TAX vs. VLUE

Last updated Jun 4, 2026

TAX (Cambria Tax Aware ETF) and VLUE (iShares Edge MSCI USA Value Factor ETF) are both Large Cap Value Equities funds. TAX is actively managed, while VLUE is passively managed. Over the past year, TAX returned 23.75% vs 91.45% for VLUE. A 0.80 correlation means they provide meaningful diversification when combined. TAX charges 0.49%/yr vs 0.15%/yr for VLUE.

Performance

TAX vs. VLUE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tax Aware ETF (TAX) and iShares Edge MSCI USA Value Factor ETF (VLUE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TAX achieves a 8.40% return, which is significantly lower than VLUE's 49.00% return.

TAX

• 1D: -0.47%
• 1M: 4.58%
• YTD: 8.40%
• 6M: 8.40%
• 1Y: 23.75%
• 3Y*: —
• 5Y*: —
• 10Y*: —

VLUE

• 1D: -0.42%
• 1M: 20.77%
• YTD: 49.00%
• 6M: 51.40%
• 1Y: 91.45%
• 3Y*: 34.26%
• 5Y*: 16.36%
• 10Y*: 15.43%

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

TAX vs. VLUE - Yearly Performance Comparison

	2026 (YTD)	2025	2024
TAX Cambria Tax Aware ETF	8.40%	16.72%	0.25%
VLUE iShares Edge MSCI USA Value Factor ETF	49.00%	32.67%	0.89%

Correlation

The correlation between TAX and VLUE is 0.78, 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	0.78
Correlation (All Time) Calculated using the full available price history since Dec 19, 2024	0.80

The correlation between TAX and VLUE has been stable across timeframes, ranging from 0.78 to 0.80 - a consistent structural relationship.

Return for Risk

TAX vs. VLUE — Risk / Return Rank

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

TAX

TAX Risk / Return Rank: 45
TAX Sharpe Ratio Rank: 44
TAX Sortino Ratio Rank: 45
TAX Omega Ratio Rank: 41
TAX Calmar Ratio Rank: 45
TAX Martin Ratio Rank: 50

VLUE

VLUE Risk / Return Rank: 97
VLUE Sharpe Ratio Rank: 98
VLUE Sortino Ratio Rank: 98
VLUE Omega Ratio Rank: 97
VLUE Calmar Ratio Rank: 96
VLUE Martin Ratio Rank: 97

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. VLUE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tax Aware ETF (TAX) and iShares Edge MSCI USA Value Factor ETF (VLUE). 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.

	TAX	VLUE	Difference
Sharpe ratio: Return per unit of total volatility	1.52	5.32	-3.81
Sortino ratio: Return per unit of downside risk	2.23	6.86	-4.62
Omega ratio: Gain probability vs. loss probability	1.27	1.91	-0.64
Calmar ratio: Return relative to maximum drawdown	2.18	10.17	-7.99
Martin ratio: Return relative to average drawdown	8.34	45.62	-37.28
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TAX vs. VLUE - Sharpe Ratio Comparison

The current TAX Sharpe Ratio is 1.52, which is lower than the VLUE Sharpe Ratio of 5.32. The chart below compares the historical Sharpe Ratios of TAX and VLUE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	TAX	VLUE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.52	5.32	-3.81
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.92	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.78	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.96	0.76	+0.20

Drawdowns

TAX vs. VLUE - Drawdown Comparison

The maximum TAX drawdown since its inception was -18.85%, smaller than the maximum VLUE drawdown of -39.47%. Use the drawdown chart below to compare losses from any high point for TAX and VLUE.

Drawdown Indicators

	TAX	VLUE	Difference
Max Drawdown Largest peak-to-trough decline	-18.85%	-39.47%	+20.62%
Max Drawdown (1Y) Largest decline over 1 year	-10.95%	-9.04%	-1.91%
Max Drawdown (3Y) Largest decline over 3 years	—	-17.89%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.12%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-39.47%	—
Current Drawdown Current decline from peak	-0.47%	-0.42%	-0.05%
Average Drawdown Average peak-to-trough decline	-3.00%	-6.01%	+3.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.86%	2.01%	+0.85%

Volatility

TAX vs. VLUE - Volatility Comparison

The current volatility for Cambria Tax Aware ETF (TAX) is 4.93%, while iShares Edge MSCI USA Value Factor ETF (VLUE) has a volatility of 8.03%. This indicates that TAX experiences smaller price fluctuations and is considered to be less risky than VLUE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TAX	VLUE	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.93%	8.03%	-3.10%
Volatility (6M) Calculated over the trailing 6-month period	12.23%	13.96%	-1.73%
Volatility (1Y) Calculated over the trailing 1-year period	15.75%	17.30%	-1.55%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.77%	17.78%	+0.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.77%	19.82%	-1.05%

TAX vs. VLUE - Expense Ratio Comparison

TAX has a 0.49% expense ratio, which is higher than VLUE's 0.15% expense ratio.

Dividends

TAX vs. VLUE - Dividend Comparison

TAX's dividend yield for the trailing twelve months is around 0.32%, less than VLUE's 1.40% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
VLUE iShares Edge MSCI USA Value Factor ETF	1.40%	2.11%	2.73%	2.66%	3.18%	2.22%	2.42%	2.61%	2.70%	2.14%	2.07%	2.39%

Frequently Asked Questions

Can I hold both TAX and VLUE in my portfolio?

TAX and VLUE have a correlation of 0.78, 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 VLUE?

VLUE has higher volatility (8.03%) compared to TAX (4.93%). In terms of maximum drawdown, TAX dropped -18.85% vs VLUE's -39.47%.

Which ETF is better, TAX or VLUE?

On 1-year performance, VLUE leads with 91.45% vs 23.75% for TAX. On fees, VLUE is cheaper at 0.15% per year. On volatility, TAX has been the lower-risk option at 4.93%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TAX or VLUE?

Over the 1-year period, VLUE has performed better with a 91.45% return vs 23.75%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TAX or VLUE?

VLUE is cheaper with a 0.15% expense ratio, compared with 0.49% for TAX.

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

VLUE has the higher dividend yield at 1.40%, compared with 0.32% for TAX.

What is the main difference between TAX and VLUE?

They also come from different issuers: Cambria and iShares. Their fees differ too: 0.49% for TAX and 0.15% for VLUE.

Which has better risk-adjusted returns?

VLUE currently has the higher Sharpe Ratio (5.32 vs 1.52), 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.