Cambria Value Correlations
| VAMO Etf | USD 30.02 0.89 3.06% |
The current 90-days correlation between Cambria Value and Cambria Global Momentum is 0.53 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Cambria Value moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Cambria Value and moves in either direction, the perfectly negatively correlated security will move in the opposite direction.
Cambria Value Correlation With Market
Good diversification
The correlation between Cambria Value and and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and DJI in the same portfolio, assuming nothing else is changed.
Cambria |
Moving together with Cambria Etf
| 0.68 | ACIO | Aptus Collared Income | PairCorr |
| 0.68 | ADME | Aptus Drawdown Managed | PairCorr |
| 0.66 | MSTB | ETF Series Solutions | PairCorr |
| 0.67 | HEGD | Swan Hedged Equity | PairCorr |
| 0.61 | HEQT | Simplify Exchange Traded | PairCorr |
| 0.75 | VO | Vanguard Mid Cap | PairCorr |
| 0.75 | VB | Vanguard Small Cap | PairCorr |
| 0.71 | BAC | Bank of America | PairCorr |
| 0.67 | MSFT | Microsoft | PairCorr |
| 0.79 | CAT | Caterpillar | PairCorr |
| 0.65 | HD | Home Depot | PairCorr |
Moving against Cambria Etf
| 0.71 | CCOR | Core Alternative ETF | PairCorr |
| 0.64 | BND | Vanguard Total Bond | PairCorr |
| 0.5 | VEA | Vanguard FTSE Developed | PairCorr |
| 0.71 | VZ | Verizon Communications | PairCorr |
| 0.7 | MCD | McDonalds | PairCorr |
| 0.64 | T | ATT Inc Earnings Call Tomorrow | PairCorr |
| 0.63 | PG | Procter Gamble | PairCorr |
| 0.46 | IBM | International Business | PairCorr |
| 0.34 | CSCO | Cisco Systems | PairCorr |
| 0.32 | INTC | Intel | PairCorr |
Related Correlations Analysis
| 0.16 | 0.74 | -0.04 | -0.12 | GMOM | ||
| 0.16 | -0.44 | 0.86 | 0.81 | EYLD | ||
| 0.74 | -0.44 | -0.64 | -0.71 | SYLD | ||
| -0.04 | 0.86 | -0.64 | 0.94 | FYLD | ||
| -0.12 | 0.81 | -0.71 | 0.94 | GVAL | ||
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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 Value Constituents Risk-Adjusted Indicators
There is a big difference between Cambria Etf performing well and Cambria Value 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 Value'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GMOM | 0.63 | 0.00 | 0.09 | (0.01) | 0.75 | 1.29 | 3.38 | |||
| EYLD | 0.72 | 0.04 | 0.12 | (1.16) | 0.79 | 1.41 | 4.35 | |||
| SYLD | 0.78 | (0.10) | 0.00 | 5.23 | 0.00 | 1.33 | 3.76 | |||
| FYLD | 0.60 | 0.13 | 0.26 | (1.59) | 0.61 | 1.48 | 4.19 | |||
| GVAL | 0.96 | 0.26 | 0.20 | (0.61) | 1.36 | 1.41 | 20.58 |