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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GMOM or ITOT.
Key characteristics
| GMOM | ITOT | |
|---|---|---|
| YTD Return | 3.04% | 5.91% |
| 1Y Return | 4.55% | 25.65% |
| 3Y Return (Ann) | 1.18% | 6.42% |
| 5Y Return (Ann) | 5.08% | 12.47% |
| Sharpe Ratio | 0.44 | 2.06 |
| Daily Std Dev | 11.80% | 12.09% |
| Max Drawdown | -25.03% | -55.21% |
| Current Drawdown | -11.12% | -3.60% |
Correlation
The correlation between GMOM and ITOT is 0.57, 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
GMOM vs. ITOT - Performance Comparison
In the year-to-date period, GMOM achieves a 3.04% return, which is significantly lower than ITOT's 5.91% 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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GMOM vs. ITOT - Expense Ratio Comparison
GMOM has a 0.96% expense ratio, which is higher than ITOT's 0.03% expense ratio.
Risk-Adjusted Performance
GMOM vs. ITOT - Risk-Adjusted Performance 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.
Dividends
GMOM vs. ITOT - Dividend Comparison
GMOM's dividend yield for the trailing twelve months is around 3.22%, more than ITOT's 1.36% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMOM Cambria Global Momentum ETF | 3.22% | 3.63% | 2.52% | 3.42% | 1.24% | 2.60% | 1.90% | 2.05% | 1.77% | 1.88% | 1.09% | 0.00% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | 1.36% | 1.47% | 1.66% | 1.18% | 1.41% | 1.88% | 2.14% | 1.69% | 1.83% | 2.01% | 2.20% | 2.06% |
Drawdowns
GMOM vs. ITOT - Drawdown Comparison
The maximum GMOM drawdown since its inception was -25.03%, smaller than the maximum ITOT drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for GMOM and ITOT. For additional features, visit the drawdowns tool.
Volatility
GMOM vs. ITOT - Volatility Comparison
The current volatility for Cambria Global Momentum ETF (GMOM) is 3.56%, while iShares Core S&P Total U.S. Stock Market ETF (ITOT) has a volatility of 4.17%. This indicates that GMOM experiences smaller price fluctuations and is considered to be less risky than ITOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.