GVAL vs. AUSF
Compare and contrast key facts about Cambria Global Value ETF (GVAL) and Global X Adaptive U.S. Factor ETF (AUSF).
GVAL and AUSF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GVAL is an actively managed fund by Cambria. It was launched on Mar 12, 2014. AUSF is a passively managed fund by Global X that tracks the performance of the Adaptive Wealth Strategies U.S. Factor Index (USD). It was launched on Aug 24, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GVAL or AUSF.
Key characteristics
| GVAL | AUSF | |
|---|---|---|
| YTD Return | 9.18% | 9.54% |
| 1Y Return | 20.08% | 35.96% |
| 3Y Return (Ann) | 4.17% | 12.59% |
| 5Y Return (Ann) | 5.38% | 13.66% |
| Sharpe Ratio | 1.41 | 2.96 |
| Daily Std Dev | 13.83% | 12.52% |
| Max Drawdown | -46.82% | -44.24% |
| Current Drawdown | 0.00% | -0.82% |
Correlation
The correlation between GVAL and AUSF is 0.63, 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
GVAL vs. AUSF - Performance Comparison
The year-to-date returns for both investments are quite close, with GVAL having a 9.18% return and AUSF slightly higher at 9.54%. 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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GVAL vs. AUSF - Expense Ratio Comparison
GVAL has a 0.71% expense ratio, which is higher than AUSF's 0.27% expense ratio.
Risk-Adjusted Performance
GVAL vs. AUSF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Global Value ETF (GVAL) and Global X Adaptive U.S. Factor ETF (AUSF). 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
GVAL vs. AUSF - Dividend Comparison
GVAL's dividend yield for the trailing twelve months is around 5.01%, more than AUSF's 1.91% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
GVAL Cambria Global Value ETF | 5.01% | 6.12% | 5.05% | 2.97% | 1.90% | 2.84% | 4.65% | 2.00% | 2.54% | 2.11% | 1.59% |
AUSF Global X Adaptive U.S. Factor ETF | 1.91% | 1.83% | 1.99% | 2.22% | 2.95% | 4.02% | 1.46% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
GVAL vs. AUSF - Drawdown Comparison
The maximum GVAL drawdown since its inception was -46.82%, which is greater than AUSF's maximum drawdown of -44.24%. Use the drawdown chart below to compare losses from any high point for GVAL and AUSF. For additional features, visit the drawdowns tool.
Volatility
GVAL vs. AUSF - Volatility Comparison
Cambria Global Value ETF (GVAL) has a higher volatility of 3.50% compared to Global X Adaptive U.S. Factor ETF (AUSF) at 2.44%. This indicates that GVAL's price experiences larger fluctuations and is considered to be riskier than AUSF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.