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VSMGX vs. GAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VSMGX and GAA is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

VSMGX vs. GAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard LifeStrategy Moderate Growth Fund (VSMGX) and Cambria Global Asset Allocation ETF (GAA). The values are adjusted to include any dividend payments, if applicable.

60.00%65.00%70.00%75.00%JulyAugustSeptemberOctoberNovemberDecember
70.95%
63.39%
VSMGX
GAA

Key characteristics

Sharpe Ratio

VSMGX:

1.37

GAA:

0.78

Sortino Ratio

VSMGX:

1.93

GAA:

1.13

Omega Ratio

VSMGX:

1.25

GAA:

1.14

Calmar Ratio

VSMGX:

1.17

GAA:

1.32

Martin Ratio

VSMGX:

8.00

GAA:

4.51

Ulcer Index

VSMGX:

1.33%

GAA:

1.69%

Daily Std Dev

VSMGX:

7.73%

GAA:

9.83%

Max Drawdown

VSMGX:

-41.18%

GAA:

-26.57%

Current Drawdown

VSMGX:

-2.77%

GAA:

-3.65%

Returns By Period

In the year-to-date period, VSMGX achieves a 10.64% return, which is significantly higher than GAA's 6.70% return. Over the past 10 years, VSMGX has outperformed GAA with an annualized return of 5.40%, while GAA has yielded a comparatively lower 5.07% annualized return.


VSMGX

YTD

10.64%

1M

-0.57%

6M

4.49%

1Y

9.72%

5Y*

4.92%

10Y*

5.40%

GAA

YTD

6.70%

1M

-1.75%

6M

2.42%

1Y

5.18%

5Y*

5.03%

10Y*

5.07%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VSMGX vs. GAA - Expense Ratio Comparison

VSMGX has a 0.13% expense ratio, which is lower than GAA's 0.41% expense ratio.


GAA
Cambria Global Asset Allocation ETF
Expense ratio chart for GAA: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
Expense ratio chart for VSMGX: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

VSMGX vs. GAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard LifeStrategy Moderate Growth Fund (VSMGX) and Cambria Global Asset Allocation ETF (GAA). 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 VSMGX, currently valued at 1.37, compared to the broader market-1.000.001.002.003.004.001.370.78
The chart of Sortino ratio for VSMGX, currently valued at 1.93, compared to the broader market-2.000.002.004.006.008.0010.001.931.13
The chart of Omega ratio for VSMGX, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.003.501.251.14
The chart of Calmar ratio for VSMGX, currently valued at 1.17, compared to the broader market0.002.004.006.008.0010.0012.0014.001.171.32
The chart of Martin ratio for VSMGX, currently valued at 8.00, compared to the broader market0.0020.0040.0060.008.004.51
VSMGX
GAA

The current VSMGX Sharpe Ratio is 1.37, which is higher than the GAA Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of VSMGX and GAA, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.37
0.78
VSMGX
GAA

Dividends

VSMGX vs. GAA - Dividend Comparison

VSMGX's dividend yield for the trailing twelve months is around 2.61%, less than GAA's 4.64% yield.


TTM20232022202120202019201820172016201520142013
VSMGX
Vanguard LifeStrategy Moderate Growth Fund
2.61%2.63%2.10%1.91%1.71%2.45%2.65%2.15%2.22%2.19%2.10%1.93%
GAA
Cambria Global Asset Allocation ETF
3.74%3.73%6.05%4.21%2.73%3.32%3.00%2.35%2.81%2.49%0.57%0.00%

Drawdowns

VSMGX vs. GAA - Drawdown Comparison

The maximum VSMGX drawdown since its inception was -41.18%, which is greater than GAA's maximum drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for VSMGX and GAA. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.77%
-3.65%
VSMGX
GAA

Volatility

VSMGX vs. GAA - Volatility Comparison

Vanguard LifeStrategy Moderate Growth Fund (VSMGX) and Cambria Global Asset Allocation ETF (GAA) have volatilities of 2.42% and 2.47%, 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.


1.50%2.00%2.50%3.00%3.50%JulyAugustSeptemberOctoberNovemberDecember
2.42%
2.47%
VSMGX
GAA
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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