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GVAL vs. AUSF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GVAL and AUSF is 0.62, 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.


-0.50.00.51.00.6

Performance

GVAL vs. AUSF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Global Value ETF (GVAL) and Global X Adaptive U.S. Factor ETF (AUSF). The values are adjusted to include any dividend payments, if applicable.

20.00%40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
15.51%
101.82%
GVAL
AUSF

Key characteristics

Sharpe Ratio

GVAL:

0.23

AUSF:

1.43

Sortino Ratio

GVAL:

0.40

AUSF:

2.13

Omega Ratio

GVAL:

1.05

AUSF:

1.26

Calmar Ratio

GVAL:

0.33

AUSF:

2.25

Martin Ratio

GVAL:

0.74

AUSF:

7.66

Ulcer Index

GVAL:

4.23%

AUSF:

2.20%

Daily Std Dev

GVAL:

13.52%

AUSF:

11.79%

Max Drawdown

GVAL:

-46.82%

AUSF:

-44.24%

Current Drawdown

GVAL:

-8.02%

AUSF:

-6.30%

Returns By Period

In the year-to-date period, GVAL achieves a 2.02% return, which is significantly lower than AUSF's 16.36% return.


GVAL

YTD

2.02%

1M

-0.87%

6M

-1.33%

1Y

3.26%

5Y*

1.76%

10Y*

3.90%

AUSF

YTD

16.36%

1M

-5.31%

6M

6.79%

1Y

16.66%

5Y*

12.88%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


GVAL vs. AUSF - Expense Ratio Comparison

GVAL has a 0.71% expense ratio, which is higher than AUSF's 0.27% expense ratio.


GVAL
Cambria Global Value ETF
Expense ratio chart for GVAL: current value at 0.71% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.71%
Expense ratio chart for AUSF: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%

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.


Sharpe ratio
The chart of Sharpe ratio for GVAL, currently valued at 0.23, compared to the broader market0.002.004.000.231.43
The chart of Sortino ratio for GVAL, currently valued at 0.40, compared to the broader market-2.000.002.004.006.008.0010.000.402.13
The chart of Omega ratio for GVAL, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.26
The chart of Calmar ratio for GVAL, currently valued at 0.33, compared to the broader market0.005.0010.0015.000.332.25
The chart of Martin ratio for GVAL, currently valued at 0.74, compared to the broader market0.0020.0040.0060.0080.00100.000.747.66
GVAL
AUSF

The current GVAL Sharpe Ratio is 0.23, which is lower than the AUSF Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of GVAL and AUSF, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.23
1.43
GVAL
AUSF

Dividends

GVAL vs. AUSF - Dividend Comparison

GVAL's dividend yield for the trailing twelve months is around 4.77%, more than AUSF's 2.28% yield.


TTM2023202220212020201920182017201620152014
GVAL
Cambria Global Value ETF
4.77%6.12%5.04%2.98%1.90%2.84%4.65%2.00%2.54%2.11%1.59%
AUSF
Global X Adaptive U.S. Factor ETF
2.28%1.83%1.99%2.22%2.95%4.03%1.47%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.02%
-6.30%
GVAL
AUSF

Volatility

GVAL vs. AUSF - Volatility Comparison

Cambria Global Value ETF (GVAL) and Global X Adaptive U.S. Factor ETF (AUSF) have volatilities of 3.66% and 3.58%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.66%
3.58%
GVAL
AUSF
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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