PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TAIL vs. DGRO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TAILDGRO
YTD Return-8.85%21.23%
1Y Return-7.36%33.72%
3Y Return (Ann)-12.23%8.55%
5Y Return (Ann)-8.84%12.22%
Sharpe Ratio-0.663.32
Sortino Ratio-0.934.70
Omega Ratio0.891.62
Calmar Ratio-0.153.79
Martin Ratio-1.1722.54
Ulcer Index6.70%1.44%
Daily Std Dev11.96%9.76%
Max Drawdown-51.07%-35.10%
Current Drawdown-50.64%0.00%

Correlation

-0.50.00.51.0-0.6

The correlation between TAIL and DGRO is -0.64. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

TAIL vs. DGRO - Performance Comparison

In the year-to-date period, TAIL achieves a -8.85% return, which is significantly lower than DGRO's 21.23% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.25%
12.33%
TAIL
DGRO

Compare stocks, funds, or ETFs

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


TAIL vs. DGRO - Expense Ratio Comparison

TAIL has a 0.59% expense ratio, which is higher than DGRO's 0.08% expense ratio.


TAIL
Cambria Tail Risk ETF
Expense ratio chart for TAIL: 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 DGRO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

TAIL vs. DGRO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) and iShares Core Dividend Growth ETF (DGRO). 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.


TAIL
Sharpe ratio
The chart of Sharpe ratio for TAIL, currently valued at -0.66, compared to the broader market-2.000.002.004.00-0.66
Sortino ratio
The chart of Sortino ratio for TAIL, currently valued at -0.93, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.93
Omega ratio
The chart of Omega ratio for TAIL, currently valued at 0.89, compared to the broader market1.001.502.002.503.000.89
Calmar ratio
The chart of Calmar ratio for TAIL, currently valued at -0.15, compared to the broader market0.005.0010.0015.00-0.15
Martin ratio
The chart of Martin ratio for TAIL, currently valued at -1.17, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.17
DGRO
Sharpe ratio
The chart of Sharpe ratio for DGRO, currently valued at 3.32, compared to the broader market-2.000.002.004.003.32
Sortino ratio
The chart of Sortino ratio for DGRO, currently valued at 4.70, compared to the broader market-2.000.002.004.006.008.0010.0012.004.70
Omega ratio
The chart of Omega ratio for DGRO, currently valued at 1.62, compared to the broader market1.001.502.002.503.001.62
Calmar ratio
The chart of Calmar ratio for DGRO, currently valued at 3.79, compared to the broader market0.005.0010.0015.003.79
Martin ratio
The chart of Martin ratio for DGRO, currently valued at 22.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.54

TAIL vs. DGRO - Sharpe Ratio Comparison

The current TAIL Sharpe Ratio is -0.66, which is lower than the DGRO Sharpe Ratio of 3.32. The chart below compares the historical Sharpe Ratios of TAIL and DGRO, 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-2.00-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.66
3.32
TAIL
DGRO

Dividends

TAIL vs. DGRO - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.54%, more than DGRO's 2.15% yield.


TTM2023202220212020201920182017201620152014
TAIL
Cambria Tail Risk ETF
3.54%3.73%1.50%0.49%0.36%1.58%1.52%0.91%0.00%0.00%0.00%
DGRO
iShares Core Dividend Growth ETF
2.15%2.45%2.34%1.93%2.30%2.21%2.44%2.03%2.27%2.52%0.97%

Drawdowns

TAIL vs. DGRO - Drawdown Comparison

The maximum TAIL drawdown since its inception was -51.07%, which is greater than DGRO's maximum drawdown of -35.10%. Use the drawdown chart below to compare losses from any high point for TAIL and DGRO. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-50.64%
0
TAIL
DGRO

Volatility

TAIL vs. DGRO - Volatility Comparison

Cambria Tail Risk ETF (TAIL) has a higher volatility of 4.01% compared to iShares Core Dividend Growth ETF (DGRO) at 3.37%. This indicates that TAIL's price experiences larger fluctuations and is considered to be riskier than DGRO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.01%
3.37%
TAIL
DGRO