Cambria Global Correlations

GMOM Etf

USD 29.56 0.13 0.44%

The current 90-days correlation between Cambria Global Momentum and Cambria Global Asset is 0.57 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Cambria Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Cambria Global Momentum moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Cambria Global Correlation With Market

Weak diversification

The correlation between Cambria Global Momentum and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Global Momentum and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Cambria Global Momentum. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in persons.

Moving together with Cambria Etf

0.92	TDSC	Cabana Target Drawdown	Pair Corr
0.93	YYY	Amplify High Income	Pair Corr
0.7	FVC	First Trust Dorsey	Pair Corr
0.91	TDSB	Cabana Target Drawdown	Pair Corr
0.84	AGOX	Adaptive Alpha Oppor	Pair Corr
0.93	TACK	Fairlead Tactical Sector	Pair Corr
0.69	DALI	First Trust Dorsey	Pair Corr
0.88	ITDD	iShares Trust	Pair Corr
0.71	VPL	Vanguard FTSE Pacific	Pair Corr

Moving against Cambria Etf

0.44	TDSE	Exchange Traded Concepts	Pair Corr
0.33	TDSD	Exchange Traded Concepts	Pair Corr
0.43	IVES	Amplify ETF Trust Symbol Change	Pair Corr
0.4	GSG	iShares SP GSCI	Pair Corr
0.31	MINT	PIMCO Enhanced Short	Pair Corr
0.41	BNO	United States Brent	Pair Corr
0.36	BILS	SPDR Series Trust	Pair Corr
0.35	ICSH	iShares Ultra Short	Pair Corr
0.34	TFLO	iShares Treasury Floating	Pair Corr

Related Correlations Analysis

	GAA	GVAL	FYLD	VAMO	EYLD
GAA		0.58	0.65	0.67	0.67	GAA
GVAL	0.58		0.9	-0.08	0.9	GVAL
FYLD	0.65	0.9		0.04	0.9	FYLD
VAMO	0.67	-0.08	0.04		0.01	VAMO
EYLD	0.67	0.9	0.9	0.01		EYLD
	GAA	GVAL	FYLD	VAMO	EYLD

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

FYLD	+ 0.9	GVAL
EYLD	+ 0.9	GVAL
EYLD	+ 0.9	FYLD
VAMO	+ 0.67	GAA
EYLD	+ 0.67	GAA
FYLD	+ 0.65	GAA

High negative correlations

VAMO

- 0.08

GVAL

Cambria Global Constituents Risk-Adjusted Indicators

There is a big difference between Cambria Etf performing well and Cambria Global ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Cambria Global's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
GAA	0.40	(0.03)	0.00	(0.12)	0.00	0.00	0.85	(1.06)	3.15
GVAL	0.68	(0.06)	0.00	(0.27)	0.00	0.00	1.29	(1.55)	4.50
FYLD	0.65	(0.11)	0.00	(0.52)	0.00	0.00	1.10	(1.50)	4.23
VAMO	0.71	0.03	0.02	0.09	0.76	(0.80)	1.47	(1.29)	6.85
EYLD	0.76	(0.13)	0.00	(0.59)	0.00	0.00	1.48	(2.02)	5.22

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC