PHDG vs. VAMO
Compare and contrast key facts about Invesco S&P 500 Downside Hedged ETF (PHDG) and Cambria Value and Momentum ETF (VAMO).
PHDG and VAMO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. PHDG is a passively managed fund by Invesco that tracks the performance of the S&P 500 Dynamic VEQTOR Index. It was launched on Dec 6, 2012. VAMO is an actively managed fund by Cambria. It was launched on Sep 8, 2015.
Performance
PHDG vs. VAMO - Performance Comparison
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PHDG vs. VAMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 1.32% | 2.72% | 10.95% | 8.18% | -14.09% | 15.67% | 18.97% | 8.57% | -2.44% | 15.89% |
VAMO Cambria Value and Momentum ETF | 4.13% | 16.51% | 6.11% | 5.58% | 8.55% | 32.16% | -4.92% | -4.63% | -11.43% | 3.82% |
Returns By Period
In the year-to-date period, PHDG achieves a 1.32% return, which is significantly lower than VAMO's 4.13% return. Over the past 10 years, PHDG has outperformed VAMO with an annualized return of 5.84%, while VAMO has yielded a comparatively lower 5.50% annualized return.
PHDG
- 1D
- 1.24%
- 1M
- -0.47%
- YTD
- 1.32%
- 6M
- 2.31%
- 1Y
- 5.85%
- 3Y*
- 6.85%
- 5Y*
- 3.87%
- 10Y*
- 5.84%
VAMO
- 1D
- 0.15%
- 1M
- 0.99%
- YTD
- 4.13%
- 6M
- 6.61%
- 1Y
- 22.55%
- 3Y*
- 13.50%
- 5Y*
- 9.63%
- 10Y*
- 5.50%
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PHDG vs. VAMO - Expense Ratio Comparison
PHDG has a 0.39% expense ratio, which is lower than VAMO's 0.65% expense ratio.
Return for Risk
PHDG vs. VAMO — Risk / Return Rank
PHDG
VAMO
PHDG vs. VAMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) and Cambria Value and Momentum ETF (VAMO). 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.
| PHDG | VAMO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.56 | 1.99 | -1.43 |
Sortino ratioReturn per unit of downside risk | 0.78 | 2.86 | -2.08 |
Omega ratioGain probability vs. loss probability | 1.12 | 1.35 | -0.23 |
Calmar ratioReturn relative to maximum drawdown | 0.74 | 4.01 | -3.26 |
Martin ratioReturn relative to average drawdown | 2.08 | 13.07 | -10.99 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| PHDG | VAMO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.56 | 1.99 | -1.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.36 | 0.54 | -0.18 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.49 | 0.31 | +0.19 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.46 | 0.25 | +0.20 |
Correlation
The correlation between PHDG and VAMO is 0.25, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
PHDG vs. VAMO - Dividend Comparison
PHDG's dividend yield for the trailing twelve months is around 2.09%, more than VAMO's 0.63% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 2.09% | 2.10% | 1.94% | 1.93% | 1.35% | 0.44% | 0.63% | 1.80% | 1.56% | 1.83% | 2.29% | 1.64% |
VAMO Cambria Value and Momentum ETF | 0.63% | 1.41% | 0.84% | 1.35% | 1.10% | 1.07% | 1.03% | 1.15% | 1.03% | 0.35% | 0.56% | 0.20% |
Drawdowns
PHDG vs. VAMO - Drawdown Comparison
The maximum PHDG drawdown since its inception was -17.70%, smaller than the maximum VAMO drawdown of -41.84%. Use the drawdown chart below to compare losses from any high point for PHDG and VAMO.
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Drawdown Indicators
| PHDG | VAMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.70% | -41.84% | +24.14% |
Max Drawdown (1Y)Largest decline over 1 year | -9.08% | -5.55% | -3.53% |
Max Drawdown (5Y)Largest decline over 5 years | -17.06% | -17.25% | +0.19% |
Max Drawdown (10Y)Largest decline over 10 years | -17.06% | -41.84% | +24.78% |
Current DrawdownCurrent decline from peak | -2.18% | -1.83% | -0.35% |
Average DrawdownAverage peak-to-trough decline | -6.32% | -10.10% | +3.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 1.70% | +1.56% |
Volatility
PHDG vs. VAMO - Volatility Comparison
The current volatility for Invesco S&P 500 Downside Hedged ETF (PHDG) is 2.76%, while Cambria Value and Momentum ETF (VAMO) has a volatility of 3.04%. This indicates that PHDG experiences smaller price fluctuations and is considered to be less risky than VAMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PHDG | VAMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.76% | 3.04% | -0.28% |
Volatility (6M)Calculated over the trailing 6-month period | 6.33% | 8.77% | -2.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.61% | 11.39% | -0.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.91% | 17.92% | -7.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.89% | 18.09% | -6.20% |