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

Key characteristics


SWOBXGAA
YTD Return14.93%7.79%
1Y Return19.85%16.28%
3Y Return (Ann)-1.24%1.45%
5Y Return (Ann)4.22%5.73%
Sharpe Ratio2.061.52
Sortino Ratio2.772.20
Omega Ratio1.401.27
Calmar Ratio0.981.50
Martin Ratio10.6210.18
Ulcer Index1.87%1.52%
Daily Std Dev9.62%10.17%
Max Drawdown-41.46%-26.57%
Current Drawdown-4.52%-2.67%

Correlation

-0.50.00.51.00.6

The correlation between SWOBX and GAA is 0.59, 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

SWOBX vs. GAA - Performance Comparison

In the year-to-date period, SWOBX achieves a 14.93% return, which is significantly higher than GAA's 7.79% 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%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.17%
3.42%
SWOBX
GAA

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SWOBX vs. GAA - Expense Ratio Comparison

SWOBX has a 0.00% expense ratio, which is lower than GAA's 0.41% expense ratio.


GAA
Cambria Global Asset Allocation ETF
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%
Expense ratio chart for SWOBX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

SWOBX vs. GAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Balanced Fund™ (SWOBX) 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.


SWOBX
Sharpe ratio
The chart of Sharpe ratio for SWOBX, currently valued at 2.06, compared to the broader market0.002.004.002.06
Sortino ratio
The chart of Sortino ratio for SWOBX, currently valued at 2.77, compared to the broader market0.005.0010.002.77
Omega ratio
The chart of Omega ratio for SWOBX, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for SWOBX, currently valued at 0.98, compared to the broader market0.005.0010.0015.0020.0025.000.98
Martin ratio
The chart of Martin ratio for SWOBX, currently valued at 10.62, compared to the broader market0.0020.0040.0060.0080.00100.0010.62
GAA
Sharpe ratio
The chart of Sharpe ratio for GAA, currently valued at 1.52, compared to the broader market0.002.004.001.52
Sortino ratio
The chart of Sortino ratio for GAA, currently valued at 2.20, compared to the broader market0.005.0010.002.20
Omega ratio
The chart of Omega ratio for GAA, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for GAA, currently valued at 1.50, compared to the broader market0.005.0010.0015.0020.0025.001.50
Martin ratio
The chart of Martin ratio for GAA, currently valued at 10.18, compared to the broader market0.0020.0040.0060.0080.00100.0010.18

SWOBX vs. GAA - Sharpe Ratio Comparison

The current SWOBX Sharpe Ratio is 2.06, which is higher than the GAA Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of SWOBX 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
2.06
1.52
SWOBX
GAA

Dividends

SWOBX vs. GAA - Dividend Comparison

SWOBX's dividend yield for the trailing twelve months is around 1.87%, less than GAA's 4.59% yield.


TTM20232022202120202019201820172016201520142013
SWOBX
Schwab Balanced Fund™
1.87%2.15%1.72%4.50%1.06%1.42%2.66%3.08%1.57%2.30%2.24%1.42%
GAA
Cambria Global Asset Allocation ETF
4.59%3.73%6.05%4.21%2.73%3.32%3.00%2.35%2.81%2.49%0.57%0.00%

Drawdowns

SWOBX vs. GAA - Drawdown Comparison

The maximum SWOBX drawdown since its inception was -41.46%, which is greater than GAA's maximum drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for SWOBX and GAA. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.52%
-2.67%
SWOBX
GAA

Volatility

SWOBX vs. GAA - Volatility Comparison

The current volatility for Schwab Balanced Fund™ (SWOBX) is 2.37%, while Cambria Global Asset Allocation ETF (GAA) has a volatility of 3.05%. This indicates that SWOBX 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.


1.50%2.00%2.50%3.00%3.50%4.00%JuneJulyAugustSeptemberOctoberNovember
2.37%
3.05%
SWOBX
GAA