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

Performance

TAIL vs. VFFSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tail Risk ETF (TAIL) and Vanguard 500 Index Fund Institutional Select Shares (VFFSX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.90%
11.91%
TAIL
VFFSX

Returns By Period

In the year-to-date period, TAIL achieves a -9.41% return, which is significantly lower than VFFSX's 25.55% return.


TAIL

YTD

-9.41%

1M

-3.25%

6M

-1.90%

1Y

-7.54%

5Y (annualized)

-9.10%

10Y (annualized)

N/A

VFFSX

YTD

25.55%

1M

1.00%

6M

11.91%

1Y

31.92%

5Y (annualized)

15.63%

10Y (annualized)

N/A

Key characteristics


TAILVFFSX
Sharpe Ratio-0.612.69
Sortino Ratio-0.853.58
Omega Ratio0.901.50
Calmar Ratio-0.143.90
Martin Ratio-1.0317.54
Ulcer Index7.06%1.88%
Daily Std Dev11.91%12.25%
Max Drawdown-51.27%-52.30%
Current Drawdown-50.94%-1.35%

Compare stocks, funds, or ETFs

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TAIL vs. VFFSX - Expense Ratio Comparison

TAIL has a 0.59% expense ratio, which is higher than VFFSX's 0.01% 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 VFFSX: current value at 0.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.01%

Correlation

-0.50.00.51.0-0.7

The correlation between TAIL and VFFSX is -0.68. 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. VFFSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) and Vanguard 500 Index Fund Institutional Select Shares (VFFSX). 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 market0.002.004.006.00-0.612.69
The chart of Sortino ratio for TAIL, currently valued at -0.85, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.853.58
The chart of Omega ratio for TAIL, currently valued at 0.90, compared to the broader market0.501.001.502.002.503.000.901.50
The chart of Calmar ratio for TAIL, currently valued at -0.14, compared to the broader market0.005.0010.0015.00-0.143.90
The chart of Martin ratio for TAIL, currently valued at -1.03, compared to the broader market0.0020.0040.0060.0080.00100.00-1.0317.54
TAIL
VFFSX

The current TAIL Sharpe Ratio is -0.61, which is lower than the VFFSX Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of TAIL and VFFSX, 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
-0.61
2.69
TAIL
VFFSX

Dividends

TAIL vs. VFFSX - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.57%, more than VFFSX's 1.25% yield.


TTM20232022202120202019201820172016
TAIL
Cambria Tail Risk ETF
3.57%3.73%1.50%0.49%0.36%1.58%1.52%0.91%0.00%
VFFSX
Vanguard 500 Index Fund Institutional Select Shares
1.25%1.46%1.70%1.26%1.56%1.90%2.09%1.81%1.08%

Drawdowns

TAIL vs. VFFSX - Drawdown Comparison

The maximum TAIL drawdown since its inception was -51.27%, roughly equal to the maximum VFFSX drawdown of -52.30%. Use the drawdown chart below to compare losses from any high point for TAIL and VFFSX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-50.94%
-1.35%
TAIL
VFFSX

Volatility

TAIL vs. VFFSX - Volatility Comparison

The current volatility for Cambria Tail Risk ETF (TAIL) is 3.63%, while Vanguard 500 Index Fund Institutional Select Shares (VFFSX) has a volatility of 4.06%. This indicates that TAIL experiences smaller price fluctuations and is considered to be less risky than VFFSX 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
3.63%
4.06%
TAIL
VFFSX