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

Key characteristics


TAILVFFSX
YTD Return-8.85%27.15%
1Y Return-7.36%39.89%
3Y Return (Ann)-12.23%10.28%
5Y Return (Ann)-8.84%16.00%
Sharpe Ratio-0.663.13
Sortino Ratio-0.934.16
Omega Ratio0.891.59
Calmar Ratio-0.154.59
Martin Ratio-1.1720.79
Ulcer Index6.70%1.87%
Daily Std Dev11.96%12.39%
Max Drawdown-51.07%-52.30%
Current Drawdown-50.64%0.00%

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.

Performance

TAIL vs. VFFSX - Performance Comparison

In the year-to-date period, TAIL achieves a -8.85% return, which is significantly lower than VFFSX's 27.15% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
-1.25%
15.56%
TAIL
VFFSX

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. 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%

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.


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
VFFSX
Sharpe ratio
The chart of Sharpe ratio for VFFSX, currently valued at 3.13, compared to the broader market-2.000.002.004.003.13
Sortino ratio
The chart of Sortino ratio for VFFSX, currently valued at 4.16, compared to the broader market-2.000.002.004.006.008.0010.0012.004.16
Omega ratio
The chart of Omega ratio for VFFSX, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for VFFSX, currently valued at 4.59, compared to the broader market0.005.0010.0015.004.59
Martin ratio
The chart of Martin ratio for VFFSX, currently valued at 20.79, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.79

TAIL vs. VFFSX - Sharpe Ratio Comparison

The current TAIL Sharpe Ratio is -0.66, which is lower than the VFFSX Sharpe Ratio of 3.13. 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
-0.66
3.13
TAIL
VFFSX

Dividends

TAIL vs. VFFSX - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.54%, more than VFFSX's 1.23% yield.


TTM20232022202120202019201820172016
TAIL
Cambria Tail Risk ETF
3.54%3.73%1.50%0.49%0.36%1.58%1.52%0.91%0.00%
VFFSX
Vanguard 500 Index Fund Institutional Select Shares
1.23%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 -51.07%, 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
-50.64%
0
TAIL
VFFSX

Volatility

TAIL vs. VFFSX - Volatility Comparison

Cambria Tail Risk ETF (TAIL) and Vanguard 500 Index Fund Institutional Select Shares (VFFSX) have volatilities of 4.01% and 3.91%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%
3.91%
TAIL
VFFSX