SYLD vs. XMVM
Compare and contrast key facts about Cambria Shareholder Yield ETF (SYLD) and Invesco S&P MidCap Value with Momentum ETF (XMVM).
SYLD and XMVM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SYLD is an actively managed fund by Cambria. It was launched on May 14, 2013. XMVM is a passively managed fund by Invesco that tracks the performance of the S&P MidCap 400 High Momentum Value Index. It was launched on Mar 3, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SYLD or XMVM.
Performance
SYLD vs. XMVM - Performance Comparison
Returns By Period
In the year-to-date period, SYLD achieves a 10.02% return, which is significantly lower than XMVM's 18.25% return. Over the past 10 years, SYLD has outperformed XMVM with an annualized return of 11.81%, while XMVM has yielded a comparatively lower 10.21% annualized return.
SYLD
10.02%
-0.52%
4.68%
21.48%
15.87%
11.81%
XMVM
18.25%
3.04%
10.24%
30.43%
13.26%
10.21%
Key characteristics
| SYLD | XMVM | |
|---|---|---|
| Sharpe Ratio | 1.25 | 1.55 |
| Sortino Ratio | 1.84 | 2.27 |
| Omega Ratio | 1.22 | 1.28 |
| Calmar Ratio | 2.35 | 3.12 |
| Martin Ratio | 5.51 | 8.45 |
| Ulcer Index | 3.59% | 3.40% |
| Daily Std Dev | 15.82% | 18.59% |
| Max Drawdown | -45.36% | -62.83% |
| Current Drawdown | -2.27% | -2.87% |
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SYLD vs. XMVM - Expense Ratio Comparison
SYLD has a 0.59% expense ratio, which is higher than XMVM's 0.39% expense ratio.
Correlation
The correlation between SYLD and XMVM is 0.89, 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.
Risk-Adjusted Performance
SYLD vs. XMVM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Shareholder Yield ETF (SYLD) and Invesco S&P MidCap Value with Momentum ETF (XMVM). 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.
Dividends
SYLD vs. XMVM - Dividend Comparison
SYLD's dividend yield for the trailing twelve months is around 1.79%, more than XMVM's 1.29% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SYLD Cambria Shareholder Yield ETF | 1.79% | 1.92% | 2.20% | 2.22% | 2.00% | 2.07% | 2.52% | 1.48% | 1.92% | 6.45% | 3.89% | 0.82% |
XMVM Invesco S&P MidCap Value with Momentum ETF | 1.29% | 1.57% | 1.76% | 1.10% | 1.37% | 1.73% | 2.87% | 2.22% | 2.27% | 2.58% | 1.52% | 1.39% |
Drawdowns
SYLD vs. XMVM - Drawdown Comparison
The maximum SYLD drawdown since its inception was -45.36%, smaller than the maximum XMVM drawdown of -62.83%. Use the drawdown chart below to compare losses from any high point for SYLD and XMVM. For additional features, visit the drawdowns tool.
Volatility
SYLD vs. XMVM - Volatility Comparison
The current volatility for Cambria Shareholder Yield ETF (SYLD) is 5.70%, while Invesco S&P MidCap Value with Momentum ETF (XMVM) has a volatility of 8.28%. This indicates that SYLD experiences smaller price fluctuations and is considered to be less risky than XMVM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.