Correlation Between FT Cboe and Cambria Global
Can any of the company-specific risk be diversified away by investing in both FT Cboe and Cambria Global at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining FT Cboe and Cambria Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FT Cboe Vest and Cambria Global Momentum, you can compare the effects of market volatilities on FT Cboe and Cambria Global and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in FT Cboe with a short position of Cambria Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of FT Cboe and Cambria Global.
Diversification Opportunities for FT Cboe and Cambria Global
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between DFEB and Cambria is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding FT Cboe Vest and Cambria Global Momentum in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Global Momentum and FT Cboe is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on FT Cboe Vest are associated (or correlated) with Cambria Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cambria Global Momentum has no effect on the direction of FT Cboe i.e., FT Cboe and Cambria Global go up and down completely randomly.
Pair Corralation between FT Cboe and Cambria Global
Given the investment horizon of 90 days FT Cboe is expected to generate 1.91 times less return on investment than Cambria Global. But when comparing it to its historical volatility, FT Cboe Vest is 3.45 times less risky than Cambria Global. It trades about 0.44 of its potential returns per unit of risk. Cambria Global Momentum is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 2,885 in Cambria Global Momentum on September 5, 2024 and sell it today you would earn a total of 131.00 from holding Cambria Global Momentum or generate 4.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
FT Cboe Vest vs. Cambria Global Momentum
Performance |
| Timeline |
| FT Cboe Vest |
| Cambria Global Momentum |
FT Cboe and Cambria Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with FT Cboe and Cambria Global
The main advantage of trading using opposite FT Cboe and Cambria Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FT Cboe position performs unexpectedly, Cambria Global can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Cambria Global will offset losses from the drop in Cambria Global's long position.The idea behind FT Cboe Vest and Cambria Global Momentum pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Cambria Global vs. Cambria Global Asset | Cambria Global vs. Cambria Global Value | Cambria Global vs. Cambria Foreign Shareholder | Cambria Global vs. Cambria Value and |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
Other Complementary Tools
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Commodity Directory Find actively traded commodities issued by global exchanges |