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SYLD vs. SPGP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SYLD and SPGP is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.8

Performance

SYLD vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Shareholder Yield ETF (SYLD) and Invesco S&P 500 GARP ETF (SPGP). The values are adjusted to include any dividend payments, if applicable.

200.00%250.00%300.00%350.00%400.00%NovemberDecember2025FebruaryMarchApril
226.26%
332.22%
SYLD
SPGP

Key characteristics

Sharpe Ratio

SYLD:

-0.61

SPGP:

-0.18

Sortino Ratio

SYLD:

-0.76

SPGP:

-0.11

Omega Ratio

SYLD:

0.90

SPGP:

0.98

Calmar Ratio

SYLD:

-0.48

SPGP:

-0.18

Martin Ratio

SYLD:

-1.49

SPGP:

-0.64

Ulcer Index

SYLD:

8.64%

SPGP:

6.27%

Daily Std Dev

SYLD:

21.22%

SPGP:

21.93%

Max Drawdown

SYLD:

-45.36%

SPGP:

-42.08%

Current Drawdown

SYLD:

-20.17%

SPGP:

-13.92%

Returns By Period

In the year-to-date period, SYLD achieves a -11.36% return, which is significantly lower than SPGP's -8.00% return. Over the past 10 years, SYLD has underperformed SPGP with an annualized return of 9.35%, while SPGP has yielded a comparatively higher 12.07% annualized return.


SYLD

YTD

-11.36%

1M

-7.45%

6M

-13.63%

1Y

-12.38%

5Y*

20.01%

10Y*

9.35%

SPGP

YTD

-8.00%

1M

-5.77%

6M

-8.06%

1Y

-4.17%

5Y*

15.93%

10Y*

12.07%

*Annualized

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SYLD vs. SPGP - Expense Ratio Comparison

SYLD has a 0.59% expense ratio, which is higher than SPGP's 0.36% expense ratio.


Expense ratio chart for SYLD: current value is 0.59%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SYLD: 0.59%
Expense ratio chart for SPGP: current value is 0.36%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPGP: 0.36%

Risk-Adjusted Performance

SYLD vs. SPGP — Risk-Adjusted Performance Rank

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

SYLD
The Risk-Adjusted Performance Rank of SYLD is 22
Overall Rank
The Sharpe Ratio Rank of SYLD is 33
Sharpe Ratio Rank
The Sortino Ratio Rank of SYLD is 33
Sortino Ratio Rank
The Omega Ratio Rank of SYLD is 33
Omega Ratio Rank
The Calmar Ratio Rank of SYLD is 22
Calmar Ratio Rank
The Martin Ratio Rank of SYLD is 22
Martin Ratio Rank

SPGP
The Risk-Adjusted Performance Rank of SPGP is 1010
Overall Rank
The Sharpe Ratio Rank of SPGP is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of SPGP is 1111
Sortino Ratio Rank
The Omega Ratio Rank of SPGP is 1111
Omega Ratio Rank
The Calmar Ratio Rank of SPGP is 99
Calmar Ratio Rank
The Martin Ratio Rank of SPGP is 99
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.

SYLD vs. SPGP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Shareholder Yield ETF (SYLD) and Invesco S&P 500 GARP ETF (SPGP). 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 chart of Sharpe ratio for SYLD, currently valued at -0.61, compared to the broader market-1.000.001.002.003.004.00
SYLD: -0.61
SPGP: -0.18
The chart of Sortino ratio for SYLD, currently valued at -0.76, compared to the broader market-2.000.002.004.006.008.00
SYLD: -0.76
SPGP: -0.11
The chart of Omega ratio for SYLD, currently valued at 0.90, compared to the broader market0.501.001.502.002.50
SYLD: 0.90
SPGP: 0.98
The chart of Calmar ratio for SYLD, currently valued at -0.48, compared to the broader market0.002.004.006.008.0010.0012.00
SYLD: -0.48
SPGP: -0.18
The chart of Martin ratio for SYLD, currently valued at -1.49, compared to the broader market0.0020.0040.0060.00
SYLD: -1.49
SPGP: -0.64

The current SYLD Sharpe Ratio is -0.61, which is lower than the SPGP Sharpe Ratio of -0.18. The chart below compares the historical Sharpe Ratios of SYLD and SPGP, 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 Ratio-1.50-1.00-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
-0.61
-0.18
SYLD
SPGP

Dividends

SYLD vs. SPGP - Dividend Comparison

SYLD's dividend yield for the trailing twelve months is around 2.34%, more than SPGP's 1.59% yield.


TTM20242023202220212020201920182017201620152014
SYLD
Cambria Shareholder Yield ETF
2.34%2.04%1.92%2.20%2.22%2.00%2.07%2.52%1.48%1.92%6.45%3.89%
SPGP
Invesco S&P 500 GARP ETF
1.59%1.38%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%

Drawdowns

SYLD vs. SPGP - Drawdown Comparison

The maximum SYLD drawdown since its inception was -45.36%, which is greater than SPGP's maximum drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for SYLD and SPGP. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-20.17%
-13.92%
SYLD
SPGP

Volatility

SYLD vs. SPGP - Volatility Comparison

The current volatility for Cambria Shareholder Yield ETF (SYLD) is 14.37%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 15.91%. This indicates that SYLD experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%NovemberDecember2025FebruaryMarchApril
14.37%
15.91%
SYLD
SPGP