Martin ratioReturn relative to average drawdown | 11.02 | 7.10 | +3.92 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GMOM | ITOT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.72 | 0.96 | +0.76 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.53 | 0.62 | -0.09 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.57 | 0.75 | -0.18 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.54 | -0.07 |
Correlation
The correlation between GMOM and ITOT is 0.59, 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.
Dividends
GMOM vs. ITOT - Dividend Comparison
GMOM's dividend yield for the trailing twelve months is around 1.64%, more than ITOT's 1.12% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMOM Cambria Global Momentum ETF | 1.64% | 3.01% | 2.16% | 3.63% | 2.52% | 3.42% | 1.24% | 2.60% | 1.90% | 2.05% | 1.77% | 1.88% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | 1.12% | 1.11% | 1.23% | 1.47% | 1.66% | 1.18% | 1.41% | 1.88% | 2.14% | 1.69% | 1.83% | 2.01% |
Drawdowns
GMOM vs. ITOT - Drawdown Comparison
The maximum GMOM drawdown since its inception was -25.03%, smaller than the maximum ITOT drawdown of -55.20%. Use the drawdown chart below to compare losses from any high point for GMOM and ITOT.
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Drawdown Indicators
| GMOM | ITOT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.03% | -55.20% | +30.17% |
Max Drawdown (1Y)Largest decline over 1 year | -9.57% | -8.90% | -0.67% |
Max Drawdown (5Y)Largest decline over 5 years | -19.16% | -25.36% | +6.20% |
Max Drawdown (10Y)Largest decline over 10 years | -25.03% | -35.00% | +9.97% |
Current DrawdownCurrent decline from peak | -5.70% | -5.36% | -0.34% |
Average DrawdownAverage peak-to-trough decline | -7.89% | -7.02% | -0.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.52% | 2.63% | -0.11% |
Volatility
GMOM vs. ITOT - Volatility Comparison
Cambria Global Momentum ETF (GMOM) has a higher volatility of 5.92% compared to iShares Core S&P Total U.S. Stock Market ETF (ITOT) at 5.43%. This indicates that GMOM's price experiences larger fluctuations and is considered to be riskier than ITOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMOM | ITOT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.92% | 5.43% | +0.49% |
Volatility (6M)Calculated over the trailing 6-month period | 11.87% | 9.78% | +2.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.81% | 18.68% | -2.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.50% | 17.36% | -2.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.76% | 18.24% | -5.48% |