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IYLD vs. GAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IYLDGAA
YTD Return5.06%9.44%
1Y Return13.76%17.91%
3Y Return (Ann)-0.59%1.95%
5Y Return (Ann)0.82%5.99%
Sharpe Ratio2.251.80
Sortino Ratio3.342.57
Omega Ratio1.441.32
Calmar Ratio0.961.75
Martin Ratio12.2812.02
Ulcer Index1.08%1.51%
Daily Std Dev5.91%10.11%
Max Drawdown-30.23%-26.57%
Current Drawdown-2.00%-1.18%

Correlation

-0.50.00.51.00.6

The correlation between IYLD and GAA is 0.60, 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.

Performance

IYLD vs. GAA - Performance Comparison

In the year-to-date period, IYLD achieves a 5.06% return, which is significantly lower than GAA's 9.44% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.61%
4.90%
IYLD
GAA

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IYLD vs. GAA - Expense Ratio Comparison

IYLD has a 0.60% expense ratio, which is higher than GAA's 0.41% expense ratio.


IYLD
iShares Morningstar Multi-Asset Income ETF
Expense ratio chart for IYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for GAA: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%

Risk-Adjusted Performance

IYLD vs. GAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Morningstar Multi-Asset Income ETF (IYLD) 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.


IYLD
Sharpe ratio
The chart of Sharpe ratio for IYLD, currently valued at 2.25, compared to the broader market-2.000.002.004.006.002.25
Sortino ratio
The chart of Sortino ratio for IYLD, currently valued at 3.34, compared to the broader market0.005.0010.003.34
Omega ratio
The chart of Omega ratio for IYLD, currently valued at 1.44, compared to the broader market1.001.502.002.503.001.44
Calmar ratio
The chart of Calmar ratio for IYLD, currently valued at 0.96, compared to the broader market0.005.0010.0015.000.96
Martin ratio
The chart of Martin ratio for IYLD, currently valued at 12.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.28
GAA
Sharpe ratio
The chart of Sharpe ratio for GAA, currently valued at 1.80, compared to the broader market-2.000.002.004.006.001.80
Sortino ratio
The chart of Sortino ratio for GAA, currently valued at 2.57, compared to the broader market0.005.0010.002.57
Omega ratio
The chart of Omega ratio for GAA, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for GAA, currently valued at 1.75, compared to the broader market0.005.0010.0015.001.75
Martin ratio
The chart of Martin ratio for GAA, currently valued at 12.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.02

IYLD vs. GAA - Sharpe Ratio Comparison

The current IYLD Sharpe Ratio is 2.25, which is comparable to the GAA Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of IYLD and GAA, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.25
1.80
IYLD
GAA

Dividends

IYLD vs. GAA - Dividend Comparison

IYLD's dividend yield for the trailing twelve months is around 5.13%, more than GAA's 4.52% yield.


TTM20232022202120202019201820172016201520142013
IYLD
iShares Morningstar Multi-Asset Income ETF
5.13%5.76%5.44%3.47%4.94%5.25%5.78%4.22%5.32%4.93%5.56%6.16%
GAA
Cambria Global Asset Allocation ETF
4.52%3.73%6.05%4.21%2.73%3.32%3.00%2.35%2.81%2.49%0.57%0.00%

Drawdowns

IYLD vs. GAA - Drawdown Comparison

The maximum IYLD drawdown since its inception was -30.23%, which is greater than GAA's maximum drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for IYLD and GAA. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.00%
-1.18%
IYLD
GAA

Volatility

IYLD vs. GAA - Volatility Comparison

The current volatility for iShares Morningstar Multi-Asset Income ETF (IYLD) is 1.14%, while Cambria Global Asset Allocation ETF (GAA) has a volatility of 2.87%. This indicates that IYLD experiences smaller price fluctuations and is considered to be less risky than GAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
1.14%
2.87%
IYLD
GAA