Cambria Etf Trust Etf Volatility
| BLDG Etf | USD 26.28 0.11 0.42% |
At this point, Cambria ETF is very steady. Cambria ETF Trust secures Sharpe Ratio (or Efficiency) of 0.2, which signifies that the etf had a 0.2 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Cambria ETF Trust, which you can use to evaluate the volatility of the entity. Please confirm Cambria ETF's Downside Deviation of 0.445, risk adjusted performance of 0.1532, and Mean Deviation of 0.4193 to double-check if the risk estimate we provide is consistent with the expected return of 0.1%.
Sharpe Ratio = 0.2036
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Based on monthly moving average Cambria ETF is performing at about 16% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Cambria ETF by adding it to a well-diversified portfolio.
Key indicators related to Cambria ETF's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Cambria ETF Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Cambria daily returns, and it is calculated using variance and standard deviation. We also use Cambria's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Cambria ETF volatility.
Downward market volatility can be a perfect environment for investors who play the long game with Cambria ETF. They may decide to buy additional shares of Cambria ETF at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Cambria Etf
| 0.97 | REET | iShares Global REIT | PairCorr |
| 0.97 | RWO | SPDR Dow Jones | PairCorr |
| 0.96 | HAUZ | Xtrackers International | PairCorr |
| 0.95 | RWX | SPDR Dow Jones | PairCorr |
| 0.98 | GQRE | FlexShares Global Quality | PairCorr |
| 0.96 | AVRE | Avantis Real Estate | PairCorr |
| 0.96 | IFGL | iShares International | PairCorr |
| 0.87 | WTRE | WisdomTree New Economy | PairCorr |
| 0.61 | JANT | AIM ETF Products | PairCorr |
| 0.95 | POW | Tidal Trust III | PairCorr |
| 0.74 | ARB | AltShares Trust | PairCorr |
| 0.86 | PWRD | TCW Transform Systems | PairCorr |
| 0.84 | XOP | SPDR SP Oil | PairCorr |
| 0.77 | PFFA | Virtus InfraCap Preferred | PairCorr |
| 0.7 | UMAY | Innovator ETFs Trust | PairCorr |
| 0.84 | SPVM | Invesco SP 500 | PairCorr |
| 0.97 | SCDV | ETF Series Solutions | PairCorr |
| 0.87 | JPIE | JP Morgan Exchange | PairCorr |
| 0.94 | DOGG | First Trust Exchange | PairCorr |
| 0.86 | VGUS | Vanguard Ultra Short | PairCorr |
| 0.95 | EIPI | First Trust Exchange | PairCorr |
| 0.91 | EDGI | Advisors Inner | PairCorr |
| 0.9 | NCPB | Nuveen Core Plus | PairCorr |
| 0.92 | TAXT | Northern Trust Tax | PairCorr |
Moving against Cambria Etf
Cambria ETF Market Sensitivity And Downside Risk
Cambria ETF's beta coefficient measures the volatility of Cambria etf compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Cambria etf's returns against your selected market. In other words, Cambria ETF's beta of 0.26 provides an investor with an approximation of how much risk Cambria ETF etf can potentially add to one of your existing portfolios. Cambria ETF Trust exhibits very low volatility with skewness of 0.1 and kurtosis of -0.62. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Cambria ETF's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Cambria ETF's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Cambria ETF Trust Demand TrendCheck current 90 days Cambria ETF correlation with market (Dow Jones Industrial)Cambria ETF Volatility and Downside Risk
Cambria standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Cambria ETF Trust Etf Volatility Analysis
Volatility refers to the frequency at which Cambria ETF etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Cambria ETF's price changes. Investors will then calculate the volatility of Cambria ETF's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Cambria ETF's volatility:
Historical Volatility
This type of etf volatility measures Cambria ETF's fluctuations based on previous trends. It's commonly used to predict Cambria ETF's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Cambria ETF's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Cambria ETF's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Cambria ETF Trust Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Cambria ETF Projected Return Density Against Market
Given the investment horizon of 90 days Cambria ETF has a beta of 0.2616 suggesting as returns on the market go up, Cambria ETF average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Cambria ETF Trust will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Cambria ETF or CAMBRIA ETF TRUST sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Cambria ETF's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Cambria etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Predicted Return Density |
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What Drives a Cambria ETF Price Volatility?
Several factors can influence a etf's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Cambria ETF Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Cambria ETF is 491.24. The daily returns are distributed with a variance of 0.26 and standard deviation of 0.51. The mean deviation of Cambria ETF Trust is currently at 0.41. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.08 | |
β | Beta against Dow Jones | 0.26 | |
σ | Overall volatility | 0.51 | |
Ir | Information ratio | 0.05 |
Cambria ETF Etf Return Volatility
Cambria ETF historical daily return volatility represents how much of Cambria ETF etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The Exchange Traded Fund inherits 0.5075% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7258% volatility on return distribution over the 90 days horizon. Performance |
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Related Correlations Analysis
Cambria ETF Constituents Risk-Adjusted Indicators
There is a big difference between Cambria Etf performing well and Cambria ETF 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 ETF'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| RFEM | 0.63 | 0.15 | 0.19 | 0.33 | 0.34 | 1.68 | 3.02 | |||
| DWMF | 0.46 | 0.09 | 0.12 | 0.24 | 0.27 | 0.99 | 2.89 | |||
| BDRY | 2.07 | 0.52 | 0.18 | (1.51) | 2.02 | 4.49 | 12.30 | |||
| FLLA | 1.00 | 0.28 | 0.16 | 0.52 | 1.17 | 2.16 | 6.75 | |||
| EWUS | 0.74 | 0.12 | 0.12 | 0.20 | 0.72 | 2.02 | 4.55 | |||
| NETL | 0.65 | 0.13 | 0.09 | 2.41 | 0.53 | 1.40 | 4.25 | |||
| FLCV | 0.57 | 0.06 | 0.07 | 0.14 | 0.47 | 1.62 | 3.46 | |||
| ENOR | 0.78 | 0.28 | 0.32 | 0.48 | 0.31 | 2.36 | 5.91 | |||
| PSCC | 0.71 | 0.12 | 0.10 | 0.33 | 0.61 | 1.55 | 4.00 | |||
| NTSE | 0.75 | 0.19 | 0.21 | 0.36 | 0.46 | 2.02 | 4.95 |
About Cambria ETF Volatility
Volatility is a rate at which the price of Cambria ETF or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Cambria ETF may increase or decrease. In other words, similar to Cambria's beta indicator, it measures the risk of Cambria ETF and helps estimate the fluctuations that may happen in a short period of time. So if prices of Cambria ETF fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.The fund is actively managed and seeks to achieve its investment objective by investing, under normal market conditions, primarily in the securities of domestic and foreign, including developed and emerging market, companies principally engaged in the real estate sector and real-estate related industries that exhibit favorable multi-factor metrics, such as value, quality and momentum, according to a quantitative methodology developed by Cambria Investment Management, L.P., the funds investment adviser . Cambria Global is traded on BATS Exchange in the United States.
Cambria ETF's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Cambria Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Cambria ETF's price varies over time.
3 ways to utilize Cambria ETF's volatility to invest better
Higher Cambria ETF's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Cambria ETF Trust etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Cambria ETF Trust etf volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Cambria ETF Trust investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Cambria ETF's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Cambria ETF's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Cambria ETF Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.73 and is 1.43 times more volatile than Cambria ETF Trust. Compared to the overall equity markets, volatility of historical daily returns of Cambria ETF Trust is lower than 4 percent of all global equities and portfolios over the last 90 days. You can use Cambria ETF Trust to enhance the returns of your portfolios. The etf experiences a normal upward fluctuation. Check odds of Cambria ETF to be traded at $27.59 in 90 days.Poor diversification
The correlation between Cambria ETF Trust and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cambria ETF Trust and DJI in the same portfolio, assuming nothing else is changed.
Cambria ETF Additional Risk Indicators
The analysis of Cambria ETF's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Cambria ETF's investment and either accepting that risk or mitigating it. Along with some common measures of Cambria ETF etf's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1532 | |||
| Market Risk Adjusted Performance | 0.3784 | |||
| Mean Deviation | 0.4193 | |||
| Semi Deviation | 0.2424 | |||
| Downside Deviation | 0.445 | |||
| Coefficient Of Variation | 482.43 | |||
| Standard Deviation | 0.5132 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Cambria ETF Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Cambria ETF as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Cambria ETF's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Cambria ETF's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Cambria ETF Trust.
When determining whether Cambria ETF Trust is a strong investment it is important to analyze Cambria ETF's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Cambria ETF's future performance. For an informed investment choice regarding Cambria Etf, refer to the following important reports: Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Cambria ETF Trust. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in small area income & poverty estimates. For more detail on how to invest in Cambria Etf please use our How to Invest in Cambria ETF guide.You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Understanding Cambria ETF Trust requires distinguishing between market price and book value, where the latter reflects Cambria's accounting equity. The concept of intrinsic value - what Cambria ETF's is actually worth based on fundamentals - guides informed investors toward better entry and exit points. Market participants employ diverse analytical approaches to determine fair value and identify buying opportunities when prices dip below calculated worth. Market sentiment, economic cycles, and investor behavior can push Cambria ETF's price substantially above or below its fundamental value.
It's important to distinguish between Cambria ETF's intrinsic value and market price, which are calculated using different methodologies. Investment decisions regarding Cambria ETF should consider multiple factors including financial performance, growth metrics, competitive position, and professional analysis. In contrast, Cambria ETF's trading price reflects the actual exchange value where willing buyers and sellers reach mutual agreement.