TAX vs. DFRA

Last updated Jun 25, 2026

TAX (Cambria Tax Aware ETF) and DFRA (Donoghue Forlines Yield Enhanced Real Asset ETF) are both Large Cap Value Equities funds. TAX is actively managed, while DFRA is passively managed. Over the past year, TAX returned 20.63% vs 8.60% for DFRA. A 0.68 correlation means they provide meaningful diversification when combined. TAX charges 0.49%/yr vs 0.69%/yr for DFRA.

Performance

TAX vs. DFRA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tax Aware ETF (TAX) and Donoghue Forlines Yield Enhanced Real Asset ETF (DFRA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TAX achieves a 8.42% return, which is significantly higher than DFRA's 4.03% return.

TAX

• 1D: 1.21%
• 1M: 2.93%
• YTD: 8.42%
• 6M: 6.21%
• 1Y: 20.63%
• 3Y*: —
• 5Y*: —
• 10Y*: —

DFRA

• 1D: -0.80%
• 1M: -4.55%
• YTD: 4.03%
• 6M: 3.24%
• 1Y: 8.60%
• 3Y*: 11.00%
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

TAX vs. DFRA - Yearly Performance Comparison

	2026 (YTD)	2025	2024
TAX Cambria Tax Aware ETF	8.42%	16.72%	-2.49%
DFRA Donoghue Forlines Yield Enhanced Real Asset ETF	4.03%	6.64%	-2.46%

Correlation

The correlation between TAX and DFRA is 0.63, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.63
Correlation (All Time) Calculated using the full available price history since Dec 18, 2024	0.68

The correlation between TAX and DFRA has been stable across timeframes, ranging from 0.63 to 0.68 - a consistent structural relationship.

Return for Risk

TAX vs. DFRA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TAX

TAX Risk / Return Rank: 42
TAX Sharpe Ratio Rank: 40
TAX Sortino Ratio Rank: 41
TAX Omega Ratio Rank: 37
TAX Calmar Ratio Rank: 43
TAX Martin Ratio Rank: 48

DFRA

DFRA Risk / Return Rank: 18
DFRA Sharpe Ratio Rank: 19
DFRA Sortino Ratio Rank: 17
DFRA Omega Ratio Rank: 18
DFRA Calmar Ratio Rank: 19
DFRA Martin Ratio Rank: 20

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TAX vs. DFRA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tax Aware ETF (TAX) and Donoghue Forlines Yield Enhanced Real Asset ETF (DFRA). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	TAX	DFRA	Difference
Sharpe ratio: Return per unit of total volatility	1.28	0.57	+0.70
Sortino ratio: Return per unit of downside risk	1.89	0.87	+1.02
Omega ratio: Gain probability vs. loss probability	1.22	1.11	+0.11
Calmar ratio: Return relative to maximum drawdown	1.89	0.74	+1.15
Martin ratio: Return relative to average drawdown	7.15	2.14	+5.01

TAX vs. DFRA - Sharpe Ratio Comparison

The current TAX Sharpe Ratio is 1.28, which is higher than the DFRA Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of TAX and DFRA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

TAX vs. DFRA - Drawdown Comparison

The maximum TAX drawdown since its inception was -18.85%, roughly equal to the maximum DFRA drawdown of -19.35%. Use the drawdown chart below to compare losses from any high point for TAX and DFRA.

Drawdown Indicators

	TAX	DFRA	Difference
Max Drawdown Largest peak-to-trough decline	-18.85%	-19.35%	+0.50%
Max Drawdown (1Y) Largest decline over 1 year	-10.95%	-11.64%	+0.69%
Max Drawdown (3Y) Largest decline over 3 years	—	-19.35%	—
Current Drawdown Current decline from peak	-0.73%	-11.21%	+10.48%
Average Drawdown Average peak-to-trough decline	-2.98%	-4.02%	+1.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.89%	4.03%	-1.14%

Volatility

TAX vs. DFRA - Volatility Comparison

Cambria Tax Aware ETF (TAX) has a higher volatility of 5.52% compared to Donoghue Forlines Yield Enhanced Real Asset ETF (DFRA) at 4.23%. This indicates that TAX's price experiences larger fluctuations and is considered to be riskier than DFRA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TAX	DFRA	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.52%	4.23%	+1.29%
Volatility (6M) Calculated over the trailing 6-month period	12.75%	13.22%	-0.47%
Volatility (1Y) Calculated over the trailing 1-year period	16.31%	15.08%	+1.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.99%	17.50%	+1.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.99%	17.50%	+1.49%

TAX vs. DFRA - Expense Ratio Comparison

TAX has a 0.49% expense ratio, which is lower than DFRA's 0.69% expense ratio.

Dividends

TAX vs. DFRA - Dividend Comparison

TAX's dividend yield for the trailing twelve months is around 0.32%, less than DFRA's 4.39% yield.

Position	TTM	2025	2024	2023	2022	2021
DFRA Donoghue Forlines Yield Enhanced Real Asset ETF	4.39%	2.86%	10.13%	4.70%	8.40%	0.08%
TAX Cambria Tax Aware ETF	0.32%	0.34%	0.23%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TAX and DFRA in my portfolio?

TAX and DFRA have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TAX or DFRA?

TAX has higher volatility (5.52%) compared to DFRA (4.23%). In terms of maximum drawdown, TAX dropped -18.85% vs DFRA's -19.35%.

Which ETF is better, TAX or DFRA?

On 1-year performance, TAX leads with 20.63% vs 8.60% for DFRA. On fees, TAX is cheaper at 0.49% per year. On volatility, DFRA has been the lower-risk option at 4.23%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TAX or DFRA?

Over the 1-year period, TAX has performed better with a 20.63% return vs 8.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TAX or DFRA?

TAX is cheaper with a 0.49% expense ratio, compared with 0.69% for DFRA.

Which ETF pays a higher dividend yield, TAX or DFRA?

DFRA has the higher dividend yield at 4.39%, compared with 0.32% for TAX.

What is the main difference between TAX and DFRA?

They also come from different issuers: Cambria and Donoghue Forlines. Their fees differ too: 0.49% for TAX and 0.69% for DFRA.

Which has better risk-adjusted returns?

TAX currently has the higher Sharpe Ratio (1.28 vs 0.57), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.