Correlation Between Swan Hedged and Cambria Value
Can any of the company-specific risk be diversified away by investing in both Swan Hedged and Cambria Value 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 Swan Hedged and Cambria Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Swan Hedged Equity and Cambria Value and, you can compare the effects of market volatilities on Swan Hedged and Cambria Value 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 Swan Hedged with a short position of Cambria Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Swan Hedged and Cambria Value.
Diversification Opportunities for Swan Hedged and Cambria Value
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Swan and Cambria is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Swan Hedged Equity and Cambria Value and in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Value and Swan Hedged 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 Swan Hedged Equity are associated (or correlated) with Cambria Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cambria Value has no effect on the direction of Swan Hedged i.e., Swan Hedged and Cambria Value go up and down completely randomly.
Pair Corralation between Swan Hedged and Cambria Value
Given the investment horizon of 90 days Swan Hedged Equity is expected to generate 0.48 times more return on investment than Cambria Value. However, Swan Hedged Equity is 2.06 times less risky than Cambria Value. It trades about 0.09 of its potential returns per unit of risk. Cambria Value and is currently generating about -0.1 per unit of risk. If you would invest 2,280 in Swan Hedged Equity on September 13, 2024 and sell it today you would earn a total of 15.00 from holding Swan Hedged Equity or generate 0.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Swan Hedged Equity vs. Cambria Value and
Performance |
| Timeline |
| Swan Hedged Equity |
| Cambria Value |
Swan Hedged and Cambria Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Swan Hedged and Cambria Value
The main advantage of trading using opposite Swan Hedged and Cambria Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swan Hedged position performs unexpectedly, Cambria Value 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 Value will offset losses from the drop in Cambria Value's long position.| Swan Hedged vs. Alpha Architect Quantitative | Swan Hedged vs. Alpha Architect International | Swan Hedged vs. Alpha Architect International | Swan Hedged vs. Alpha Architect Quantitative |
| Cambria Value vs. Alpha Architect Quantitative | Cambria Value vs. Alpha Architect International | Cambria Value vs. Alpha Architect International | Cambria Value vs. Alpha Architect Quantitative |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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