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

Correlation

The correlation between GVAL and VWO is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

GVAL vs. VWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Global Value ETF (GVAL) and Vanguard FTSE Emerging Markets ETF (VWO). The values are adjusted to include any dividend payments, if applicable.

20.00%30.00%40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
20.56%
59.40%
GVAL
VWO

Key characteristics

Sharpe Ratio

GVAL:

0.35

VWO:

1.05

Sortino Ratio

GVAL:

0.57

VWO:

1.54

Omega Ratio

GVAL:

1.07

VWO:

1.19

Calmar Ratio

GVAL:

0.51

VWO:

0.66

Martin Ratio

GVAL:

1.15

VWO:

4.30

Ulcer Index

GVAL:

4.20%

VWO:

3.64%

Daily Std Dev

GVAL:

13.60%

VWO:

14.94%

Max Drawdown

GVAL:

-46.82%

VWO:

-67.68%

Current Drawdown

GVAL:

-8.09%

VWO:

-10.25%

Returns By Period

In the year-to-date period, GVAL achieves a 1.93% return, which is significantly lower than VWO's 11.50% return. Over the past 10 years, GVAL has underperformed VWO with an annualized return of 3.91%, while VWO has yielded a comparatively higher 4.14% annualized return.


GVAL

YTD

1.93%

1M

-1.23%

6M

-0.14%

1Y

3.03%

5Y*

1.84%

10Y*

3.91%

VWO

YTD

11.50%

1M

0.16%

6M

3.77%

1Y

13.82%

5Y*

3.23%

10Y*

4.14%

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


GVAL vs. VWO - Expense Ratio Comparison

GVAL has a 0.71% expense ratio, which is higher than VWO's 0.08% 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 VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

GVAL vs. VWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Global Value ETF (GVAL) and Vanguard FTSE Emerging Markets ETF (VWO). 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 0.35, compared to the broader market0.002.004.000.351.05
The chart of Sortino ratio for GVAL, currently valued at 0.57, compared to the broader market-2.000.002.004.006.008.0010.000.571.54
The chart of Omega ratio for GVAL, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.19
The chart of Calmar ratio for GVAL, currently valued at 0.51, compared to the broader market0.005.0010.0015.000.510.66
The chart of Martin ratio for GVAL, currently valued at 1.15, compared to the broader market0.0020.0040.0060.0080.00100.001.154.30
GVAL
VWO

The current GVAL Sharpe Ratio is 0.35, which is lower than the VWO Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of GVAL and VWO, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.35
1.05
GVAL
VWO

Dividends

GVAL vs. VWO - Dividend Comparison

GVAL's dividend yield for the trailing twelve months is around 4.78%, more than VWO's 3.17% yield.


TTM20232022202120202019201820172016201520142013
GVAL
Cambria Global Value ETF
4.78%6.12%5.04%2.98%1.90%2.84%4.65%2.00%2.54%2.11%1.59%0.00%
VWO
Vanguard FTSE Emerging Markets ETF
3.17%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%2.73%

Drawdowns

GVAL vs. VWO - Drawdown Comparison

The maximum GVAL drawdown since its inception was -46.82%, smaller than the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for GVAL and VWO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.09%
-10.25%
GVAL
VWO

Volatility

GVAL vs. VWO - Volatility Comparison

The current volatility for Cambria Global Value ETF (GVAL) is 3.66%, while Vanguard FTSE Emerging Markets ETF (VWO) has a volatility of 4.30%. This indicates that GVAL experiences smaller price fluctuations and is considered to be less risky than VWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.66%
4.30%
GVAL
VWO
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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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