Correlation Between NYSE Composite and Cambria Value
Can any of the company-specific risk be diversified away by investing in both NYSE Composite 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 NYSE Composite and Cambria Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Cambria Value and, you can compare the effects of market volatilities on NYSE Composite 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 NYSE Composite with a short position of Cambria Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Cambria Value.
Diversification Opportunities for NYSE Composite and Cambria Value
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between NYSE and Cambria is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Cambria Value and in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Value and NYSE Composite 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 NYSE Composite 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 NYSE Composite i.e., NYSE Composite and Cambria Value go up and down completely randomly.
Pair Corralation between NYSE Composite and Cambria Value
Assuming the 90 days trading horizon NYSE Composite is expected to generate 0.86 times more return on investment than Cambria Value. However, NYSE Composite is 1.16 times less risky than Cambria Value. It trades about 0.28 of its potential returns per unit of risk. Cambria Value and is currently generating about 0.14 per unit of risk. If you would invest 1,925,429 in NYSE Composite on November 4, 2024 and sell it today you would earn a total of 74,453 from holding NYSE Composite or generate 3.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Cambria Value and
Performance |
| Timeline |
NYSE Composite and Cambria Value Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Cambria Value and
Pair trading matchups for Cambria Value
Pair Trading with NYSE Composite and Cambria Value
The main advantage of trading using opposite NYSE Composite and Cambria Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite 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.| NYSE Composite vs. Arrow Electronics | NYSE Composite vs. Cirmaker Technology | NYSE Composite vs. Zhihu Inc ADR | NYSE Composite vs. Weibo Corp |
| Cambria Value vs. Cambria Global Momentum | Cambria Value vs. Cambria Emerging Shareholder | Cambria Value vs. Cambria Shareholder Yield | Cambria Value vs. Cambria Foreign Shareholder |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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