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

Key characteristics


RSBTGAA
YTD Return-2.14%9.44%
1Y Return-0.01%17.91%
Sharpe Ratio-0.021.80
Sortino Ratio0.062.57
Omega Ratio1.011.32
Calmar Ratio-0.021.75
Martin Ratio-0.0612.02
Ulcer Index4.98%1.51%
Daily Std Dev13.79%10.11%
Max Drawdown-18.78%-26.57%
Current Drawdown-16.53%-1.18%

Correlation

-0.50.00.51.00.4

The correlation between RSBT and GAA is 0.36, 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.

Performance

RSBT vs. GAA - Performance Comparison

In the year-to-date period, RSBT achieves a -2.14% 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.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-7.20%
4.90%
RSBT
GAA

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RSBT vs. GAA - Expense Ratio Comparison

RSBT has a 0.97% expense ratio, which is higher than GAA's 0.41% expense ratio.


RSBT
Return Stacked Bonds & Managed Futures ETF
Expense ratio chart for RSBT: current value at 0.97% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.97%
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

RSBT vs. GAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Return Stacked Bonds & Managed Futures ETF (RSBT) 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.


RSBT
Sharpe ratio
The chart of Sharpe ratio for RSBT, currently valued at -0.02, compared to the broader market-2.000.002.004.00-0.02
Sortino ratio
The chart of Sortino ratio for RSBT, currently valued at 0.06, compared to the broader market-2.000.002.004.006.008.0010.0012.000.06
Omega ratio
The chart of Omega ratio for RSBT, currently valued at 1.01, compared to the broader market1.001.502.002.503.001.01
Calmar ratio
The chart of Calmar ratio for RSBT, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.02
Martin ratio
The chart of Martin ratio for RSBT, currently valued at -0.06, compared to the broader market0.0020.0040.0060.0080.00100.00-0.06
GAA
Sharpe ratio
The chart of Sharpe ratio for GAA, currently valued at 1.80, compared to the broader market-2.000.002.004.001.80
Sortino ratio
The chart of Sortino ratio for GAA, currently valued at 2.57, compared to the broader market-2.000.002.004.006.008.0010.0012.002.57
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 3.49, compared to the broader market0.005.0010.0015.003.49
Martin ratio
The chart of Martin ratio for GAA, currently valued at 12.02, compared to the broader market0.0020.0040.0060.0080.00100.0012.02

RSBT vs. GAA - Sharpe Ratio Comparison

The current RSBT Sharpe Ratio is -0.02, which is lower than the GAA Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of RSBT 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
-0.02
1.80
RSBT
GAA

Dividends

RSBT vs. GAA - Dividend Comparison

RSBT's dividend yield for the trailing twelve months is around 2.43%, less than GAA's 4.52% yield.


TTM2023202220212020201920182017201620152014
RSBT
Return Stacked Bonds & Managed Futures ETF
2.43%2.38%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%

Drawdowns

RSBT vs. GAA - Drawdown Comparison

The maximum RSBT drawdown since its inception was -18.78%, smaller than the maximum GAA drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for RSBT and GAA. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-16.53%
-1.18%
RSBT
GAA

Volatility

RSBT vs. GAA - Volatility Comparison

Return Stacked Bonds & Managed Futures ETF (RSBT) has a higher volatility of 4.26% compared to Cambria Global Asset Allocation ETF (GAA) at 2.87%. This indicates that RSBT'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.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.26%
2.87%
RSBT
GAA