Cambria Fixed Income Etf Volatility
| CFIT Etf | 25.56 0.10 0.39% |
Currently, Cambria Fixed Income is very steady. Cambria Fixed Income secures Sharpe Ratio (or Efficiency) of 0.054, which signifies that the etf had a 0.054 % return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Cambria Fixed Income, which you can use to evaluate the volatility of the entity. Please confirm Cambria Fixed's Risk Adjusted Performance of 0.0269, mean deviation of 0.2424, and Downside Deviation of 0.3762 to double-check if the risk estimate we provide is consistent with the expected return of 0.0177%.
Cambria Fixed 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 Fixed volatility.
Downward market volatility can be a perfect environment for investors who play the long game with Cambria Fixed. They may decide to buy additional shares of Cambria Fixed at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Cambria Etf
| 0.88 | VTI | Vanguard Total Stock | PairCorr |
| 0.86 | SPY | SPDR SP 500 | PairCorr |
| 0.86 | IVV | iShares Core SP | PairCorr |
| 0.64 | BND | Vanguard Total Bond | PairCorr |
| 0.87 | VTV | Vanguard Value Index | PairCorr |
| 0.9 | VO | Vanguard Mid Cap | PairCorr |
| 0.91 | VEA | Vanguard FTSE Developed | PairCorr |
| 0.91 | VB | Vanguard Small Cap | PairCorr |
| 0.92 | VWO | Vanguard FTSE Emerging | PairCorr |
| 0.82 | SIXD | AIM ETF Products | PairCorr |
| 0.84 | BA | Boeing | PairCorr |
Moving against Cambria Etf
| 0.76 | VXX | iPath Series B | PairCorr |
| 0.76 | VIXY | ProShares VIX Short | PairCorr |
| 0.75 | VIXM | ProShares VIX Mid | PairCorr |
| 0.75 | VXZ | iPath Series B | PairCorr |
Cambria Fixed Market Sensitivity And Downside Risk
Cambria Fixed'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 Fixed's beta of -0.0032 provides an investor with an approximation of how much risk Cambria Fixed etf can potentially add to one of your existing portfolios. Cambria Fixed Income exhibits very low volatility with skewness of -0.67 and kurtosis of 1.55. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Cambria Fixed'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 Fixed'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 Fixed Income Demand TrendCheck current 90 days Cambria Fixed correlation with market (Dow Jones Industrial)Cambria Fixed 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 Fixed Income Etf Volatility Analysis
Volatility refers to the frequency at which Cambria Fixed etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Cambria Fixed's price changes. Investors will then calculate the volatility of Cambria Fixed'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 Fixed's volatility:
Historical Volatility
This type of etf volatility measures Cambria Fixed's fluctuations based on previous trends. It's commonly used to predict Cambria Fixed'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 Fixed'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 Fixed'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 Fixed Income 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 Fixed Projected Return Density Against Market
Given the investment horizon of 90 days Cambria Fixed Income has a beta of -0.0032 suggesting as returns on the benchmark increase, returns on holding Cambria Fixed are expected to decrease at a much lower rate. During a bear market, however, Cambria Fixed Income is likely to outperform the market.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 Fixed or Broad Market ETFs 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 Fixed'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.
Cambria Fixed Income has an alpha of 0.0078, implying that it can generate a 0.0078 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Cambria Fixed 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 Fixed Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Cambria Fixed is 1851.17. The daily returns are distributed with a variance of 0.11 and standard deviation of 0.33. The mean deviation of Cambria Fixed Income is currently at 0.24. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.72
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | -0.0032 | |
σ | Overall volatility | 0.33 | |
Ir | Information ratio | -0.08 |
Cambria Fixed Etf Return Volatility
Cambria Fixed historical daily return volatility represents how much of Cambria Fixed etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The exchange-traded fund inherits 0.3269% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7413% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
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
| High negative correlations
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Cambria Fixed Competition Risk-Adjusted Indicators
There is a big difference between Cambria Etf performing well and Cambria Fixed 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 Fixed'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.61 | (0.08) | 0.00 | (0.04) | 0.00 | 3.43 | 11.42 | |||
| MSFT | 1.23 | (0.32) | 0.00 | (1.41) | 0.00 | 1.85 | 13.28 | |||
| UBER | 1.46 | (0.30) | 0.00 | (0.36) | 0.00 | 2.46 | 10.23 | |||
| F | 1.24 | 0.05 | 0.04 | 0.08 | 1.23 | 3.38 | 7.16 | |||
| T | 0.96 | 0.05 | 0.02 | 0.23 | 1.04 | 1.85 | 3.77 | |||
| A | 1.19 | (0.18) | 0.00 | (0.10) | 0.00 | 2.90 | 7.85 | |||
| CRM | 1.54 | (0.30) | 0.00 | (0.25) | 0.00 | 2.94 | 12.37 | |||
| JPM | 1.09 | (0.03) | (0.01) | 0.01 | 1.67 | 1.88 | 7.38 | |||
| MRK | 1.28 | 0.33 | 0.24 | 0.50 | 1.13 | 3.59 | 8.09 | |||
| XOM | 1.08 | 0.31 | 0.23 | 3.83 | 0.95 | 2.38 | 5.82 |
About Cambria Fixed Volatility
Volatility is a rate at which the price of Cambria Fixed 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 Fixed may increase or decrease. In other words, similar to Cambria's beta indicator, it measures the risk of Cambria Fixed and helps estimate the fluctuations that may happen in a short period of time. So if prices of Cambria Fixed 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.3 ways to utilize Cambria Fixed's volatility to invest better
Higher Cambria Fixed'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 Fixed Income 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 Fixed Income 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 Fixed Income investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Cambria Fixed'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 Fixed's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Cambria Fixed Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.74 and is 2.24 times more volatile than Cambria Fixed Income. 2 percent of all equities and portfolios are less risky than Cambria Fixed. You can use Cambria Fixed Income to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend and little activity. Check odds of Cambria Fixed to be traded at 25.3 in 90 days.Poor diversification
The correlation between Cambria Fixed Income 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 Fixed Income and DJI in the same portfolio, assuming nothing else is changed.
Cambria Fixed Additional Risk Indicators
The analysis of Cambria Fixed'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 Fixed's investment and either accepting that risk or mitigating it. Along with some common measures of Cambria Fixed 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 | 0.0269 | |||
| Market Risk Adjusted Performance | (2.38) | |||
| Mean Deviation | 0.2424 | |||
| Semi Deviation | 0.3287 | |||
| Downside Deviation | 0.3762 | |||
| Coefficient Of Variation | 1851.17 | |||
| Standard Deviation | 0.3269 |
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 Fixed 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 Fixed 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 Fixed'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 Fixed'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 Fixed Income.
When determining whether Cambria Fixed Income is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Cambria Etf is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Cambria Fixed Income Etf. Highlighted below are key reports to facilitate an investment decision about Cambria Fixed Income Etf: Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Cambria Fixed Income. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as various price indices. You can also try the Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
Cambria Fixed Income's market price often diverges from its book value, the accounting figure shown on Cambria's balance sheet. Smart investors calculate Cambria Fixed's intrinsic value—its true economic worth—which may differ significantly from both market price and book value. Analysts utilize numerous techniques to assess fundamental value, seeking to purchase shares when trading prices fall beneath estimated intrinsic worth. Since Cambria Fixed's trading price responds to investor sentiment, macroeconomic conditions, and market psychology, it can swing far from fundamental value.
It's important to distinguish between Cambria Fixed's intrinsic value and market price, which are calculated using different methodologies. Investment decisions regarding Cambria Fixed should consider multiple factors including financial performance, growth metrics, competitive position, and professional analysis. However, Cambria Fixed's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.