GVAL vs. VUG
Compare and contrast key facts about Cambria Global Value ETF (GVAL) and Vanguard Growth ETF (VUG).
GVAL and VUG 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. VUG is a passively managed fund by Vanguard that tracks the performance of the CRSP U.S. Large Cap Growth Index. It was launched on Jan 26, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GVAL or VUG.
Performance
GVAL vs. VUG - Performance Comparison
Returns By Period
In the year-to-date period, GVAL achieves a 2.91% return, which is significantly lower than VUG's 30.45% return. Over the past 10 years, GVAL has underperformed VUG with an annualized return of 3.24%, while VUG has yielded a comparatively higher 15.50% annualized return.
GVAL
2.91%
-3.06%
-4.05%
7.15%
2.56%
3.24%
VUG
30.45%
4.12%
13.94%
35.92%
19.10%
15.50%
Key characteristics
| GVAL | VUG | |
|---|---|---|
| Sharpe Ratio | 0.52 | 2.13 |
| Sortino Ratio | 0.80 | 2.79 |
| Omega Ratio | 1.10 | 1.39 |
| Calmar Ratio | 0.75 | 2.77 |
| Martin Ratio | 1.87 | 10.92 |
| Ulcer Index | 3.81% | 3.29% |
| Daily Std Dev | 13.65% | 16.83% |
| Max Drawdown | -46.82% | -50.68% |
| Current Drawdown | -7.21% | -1.17% |
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GVAL vs. VUG - Expense Ratio Comparison
GVAL has a 0.71% expense ratio, which is higher than VUG's 0.04% expense ratio.
Correlation
The correlation between GVAL and VUG is 0.55, 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.
Risk-Adjusted Performance
GVAL vs. VUG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Global Value ETF (GVAL) and Vanguard Growth ETF (VUG). 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. VUG - Dividend Comparison
GVAL's dividend yield for the trailing twelve months is around 5.65%, more than VUG's 0.49% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GVAL Cambria Global Value ETF | 5.65% | 6.12% | 5.04% | 2.98% | 1.90% | 2.84% | 4.65% | 2.00% | 2.54% | 2.11% | 1.59% | 0.00% |
VUG Vanguard Growth ETF | 0.49% | 0.58% | 0.70% | 0.48% | 0.66% | 0.95% | 1.32% | 1.14% | 1.39% | 1.30% | 1.21% | 1.19% |
Drawdowns
GVAL vs. VUG - Drawdown Comparison
The maximum GVAL drawdown since its inception was -46.82%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for GVAL and VUG. For additional features, visit the drawdowns tool.
Volatility
GVAL vs. VUG - Volatility Comparison
The current volatility for Cambria Global Value ETF (GVAL) is 4.69%, while Vanguard Growth ETF (VUG) has a volatility of 5.27%. This indicates that GVAL experiences smaller price fluctuations and is considered to be less risky than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.