Correlation Between PIMCO 15 and Cambria Tail
Can any of the company-specific risk be diversified away by investing in both PIMCO 15 and Cambria Tail 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 PIMCO 15 and Cambria Tail into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PIMCO 15 Year and Cambria Tail Risk, you can compare the effects of market volatilities on PIMCO 15 and Cambria Tail 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 PIMCO 15 with a short position of Cambria Tail. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO 15 and Cambria Tail.
Diversification Opportunities for PIMCO 15 and Cambria Tail
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between PIMCO and Cambria is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO 15 Year and Cambria Tail Risk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Tail Risk and PIMCO 15 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 PIMCO 15 Year are associated (or correlated) with Cambria Tail. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cambria Tail Risk has no effect on the direction of PIMCO 15 i.e., PIMCO 15 and Cambria Tail go up and down completely randomly.
Pair Corralation between PIMCO 15 and Cambria Tail
Given the investment horizon of 90 days PIMCO 15 Year is expected to generate 0.84 times more return on investment than Cambria Tail. However, PIMCO 15 Year is 1.18 times less risky than Cambria Tail. It trades about 0.03 of its potential returns per unit of risk. Cambria Tail Risk is currently generating about -0.01 per unit of risk. If you would invest 5,376 in PIMCO 15 Year on September 1, 2024 and sell it today you would earn a total of 163.00 from holding PIMCO 15 Year or generate 3.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
PIMCO 15 Year vs. Cambria Tail Risk
Performance |
| Timeline |
| PIMCO 15 Year |
| Cambria Tail Risk |
PIMCO 15 and Cambria Tail Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PIMCO 15 and Cambria Tail
The main advantage of trading using opposite PIMCO 15 and Cambria Tail positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO 15 position performs unexpectedly, Cambria Tail 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 Tail will offset losses from the drop in Cambria Tail's long position.| PIMCO 15 vs. Dimensional ETF Trust | PIMCO 15 vs. JPMorgan Inflation Managed | PIMCO 15 vs. Goldman Sachs ETF | PIMCO 15 vs. Dimensional ETF Trust |
| Cambria Tail vs. Amplify BlackSwan Growth | Cambria Tail vs. AGFiQ Market Neutral | Cambria Tail vs. Quadratic Interest Rate | Cambria Tail vs. AdvisorShares Dorsey Wright |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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