Correlation Between SPDR Russell and Cambria Shareholder
Can any of the company-specific risk be diversified away by investing in both SPDR Russell and Cambria Shareholder 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 SPDR Russell and Cambria Shareholder into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Russell 1000 and Cambria Shareholder Yield, you can compare the effects of market volatilities on SPDR Russell and Cambria Shareholder 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 SPDR Russell with a short position of Cambria Shareholder. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Russell and Cambria Shareholder.
Diversification Opportunities for SPDR Russell and Cambria Shareholder
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and Cambria is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Russell 1000 and Cambria Shareholder Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Shareholder Yield and SPDR Russell 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 SPDR Russell 1000 are associated (or correlated) with Cambria Shareholder. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cambria Shareholder Yield has no effect on the direction of SPDR Russell i.e., SPDR Russell and Cambria Shareholder go up and down completely randomly.
Pair Corralation between SPDR Russell and Cambria Shareholder
Given the investment horizon of 90 days SPDR Russell is expected to generate 1.23 times less return on investment than Cambria Shareholder. But when comparing it to its historical volatility, SPDR Russell 1000 is 1.61 times less risky than Cambria Shareholder. It trades about 0.34 of its potential returns per unit of risk. Cambria Shareholder Yield is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 7,066 in Cambria Shareholder Yield on August 31, 2024 and sell it today you would earn a total of 503.00 from holding Cambria Shareholder Yield or generate 7.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Russell 1000 vs. Cambria Shareholder Yield
Performance |
| Timeline |
| SPDR Russell 1000 |
| Cambria Shareholder Yield |
SPDR Russell and Cambria Shareholder Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Russell and Cambria Shareholder
The main advantage of trading using opposite SPDR Russell and Cambria Shareholder positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Russell position performs unexpectedly, Cambria Shareholder 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 Shareholder will offset losses from the drop in Cambria Shareholder's long position.| SPDR Russell vs. SPDR Russell 1000 | SPDR Russell vs. SPDR MSCI USA | SPDR Russell vs. SPDR SP 400 | SPDR Russell vs. SPDR MSCI EAFE |
| Cambria Shareholder vs. Cambria Foreign Shareholder | Cambria Shareholder vs. Invesco BuyBack Achievers | Cambria Shareholder vs. Cambria Global Value | Cambria Shareholder 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 Stocks Directory module to find actively traded stocks across global markets.
Other Complementary Tools
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Stocks Directory Find actively traded stocks across global markets | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation |