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TAIL vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TAIL vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tail Risk ETF (TAIL) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.90%
10.79%
TAIL
QQQ

Returns By Period

In the year-to-date period, TAIL achieves a -9.41% return, which is significantly lower than QQQ's 23.47% return.


TAIL

YTD

-9.41%

1M

-3.25%

6M

-1.90%

1Y

-7.54%

5Y (annualized)

-9.10%

10Y (annualized)

N/A

QQQ

YTD

23.47%

1M

1.82%

6M

10.79%

1Y

29.73%

5Y (annualized)

20.93%

10Y (annualized)

18.10%

Key characteristics


TAILQQQ
Sharpe Ratio-0.611.80
Sortino Ratio-0.852.40
Omega Ratio0.901.32
Calmar Ratio-0.142.31
Martin Ratio-1.038.39
Ulcer Index7.06%3.73%
Daily Std Dev11.91%17.41%
Max Drawdown-51.27%-82.98%
Current Drawdown-50.94%-2.08%

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TAIL vs. QQQ - Expense Ratio Comparison

TAIL has a 0.59% expense ratio, which is higher than QQQ's 0.20% 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.0-0.6

The correlation between TAIL and QQQ is -0.59. 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.

Risk-Adjusted Performance

TAIL vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) and Invesco QQQ (QQQ). 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.


Sharpe ratio
The chart of Sharpe ratio for TAIL, currently valued at -0.61, compared to the broader market0.002.004.006.00-0.611.80
The chart of Sortino ratio for TAIL, currently valued at -0.85, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.852.40
The chart of Omega ratio for TAIL, currently valued at 0.90, compared to the broader market0.501.001.502.002.503.000.901.32
The chart of Calmar ratio for TAIL, currently valued at -0.14, compared to the broader market0.005.0010.0015.00-0.142.31
The chart of Martin ratio for TAIL, currently valued at -1.03, compared to the broader market0.0020.0040.0060.0080.00100.00-1.038.39
TAIL
QQQ

The current TAIL Sharpe Ratio is -0.61, which is lower than the QQQ Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of TAIL and QQQ, 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-2.00-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.61
1.80
TAIL
QQQ

Dividends

TAIL vs. QQQ - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.57%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
TAIL
Cambria Tail Risk ETF
3.57%3.73%1.50%0.49%0.36%1.58%1.52%0.91%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

TAIL vs. QQQ - Drawdown Comparison

The maximum TAIL drawdown since its inception was -51.27%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for TAIL and QQQ. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-50.94%
-2.08%
TAIL
QQQ

Volatility

TAIL vs. QQQ - Volatility Comparison

The current volatility for Cambria Tail Risk ETF (TAIL) is 3.63%, while Invesco QQQ (QQQ) has a volatility of 5.66%. This indicates that TAIL experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.63%
5.66%
TAIL
QQQ