Cambria Global Value ETF

10-Year Study

GVAL.US · · US · ETF

Executive Summary: Cambria Global Value ETF has compounded at 10.9% annually over the last 10 years, with a maximum drawdown of 40.5% and an annualized volatility of 17.5%.

1Y CAGR
+45.0%
3Y CAGR
+28.6%
5Y CAGR
+13.5%
10Y CAGR
+10.9%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
40.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.43
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.56
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
19.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +55.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -14.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
202610.52.2-6.77.9————————13.8%
20255.86.25.63.42.85.40.75.22.12.44.02.055.9%
2024-3.50.73.50.94.4-2.70.62.24.4-4.8-1.6-0.92.6%
20234.2-1.6-0.41.8-4.85.66.0-5.6-3.2-0.58.23.913.3%
20221.2-9.21.3-4.23.8-11.70.2-0.0-10.39.411.82.5-8.0%
2021-2.14.11.73.45.1-3.10.93.3-2.63.8-7.13.610.7%
2020-4.0-11.2-24.25.43.85.20.71.9-3.8-8.023.010.0-8.5%
201910.3-1.0-1.31.9-4.07.9-1.7-5.93.32.40.35.017.2%
20189.2-4.9-1.1-1.0-6.1-1.93.5-3.90.8-5.50.4-3.9-14.3%
20176.00.72.23.52.81.95.52.0-0.2-0.4-1.43.729.5%
2016———4.0-3.8-0.14.11.22.32.9-4.55.711.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 17.5%. The dominant macroeconomic risk driver is VEA.US, accounting for 46.1% of variance. Idiosyncratic stock-specific factors contribute 10.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110404.109856623822
2016-05-0110012.892135797163
2016-06-0110003.906707817321
2016-07-0110413.329687072703
2016-08-0110539.438215415868
2016-09-0110778.059928897916
2016-10-0111087.080517248114
2016-11-0110590.381685353752
2016-12-0111192.796030784857
2017-01-0111868.812751494315
2017-02-0111946.399968746337
2017-03-0112212.368636949643
2017-04-0112644.528655701839
2017-05-0113004.72711645896
2017-06-0113251.943587139116
2017-07-0113976.325350627027
2017-08-0114251.435715122865
2017-09-0114223.307418838145
2017-10-0114166.972692112357
2017-11-0113975.309606594521
2017-12-0114494.97988045474
2018-01-0115825.057623940304
2018-02-0115043.950462944877
2018-03-0114885.494393874284
2018-04-0114733.289057311404
2018-05-0113832.792905418602
2018-06-0113569.246396062035
2018-07-0114049.771457592686
2018-08-0113506.34840020315
2018-09-0113617.142633902411
2018-10-0112867.67980622729
2018-11-0112919.560886041332
2018-12-0112421.76817595812
2019-01-0113705.356096417549
2019-02-0113563.386334336055
2019-03-0113390.084775559633
2019-04-0113650.427784505997
2019-05-0113100.207055514318
2019-06-0114129.546431222409
2019-07-0113893.659413212485
2019-08-0113069.734734539203
2019-09-0113496.65976481619
2019-10-0113822.557330937218
2019-11-0113870.92237371567
2019-12-0114563.034730632497
2020-01-0113978.356838692034
2020-02-0112419.11161464234
2020-03-019411.259131929522
2020-04-019918.115404148923
2020-05-0110294.331366957065
2020-06-0110830.175411180999
2020-07-0110904.090323084736
2020-08-0111113.411727936866
2020-09-0110689.455795601047
2020-10-019839.512442864398
2020-11-0112107.121928350978
2020-12-0113323.123803570732
2021-01-0113042.700316443332
2021-02-0113577.99742157284
2021-03-0113813.72817127007
2021-04-0114278.938938156813
2021-05-0115008.008751025507
2021-06-0114536.390983318355
2021-07-0114672.031878735786
2021-08-0115157.635660428956
2021-09-0114769.933976637887
2021-10-0115330.624682579988
2021-11-0114234.715005664724
2021-12-0114748.994022737039
2022-01-0114928.702582333866
2022-02-0113548.775247099267
2022-03-0113730.046489823024
2022-04-0113147.712622572957
2022-05-0113646.59921084502
2022-06-0112043.208188459585
2022-07-0112064.61694729851
2022-08-0112063.210532484274
2022-09-0110817.673946165567
2022-10-0111837.324686486696
2022-11-0113239.676524592725
2022-12-0113571.59042075243
2023-01-0114140.485213110911
2023-02-0113910.223854357933
2023-03-0113858.733445325624
2023-04-0114111.341172793687
2023-05-0113432.042817517675
2023-06-0114187.99078016955
2023-07-0115041.21576747275
2023-08-0114202.05492831191
2023-09-0113742.938625620189
2023-10-0113677.071531820135
2023-11-0114804.547407899365
2023-12-0115376.567566511701
2024-01-0114835.722936281594
2024-02-0114936.828534593898
2024-03-0115466.26557799742
2024-04-0115597.765363128492
2024-05-0116279.329608938546
2024-06-0115843.41915068172
2024-07-0115936.398796733993
2024-08-0116288.783841856466
2024-09-0117004.25831152088
2024-10-0116185.17795054108
2024-11-0115926.553893034341
2024-12-0115775.364300503965
2025-01-0116694.143844981834
2025-02-0117726.45231863109
2025-03-0118717.11528694769
2025-04-0119356.174551705277
2025-05-0119889.283900457085
2025-06-0120954.408719771847
2025-07-0121092.940578974096
2025-08-0122185.646755479156
2025-09-0122651.873266398405
2025-10-0123194.358713911788
2025-11-0124116.5761612689
2025-12-0124588.81900222682
2026-01-0127182.872992928857
2026-02-0127784.5059967965
2026-03-0125917.09966011642
2026-04-0127972.027972027965
Annual Return Matrix
YearAnnual Return
20170.2950276088823114
2018-0.1430296365772934
20190.17238017360674296
2020-0.0851409716447139
20210.10702221492411268
2022-0.07982941752973283
20230.13299672991893896
20240.02593535470561048
20250.558684701908361
20260.13759135684779156
Total Factor Risk
0.1753308292609696
VTI.US Exposure
-0.10322921591352588
VEA.US Exposure
0.4609869242756576
VWO.US Exposure
0.2555183051551556
QQQ.US Exposure
0.06890555787304956
VTV.US Exposure
0.26096789539552345
IJR.US Exposure
-0.04945348010535123
QUAL.US Exposure
-0.1609235755806442
SHV.US Exposure
0.00011065599450416244
TLT.US Exposure
-0.018894159157649318
LQD.US Exposure
-0.041048197388327226
HYG.US Exposure
0.15448008998985646
GLD.US Exposure
-0.016215105429565158
USO.US Exposure
0.0033257826646729003
VNQ.US Exposure
-0.03201353086060886
BTC-USD.CC Exposure
0.008746870216651593
CPER.US Exposure
0.01798099151278724
VIX.INDX Exposure
0.00989107435994302
UUP.US Exposure
0.07382536213497529
TIP.US Exposure
0.0008984291891858373
Idiosyncratic Exposure
0.10613932567370907
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.5%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$73
Avg Yield on Cost
0.73%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$72.840.73%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+4.6%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+15.9%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.6% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.94
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Cambria Global Value ETF a high-risk investment?

Cambria Global Value ETF (GVAL.US) has an annualized volatility of 17.5% and experienced a maximum drawdown of 40.5% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of GVAL.US?

Over the past 10 years, GVAL.US has generated a Compound Annual Growth Rate (CAGR) of 10.9%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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