TAX vs. SPLV

Last updated Jul 17, 2026

TAX (Cambria Tax Aware ETF) and SPLV (Invesco S&P 500 Low Volatility ETF) are both exchange-traded funds - TAX is a Large Cap Value Equities fund actively managed by Cambria, while SPLV is a S&P 500 fund tracking the S&P 500 Low Volatility Index. TAX is actively managed, while SPLV is passively managed. Over the past year, TAX returned 17.99% vs 8.48% for SPLV. At a 0.26 correlation, their price movements are largely independent. TAX charges 0.49%/yr vs 0.25%/yr for SPLV.

Performance

TAX vs. SPLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tax Aware ETF (TAX) and Invesco S&P 500 Low Volatility ETF (SPLV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TAX achieves a 8.31% return, which is significantly lower than SPLV's 8.93% return.

TAX

• 1D: -0.38%
• 1M: 0.03%
• 6M: 4.18%
• YTD: 8.31%
• 1Y: 17.99%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPLV

• 1D: 1.95%
• 1M: 3.47%
• 6M: 6.50%
• YTD: 8.93%
• 1Y: 8.48%
• 3Y*: 9.45%
• 5Y*: 6.39%
• 10Y*: 8.24%

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

TAX vs. SPLV - Yearly Performance Comparison

	2026 (YTD)	2025	2024
TAX Cambria Tax Aware ETF	8.31%	16.72%	-2.49%
SPLV Invesco S&P 500 Low Volatility ETF	8.93%	4.10%	-1.46%

Correlation

The correlation between TAX and SPLV is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.12
Correlation (All Time) Calculated using the full available price history since Dec 18, 2024	0.26

The correlation between TAX and SPLV shifts across timeframes, from 0.12 (1 year) to 0.26 (all time), reflecting how their relationship changes across market environments.

Return for Risk

TAX vs. SPLV — Risk / Return Rank

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

TAX

TAX Risk / Return Rank: 39
TAX Sharpe Ratio Rank: 37
TAX Sortino Ratio Rank: 38
TAX Omega Ratio Rank: 35
TAX Calmar Ratio Rank: 39
TAX Martin Ratio Rank: 47

SPLV

SPLV Risk / Return Rank: 26
SPLV Sharpe Ratio Rank: 27
SPLV Sortino Ratio Rank: 26
SPLV Omega Ratio Rank: 24
SPLV Calmar Ratio Rank: 28
SPLV Martin Ratio Rank: 25

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. SPLV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tax Aware ETF (TAX) and Invesco S&P 500 Low Volatility ETF (SPLV). 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	SPLV	Difference
Sharpe ratio: Return per unit of total volatility	1.10	0.80	+0.30
Sortino ratio: Return per unit of downside risk	1.67	1.23	+0.44
Omega ratio: Gain probability vs. loss probability	1.20	1.14	+0.05
Calmar ratio: Return relative to maximum drawdown	1.65	1.15	+0.50
Martin ratio: Return relative to average drawdown	6.16	2.64	+3.52

TAX vs. SPLV - Sharpe Ratio Comparison

The current TAX Sharpe Ratio is 1.10, which is higher than the SPLV Sharpe Ratio of 0.80. The chart below compares the historical Sharpe Ratios of TAX and SPLV, 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. SPLV - Drawdown Comparison

The maximum TAX drawdown since its inception was -18.85%, smaller than the maximum SPLV drawdown of -36.26%. Use the drawdown chart below to compare losses from any high point for TAX and SPLV.

Drawdown Indicators

	TAX	SPLV	Difference
Max Drawdown Largest peak-to-trough decline	-18.85%	-36.26%	+17.41%
Max Drawdown (1Y) Largest decline over 1 year	-10.95%	-7.41%	-3.54%
Max Drawdown (3Y) Largest decline over 3 years	—	-9.64%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-17.26%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-36.26%	—
Current Drawdown Current decline from peak	-3.03%	0.00%	-3.03%
Average Drawdown Average peak-to-trough decline	-2.93%	-3.55%	+0.62%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	3.22%	-0.29%

Volatility

TAX vs. SPLV - Volatility Comparison

The current volatility for Cambria Tax Aware ETF (TAX) is 4.06%, while Invesco S&P 500 Low Volatility ETF (SPLV) has a volatility of 4.55%. This indicates that TAX experiences smaller price fluctuations and is considered to be less risky than SPLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TAX	SPLV	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.06%	4.55%	-0.49%
Volatility (6M) Calculated over the trailing 6-month period	12.91%	8.10%	+4.81%
Volatility (1Y) Calculated over the trailing 1-year period	16.39%	10.64%	+5.75%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.80%	12.60%	+6.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.80%	15.40%	+3.40%

TAX vs. SPLV - Expense Ratio Comparison

TAX has a 0.49% expense ratio, which is higher than SPLV's 0.25% expense ratio.

Dividends

TAX vs. SPLV - Dividend Comparison

TAX's dividend yield for the trailing twelve months is around 0.32%, less than SPLV's 2.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SPLV Invesco S&P 500 Low Volatility ETF	2.09%	2.04%	1.88%	2.45%	2.11%	1.51%	2.12%	2.08%	2.18%	2.03%	2.03%	2.28%
TAX Cambria Tax Aware ETF	0.32%	0.34%	0.23%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TAX and SPLV in my portfolio?

TAX and SPLV have a correlation of 0.12, 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 SPLV?

SPLV has higher volatility (4.55%) compared to TAX (4.06%). In terms of maximum drawdown, TAX dropped -18.85% vs SPLV's -36.26%.

Which ETF is better, TAX or SPLV?

On 1-year performance, TAX leads with 17.99% vs 8.48% for SPLV. On fees, SPLV is cheaper at 0.25% per year. On volatility, TAX has been the lower-risk option at 4.06%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TAX or SPLV?

Over the 1-year period, TAX has performed better with a 17.99% return vs 8.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TAX or SPLV?

SPLV is cheaper with a 0.25% expense ratio, compared with 0.49% for TAX.

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

SPLV has the higher dividend yield at 2.09%, compared with 0.32% for TAX.

What is the main difference between TAX and SPLV?

TAX is categorized as Large Cap Value Equities, while SPLV is S&P 500. They also come from different issuers: Cambria and Invesco. Their fees differ too: 0.49% for TAX and 0.25% for SPLV.

Which has better risk-adjusted returns?

TAX currently has the higher Sharpe Ratio (1.10 vs 0.80), 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.