GVAL vs. VWO
Compare and contrast key facts about Cambria Global Value ETF (GVAL) and Vanguard FTSE Emerging Markets ETF (VWO).
GVAL and VWO 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. VWO is a passively managed fund by Vanguard that tracks the performance of the FTSE Emerging Index. It was launched on Mar 4, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GVAL or VWO.
Performance
GVAL vs. VWO - Performance Comparison
Returns By Period
In the year-to-date period, GVAL achieves a 3.23% return, which is significantly lower than VWO's 11.32% return. Over the past 10 years, GVAL has underperformed VWO with an annualized return of 3.24%, while VWO has yielded a comparatively higher 3.41% annualized return.
GVAL
3.23%
-3.56%
-3.46%
7.48%
2.63%
3.24%
VWO
11.32%
-4.28%
3.75%
15.49%
4.42%
3.41%
Key characteristics
| GVAL | VWO | |
|---|---|---|
| Sharpe Ratio | 0.53 | 1.03 |
| Sortino Ratio | 0.81 | 1.53 |
| Omega Ratio | 1.10 | 1.19 |
| Calmar Ratio | 0.77 | 0.64 |
| Martin Ratio | 1.93 | 5.02 |
| Ulcer Index | 3.79% | 3.02% |
| Daily Std Dev | 13.65% | 14.72% |
| Max Drawdown | -46.82% | -67.68% |
| Current Drawdown | -6.92% | -10.39% |
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GVAL vs. VWO - Expense Ratio Comparison
GVAL has a 0.71% expense ratio, which is higher than VWO's 0.08% expense ratio.
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.
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.
Dividends
GVAL vs. VWO - Dividend Comparison
GVAL's dividend yield for the trailing twelve months is around 5.64%, more than VWO's 2.66% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GVAL Cambria Global Value ETF | 5.64% | 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 | 2.66% | 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.
Volatility
GVAL vs. VWO - Volatility Comparison
Cambria Global Value ETF (GVAL) has a higher volatility of 4.80% compared to Vanguard FTSE Emerging Markets ETF (VWO) at 4.47%. This indicates that GVAL's price experiences larger fluctuations and is considered to be riskier than VWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.