Correlation Between Invesco FTSE and Cambria Global
Can any of the company-specific risk be diversified away by investing in both Invesco FTSE 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 Invesco FTSE and Cambria Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco FTSE RAFI and Cambria Global Value, you can compare the effects of market volatilities on Invesco FTSE 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 Invesco FTSE with a short position of Cambria Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco FTSE and Cambria Global.
Diversification Opportunities for Invesco FTSE and Cambria Global
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Invesco and Cambria is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Invesco FTSE RAFI and Cambria Global Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Global Value and Invesco FTSE 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 Invesco FTSE RAFI 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 Value has no effect on the direction of Invesco FTSE i.e., Invesco FTSE and Cambria Global go up and down completely randomly.
Pair Corralation between Invesco FTSE and Cambria Global
Considering the 90-day investment horizon Invesco FTSE is expected to generate 1.67 times less return on investment than Cambria Global. But when comparing it to its historical volatility, Invesco FTSE RAFI is 1.01 times less risky than Cambria Global. It trades about 0.04 of its potential returns per unit of risk. Cambria Global Value is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,939 in Cambria Global Value on November 5, 2024 and sell it today you would earn a total of 291.00 from holding Cambria Global Value or generate 15.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco FTSE RAFI vs. Cambria Global Value
Performance |
| Timeline |
| Invesco FTSE RAFI |
| Cambria Global Value |
Invesco FTSE and Cambria Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco FTSE and Cambria Global
The main advantage of trading using opposite Invesco FTSE and Cambria Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco FTSE 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.| Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco DWA Developed |
| Cambria Global vs. Cambria Foreign Shareholder | Cambria Global vs. Cambria Global Momentum | Cambria Global vs. Cambria Emerging Shareholder | Cambria Global vs. Cambria Global Asset |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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