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

Correlation

The correlation between MDIV and GAA 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.


-0.50.00.51.00.6

Performance

MDIV vs. GAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Multi-Asset Diversified Income Index Fund (MDIV) and Cambria Global Asset Allocation ETF (GAA). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
6.54%
2.43%
MDIV
GAA

Key characteristics

Sharpe Ratio

MDIV:

1.37

GAA:

0.78

Sortino Ratio

MDIV:

1.92

GAA:

1.13

Omega Ratio

MDIV:

1.25

GAA:

1.14

Calmar Ratio

MDIV:

2.07

GAA:

1.32

Martin Ratio

MDIV:

8.83

GAA:

4.51

Ulcer Index

MDIV:

1.21%

GAA:

1.69%

Daily Std Dev

MDIV:

7.81%

GAA:

9.83%

Max Drawdown

MDIV:

-48.51%

GAA:

-26.57%

Current Drawdown

MDIV:

-4.46%

GAA:

-3.65%

Returns By Period

In the year-to-date period, MDIV achieves a 9.58% return, which is significantly higher than GAA's 6.70% return. Over the past 10 years, MDIV has underperformed GAA with an annualized return of 3.40%, while GAA has yielded a comparatively higher 5.07% annualized return.


MDIV

YTD

9.58%

1M

-2.26%

6M

6.54%

1Y

10.13%

5Y*

3.25%

10Y*

3.40%

GAA

YTD

6.70%

1M

-1.75%

6M

2.42%

1Y

5.18%

5Y*

5.03%

10Y*

5.07%

Compare stocks, funds, or ETFs

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


MDIV vs. GAA - Expense Ratio Comparison

MDIV has a 0.73% expense ratio, which is higher than GAA's 0.41% expense ratio.


MDIV
First Trust Multi-Asset Diversified Income Index Fund
Expense ratio chart for MDIV: current value at 0.73% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.73%
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

MDIV vs. GAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Multi-Asset Diversified Income Index Fund (MDIV) 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.


Sharpe ratio
The chart of Sharpe ratio for MDIV, currently valued at 1.37, compared to the broader market0.002.004.001.370.78
The chart of Sortino ratio for MDIV, currently valued at 1.92, compared to the broader market-2.000.002.004.006.008.0010.001.921.13
The chart of Omega ratio for MDIV, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.14
The chart of Calmar ratio for MDIV, currently valued at 2.07, compared to the broader market0.005.0010.0015.002.071.32
The chart of Martin ratio for MDIV, currently valued at 8.83, compared to the broader market0.0020.0040.0060.0080.00100.008.834.51
MDIV
GAA

The current MDIV Sharpe Ratio is 1.37, which is higher than the GAA Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of MDIV 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.37
0.78
MDIV
GAA

Dividends

MDIV vs. GAA - Dividend Comparison

MDIV's dividend yield for the trailing twelve months is around 7.04%, more than GAA's 4.64% yield.


TTM20232022202120202019201820172016201520142013
MDIV
First Trust Multi-Asset Diversified Income Index Fund
7.04%6.47%6.70%5.31%6.01%5.91%6.76%6.05%6.36%6.16%5.74%5.68%
GAA
Cambria Global Asset Allocation ETF
4.64%3.73%6.05%4.21%2.73%3.32%3.00%2.35%2.81%2.49%0.57%0.00%

Drawdowns

MDIV vs. GAA - Drawdown Comparison

The maximum MDIV drawdown since its inception was -48.51%, which is greater than GAA's maximum drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for MDIV and GAA. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.46%
-3.65%
MDIV
GAA

Volatility

MDIV vs. GAA - Volatility Comparison

First Trust Multi-Asset Diversified Income Index Fund (MDIV) has a higher volatility of 2.73% compared to Cambria Global Asset Allocation ETF (GAA) at 2.47%. This indicates that MDIV'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.


1.50%2.00%2.50%3.00%3.50%JulyAugustSeptemberOctoberNovemberDecember
2.73%
2.47%
MDIV
GAA
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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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