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MYLD vs. VB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MYLD and VB is 0.64, 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

MYLD vs. VB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Micro And Smallcap Shareholder Yield ETF (MYLD) and Vanguard Small-Cap ETF (VB). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

MYLD:

-0.36

VB:

0.23

Sortino Ratio

MYLD:

-0.32

VB:

0.45

Omega Ratio

MYLD:

0.96

VB:

1.06

Calmar Ratio

MYLD:

-0.27

VB:

0.18

Martin Ratio

MYLD:

-0.69

VB:

0.55

Ulcer Index

MYLD:

11.01%

VB:

8.41%

Daily Std Dev

MYLD:

23.17%

VB:

22.91%

Max Drawdown

MYLD:

-28.23%

VB:

-59.57%

Current Drawdown

MYLD:

-17.10%

VB:

-12.08%

Returns By Period

In the year-to-date period, MYLD achieves a -8.74% return, which is significantly lower than VB's -4.65% return.


MYLD

YTD

-8.74%

1M

6.50%

6M

-15.89%

1Y

-8.16%

3Y*

N/A

5Y*

N/A

10Y*

N/A

VB

YTD

-4.65%

1M

5.57%

6M

-11.72%

1Y

5.21%

3Y*

7.07%

5Y*

11.52%

10Y*

8.00%

*Annualized

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Vanguard Small-Cap ETF

MYLD vs. VB - Expense Ratio Comparison

MYLD has a 0.59% expense ratio, which is higher than VB's 0.05% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

MYLD vs. VB — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MYLD
The Risk-Adjusted Performance Rank of MYLD is 77
Overall Rank
The Sharpe Ratio Rank of MYLD is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of MYLD is 77
Sortino Ratio Rank
The Omega Ratio Rank of MYLD is 77
Omega Ratio Rank
The Calmar Ratio Rank of MYLD is 66
Calmar Ratio Rank
The Martin Ratio Rank of MYLD is 88
Martin Ratio Rank

VB
The Risk-Adjusted Performance Rank of VB is 2525
Overall Rank
The Sharpe Ratio Rank of VB is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of VB is 2626
Sortino Ratio Rank
The Omega Ratio Rank of VB is 2525
Omega Ratio Rank
The Calmar Ratio Rank of VB is 2626
Calmar Ratio Rank
The Martin Ratio Rank of VB is 2424
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MYLD vs. VB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Micro And Smallcap Shareholder Yield ETF (MYLD) and Vanguard Small-Cap ETF (VB). 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.


The current MYLD Sharpe Ratio is -0.36, which is lower than the VB Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of MYLD and VB, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

MYLD vs. VB - Dividend Comparison

MYLD's dividend yield for the trailing twelve months is around 8.30%, more than VB's 1.48% yield.


TTM20242023202220212020201920182017201620152014
MYLD
Cambria Micro And Smallcap Shareholder Yield ETF
8.30%3.26%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VB
Vanguard Small-Cap ETF
1.48%1.30%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%

Drawdowns

MYLD vs. VB - Drawdown Comparison

The maximum MYLD drawdown since its inception was -28.23%, smaller than the maximum VB drawdown of -59.57%. Use the drawdown chart below to compare losses from any high point for MYLD and VB.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

MYLD vs. VB - Volatility Comparison

Cambria Micro And Smallcap Shareholder Yield ETF (MYLD) has a higher volatility of 6.90% compared to Vanguard Small-Cap ETF (VB) at 6.27%. This indicates that MYLD's price experiences larger fluctuations and is considered to be riskier than VB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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