PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
GVAL vs. FDD
Performance
Return for Risk
Drawdowns
Volatility
Dividends

GVAL vs. FDD

Last updated Jun 13, 2026

GVAL (Cambria Global Value ETF) and FDD (First Trust STOXX European Select Dividend Index Fund) are both exchange-traded funds - GVAL is a Global Equities fund actively managed by Cambria, while FDD is a Europe Equities fund tracking the STOXX Europe Select Dividend 30. GVAL is actively managed, while FDD is passively managed. Over the past 10 years, GVAL returned 11.46%/yr vs 10.93%/yr for FDD. A 0.77 correlation means they provide meaningful diversification when combined. GVAL charges 0.64%/yr vs 0.58%/yr for FDD.

Performance

GVAL vs. FDD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Global Value ETF (GVAL) and First Trust STOXX European Select Dividend Index Fund (FDD). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, GVAL achieves a 16.63% return, which is significantly higher than FDD's 13.65% return. Both investments have delivered pretty close results over the past 10 years, with GVAL having a 11.46% annualized return and FDD not far behind at 10.93%.

GVAL

1D
1.47%
1M
3.88%
YTD
16.63%
6M
18.08%
1Y
40.92%
3Y*
26.84%
5Y*
13.64%
10Y*
11.46%

FDD

1D
0.81%
1M
1.80%
YTD
13.65%
6M
17.76%
1Y
33.97%
3Y*
26.21%
5Y*
11.32%
10Y*
10.93%
*Multi-year figures are annualized to reflect compound growth (CAGR)

GVAL vs. FDD - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
GVAL
Cambria Global Value ETF		16.63%55.87%2.59%13.30%-7.98%10.70%-8.51%17.24%-14.30%29.50%
FDD
First Trust STOXX European Select Dividend Index Fund		13.65%62.50%0.28%14.16%-16.14%16.03%-3.80%23.79%-8.98%19.07%

Correlation

The correlation between GVAL and FDD is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.77

Correlation (3Y)
Calculated over the trailing 3-year period

0.77

Correlation (5Y)
Calculated over the trailing 5-year period

0.79

Correlation (10Y)
Calculated over the trailing 10-year period

0.77

Correlation (All Time)
Calculated using the full available price history since Mar 12, 2014

0.77

The correlation between GVAL and FDD has been stable across timeframes, ranging from 0.77 to 0.79 - a consistent structural relationship.

GVAL vs. FDD - Sectors Allocation Comparison

Sectors
GVAL
FDD

Financial Services

16.5%
52.2%

Basic Materials

8.3%
2.9%

Energy

7.7%
10.8%

Real Estate

6.9%
3.5%

Technology

6.5%

-

Communication Services

4.6%
2.1%

Utilities

4.0%
6.0%

Industrials

3.6%
12.5%

Consumer Cyclical

2.6%
12.3%

Consumer Defensive

1.9%
3.7%

Healthcare

-

-

Financial Services

GVAL
16.5%
FDD
52.2%

Basic Materials

GVAL
8.3%
FDD
2.9%

Energy

GVAL
7.7%
FDD
10.8%

Real Estate

GVAL
6.9%
FDD
3.5%

Technology

GVAL
6.5%
FDD

-

Communication Services

GVAL
4.6%
FDD
2.1%

Utilities

GVAL
4.0%
FDD
6.0%

Industrials

GVAL
3.6%
FDD
12.5%

Consumer Cyclical

GVAL
2.6%
FDD
12.3%

Consumer Defensive

GVAL
1.9%
FDD
3.7%

Healthcare

GVAL

-

FDD

-

Compare stocks, funds, or ETFs

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

Cambria Global Value ETF

First Trust STOXX European Select Dividend Index Fund

Often compared with GVAL:
GVAL vs. EYLDGVAL vs. AUSFGVAL vs. SPMOGVAL vs. DFIVGVAL vs. VOOGVAL vs. AVESGVAL vs. VUG
Often compared with FDD:
FDD vs. EUFNFDD vs. FLAXFDD vs. VTIFDD vs. RFEUFDD vs. IQDFFDD vs. DVYFDD vs. IEUR

Return for Risk

GVAL vs. FDD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GVAL
GVAL Risk / Return Rank: 8484
Overall Rank
GVAL Sharpe Ratio Rank: 9090
Sharpe Ratio Rank
GVAL Sortino Ratio Rank: 8888
Sortino Ratio Rank
GVAL Omega Ratio Rank: 8787
Omega Ratio Rank
GVAL Calmar Ratio Rank: 7777
Calmar Ratio Rank
GVAL Martin Ratio Rank: 7979
Martin Ratio Rank
FDD
FDD Risk / Return Rank: 7575
Overall Rank
FDD Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
FDD Sortino Ratio Rank: 7575
Sortino Ratio Rank
FDD Omega Ratio Rank: 7171
Omega Ratio Rank
FDD Calmar Ratio Rank: 7979
Calmar Ratio Rank
FDD Martin Ratio Rank: 7373
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GVAL vs. FDD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Global Value ETF (GVAL) and First Trust STOXX European Select Dividend Index Fund (FDD). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

GVALFDDDifference
Sharpe ratioReturn per unit of total volatility
2.64
2.11

+0.52

Sortino ratioReturn per unit of downside risk
3.50
2.91

+0.59

Omega ratioGain probability vs. loss probability

1.47

1.36

+0.11

Calmar ratioReturn relative to maximum drawdown

3.48

3.58

-0.10

Martin ratioReturn relative to average drawdown

13.27

11.88

+1.39

GVAL vs. FDD - Sharpe Ratio Comparison

The current GVAL Sharpe Ratio is 2.64, which is comparable to the FDD Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of GVAL and FDD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

GVAL vs. FDD - Drawdown Comparison

The maximum GVAL drawdown since its inception was -46.82%, smaller than the maximum FDD drawdown of -74.77%. Use the drawdown chart below to compare losses from any high point for GVAL and FDD.

Loading charts...

Drawdown Indicators

GVALFDDDifference

Max Drawdown

Largest peak-to-trough decline

-46.82%

-74.77%

+27.95%

Max Drawdown (1Y)

Largest decline over 1 year

-11.50%

-9.39%

-2.11%

Max Drawdown (3Y)

Largest decline over 3 years

-15.72%

-13.06%

-2.66%

Max Drawdown (5Y)

Largest decline over 5 years

-30.83%

-35.11%

+4.28%

Max Drawdown (10Y)

Largest decline over 10 years

-46.82%

-41.43%

-5.39%

Current Drawdown

Current decline from peak

0.00%

-0.40%

+0.40%

Average Drawdown

Average peak-to-trough decline

-13.85%

-35.41%

+21.56%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.02%

2.83%

+0.19%

Volatility

GVAL vs. FDD - Volatility Comparison

Cambria Global Value ETF (GVAL) and First Trust STOXX European Select Dividend Index Fund (FDD) have volatilities of 6.00% and 5.91%, 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.

Loading charts...

Volatility by Period

GVALFDDDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.00%

5.91%

+0.09%

Volatility (6M)

Calculated over the trailing 6-month period

13.40%

12.98%

+0.42%

Volatility (1Y)

Calculated over the trailing 1-year period

15.18%

15.93%

-0.75%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.56%

18.48%

+0.08%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.20%

20.16%

-0.96%

GVAL vs. FDD - Expense Ratio Comparison

GVAL has a 0.64% expense ratio, which is higher than FDD's 0.58% expense ratio.

Dividends

GVAL vs. FDD - Dividend Comparison

GVAL's dividend yield for the trailing twelve months is around 2.77%, less than FDD's 3.48% yield.

PositionTTM20252024202320222021202020192018201720162015
FDD
First Trust STOXX European Select Dividend Index Fund		3.48%3.99%7.65%6.85%6.07%3.44%4.01%4.69%5.05%2.78%4.88%4.35%
GVAL
Cambria Global Value ETF		2.77%2.93%4.75%6.12%5.05%2.97%1.90%2.84%4.65%2.00%2.54%2.11%

Frequently Asked Questions

GVAL and FDD have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

GVAL has higher volatility (6.00%) compared to FDD (5.91%). In terms of maximum drawdown, GVAL dropped -46.82% vs FDD's -74.77%.

On 10-year performance, GVAL leads with 11.46% vs 10.93% for FDD. On fees, FDD is cheaper at 0.58% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, GVAL has performed better with a 11.46% return vs 10.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

FDD is cheaper with a 0.58% expense ratio, compared with 0.64% for GVAL.

FDD has the higher dividend yield at 3.48%, compared with 2.77% for GVAL.

GVAL is categorized as Global Equities, while FDD is Europe Equities. They also come from different issuers: Cambria and First Trust. Their fees differ too: 0.64% for GVAL and 0.58% for FDD.

GVAL currently has the higher Sharpe Ratio (2.64 vs 2.11), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for GVAL and FDD

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer