HGLB vs. GAA

Last updated Aug 5, 2026

HGLB (Highland Global Allocation Fund) and GAA (Cambria Global Asset Allocation ETF) are both funds - HGLB is a Global Allocation fund managed by Highland Funds, while GAA is a Diversified Portfolio fund actively managed by Cambria. Over the past 5 years, HGLB returned 7.24%/yr vs 6.47%/yr for GAA. Their 0.30 correlation means their historical movements had little consistent relationship. HGLB charges 0.02%/yr vs 0.40%/yr for GAA.

Performance

HGLB vs. GAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Highland Global Allocation Fund (HGLB) and Cambria Global Asset Allocation ETF (GAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HGLB achieves a -10.71% return, which is significantly lower than GAA's 9.14% return.

HGLB

• 1D: 0.66%
• 1M: -0.02%
• 6M: -7.93%
• YTD: -10.71%
• 1Y: 2.83%
• 3Y*: 8.57%
• 5Y*: 7.24%
• 10Y*: —
• ALL TIME*: 2.88%

GAA

• 1D: 0.54%
• 1M: 1.75%
• 6M: 4.87%
• YTD: 9.14%
• 1Y: 18.54%
• 3Y*: 12.96%
• 5Y*: 6.47%
• 10Y*: 7.26%
• ALL TIME*: 6.64%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GAA Cambria Global Asset Allocation ETF	$229.92K	$178.46K	$221.83K
HGLB Highland Global Allocation Fund	$542.62K	$586.65K	$709.82K

HGLB vs. GAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
HGLB Highland Global Allocation Fund	-10.71%	51.74%	-1.52%	-6.15%	14.53%	53.22%	-17.98%	-31.46%
GAA Cambria Global Asset Allocation ETF	9.14%	18.76%	6.67%	7.65%	-8.47%	11.17%	9.11%	8.12%

Correlation

The correlation between HGLB and GAA is 0.27, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.27
Correlation (3Y) Balances recent behavior with more history.	0.26
Correlation (5Y) Shows whether the relationship held over a longer period.	0.29
Correlation (All Time) Calculated using the full available price history since Feb 19, 2019	0.30

Return for Risk

HGLB vs. GAA — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

HGLB

HGLB Risk / Return Rank: 5
HGLB Sharpe Ratio Rank: 5
HGLB Sortino Ratio Rank: 5
HGLB Omega Ratio Rank: 5
HGLB Calmar Ratio Rank: 5
HGLB Martin Ratio Rank: 4

GAA

GAA Risk / Return Rank: 78
GAA Sharpe Ratio Rank: 78
GAA Sortino Ratio Rank: 77
GAA Omega Ratio Rank: 79
GAA Calmar Ratio Rank: 80
GAA Martin Ratio Rank: 79

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

HGLB vs. GAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Highland Global Allocation Fund (HGLB) and Cambria Global Asset Allocation ETF (GAA). 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.

	HGLB	GAA	Difference
Sharpe ratio: Return per unit of total volatility	0.13	1.98	-1.85
Sortino ratio: Return per unit of downside risk	0.35	2.77	-2.43
Omega ratio: Gain probability vs. loss probability	1.05	1.37	-0.32
Calmar ratio: Return relative to maximum drawdown	0.12	3.22	-3.10
Martin ratio: Return relative to average drawdown	0.20	11.43	-11.23

HGLB vs. GAA - Sharpe Ratio Comparison

The current HGLB Sharpe Ratio is 0.13, which is lower than the GAA Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of HGLB and GAA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

HGLB vs. GAA - Drawdown Comparison

The maximum HGLB drawdown since its inception was -70.40%, which is greater than GAA's maximum drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for HGLB and GAA.

Drawdown Indicators

	HGLB	GAA	Difference
Max Drawdown Largest peak-to-trough decline	-70.40%	-26.57%	-43.83%
Max Drawdown (1Y) Largest decline over 1 year	-24.13%	-5.78%	-18.35%
Max Drawdown (3Y) Largest decline over 3 years	-24.13%	-7.18%	-16.95%
Max Drawdown (5Y) Largest decline over 5 years	-29.88%	-18.47%	-11.41%
Max Drawdown (10Y) Largest decline over 10 years	—	-26.57%	—
Current Drawdown Current decline from peak	-20.56%	-0.89%	-19.67%
Average Drawdown Average peak-to-trough decline	-18.26%	-3.82%	-14.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	14.01%	1.63%	+12.38%

Volatility

HGLB vs. GAA - Volatility Comparison

Highland Global Allocation Fund (HGLB) has a higher volatility of 4.47% compared to Cambria Global Asset Allocation ETF (GAA) at 1.76%. This indicates that HGLB's price experiences larger fluctuations and is considered to be riskier than GAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HGLB	GAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.47%	1.76%	+2.71%
Volatility (6M) Calculated over the trailing 6-month period	13.08%	7.67%	+5.41%
Volatility (1Y) Calculated over the trailing 1-year period	21.17%	9.42%	+11.75%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.18%	11.31%	+10.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	27.49%	11.09%	+16.40%

HGLB vs. GAA - Expense Ratio Comparison

HGLB has a 0.02% expense ratio, which is lower than GAA's 0.40% expense ratio.

Dividends

HGLB vs. GAA - Dividend Comparison

HGLB's dividend yield for the trailing twelve months is around 13.65%, more than GAA's 3.48% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAA Cambria Global Asset Allocation ETF	3.48%	4.24%	3.88%	3.73%	6.05%	4.21%	2.73%	3.32%	3.01%	2.36%	2.82%	2.49%
HGLB Highland Global Allocation Fund	13.65%	11.57%	14.27%	12.82%	10.32%	9.39%	15.44%	11.35%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both HGLB and GAA in my portfolio?

HGLB and GAA have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HGLB or GAA?

HGLB has higher volatility (4.47%) compared to GAA (1.76%). In terms of maximum drawdown, HGLB dropped -70.40% vs GAA's -26.57%.

Which has better risk-adjusted returns?

GAA currently has the higher Sharpe Ratio (1.98 vs 0.13), 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.