PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SYLD vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SYLDVUG
YTD Return4.64%14.49%
1Y Return27.94%37.14%
3Y Return (Ann)5.53%10.28%
5Y Return (Ann)17.76%18.67%
10Y Return (Ann)11.90%15.10%
Sharpe Ratio1.782.57
Daily Std Dev15.32%15.46%
Max Drawdown-45.36%-50.68%
Current Drawdown-4.19%0.00%

Correlation

-0.50.00.51.00.7

The correlation between SYLD and VUG is 0.66, 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

SYLD vs. VUG - Performance Comparison

In the year-to-date period, SYLD achieves a 4.64% return, which is significantly lower than VUG's 14.49% return. Over the past 10 years, SYLD has underperformed VUG with an annualized return of 11.90%, while VUG has yielded a comparatively higher 15.10% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


250.00%300.00%350.00%400.00%December2024FebruaryMarchAprilMay
272.57%
386.30%
SYLD
VUG

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Cambria Shareholder Yield ETF

Vanguard Growth ETF

SYLD vs. VUG - Expense Ratio Comparison

SYLD has a 0.59% expense ratio, which is higher than VUG's 0.04% expense ratio.


SYLD
Cambria Shareholder Yield ETF
Expense ratio chart for SYLD: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SYLD vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Shareholder Yield ETF (SYLD) and Vanguard Growth ETF (VUG). 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.


SYLD
Sharpe ratio
The chart of Sharpe ratio for SYLD, currently valued at 1.78, compared to the broader market0.002.004.006.001.78
Sortino ratio
The chart of Sortino ratio for SYLD, currently valued at 2.68, compared to the broader market0.005.0010.002.68
Omega ratio
The chart of Omega ratio for SYLD, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for SYLD, currently valued at 1.65, compared to the broader market0.005.0010.0015.001.65
Martin ratio
The chart of Martin ratio for SYLD, currently valued at 7.97, compared to the broader market0.0020.0040.0060.0080.00100.007.97
VUG
Sharpe ratio
The chart of Sharpe ratio for VUG, currently valued at 2.57, compared to the broader market0.002.004.006.002.57
Sortino ratio
The chart of Sortino ratio for VUG, currently valued at 3.48, compared to the broader market0.005.0010.003.48
Omega ratio
The chart of Omega ratio for VUG, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.001.44
Calmar ratio
The chart of Calmar ratio for VUG, currently valued at 2.07, compared to the broader market0.005.0010.0015.002.07
Martin ratio
The chart of Martin ratio for VUG, currently valued at 12.52, compared to the broader market0.0020.0040.0060.0080.00100.0012.52

SYLD vs. VUG - Sharpe Ratio Comparison

The current SYLD Sharpe Ratio is 1.78, which is lower than the VUG Sharpe Ratio of 2.57. The chart below compares the 12-month rolling Sharpe Ratio of SYLD and VUG.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50December2024FebruaryMarchAprilMay
1.78
2.57
SYLD
VUG

Dividends

SYLD vs. VUG - Dividend Comparison

SYLD's dividend yield for the trailing twelve months is around 1.77%, more than VUG's 0.52% yield.


TTM20232022202120202019201820172016201520142013
SYLD
Cambria Shareholder Yield ETF
1.77%1.92%2.20%2.22%1.99%2.08%2.52%1.40%1.92%2.11%1.77%0.83%
VUG
Vanguard Growth ETF
0.52%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

SYLD vs. VUG - Drawdown Comparison

The maximum SYLD drawdown since its inception was -45.36%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for SYLD and VUG. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-4.19%
0
SYLD
VUG

Volatility

SYLD vs. VUG - Volatility Comparison

The current volatility for Cambria Shareholder Yield ETF (SYLD) is 3.61%, while Vanguard Growth ETF (VUG) has a volatility of 4.05%. This indicates that SYLD experiences smaller price fluctuations and is considered to be less risky than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%December2024FebruaryMarchAprilMay
3.61%
4.05%
SYLD
VUG