Correlation Between ProShares Short and Cambria Tail
Can any of the company-specific risk be diversified away by investing in both ProShares Short 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 ProShares Short and Cambria Tail into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Short SmallCap600 and Cambria Tail Risk, you can compare the effects of market volatilities on ProShares Short 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 ProShares Short with a short position of Cambria Tail. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Short and Cambria Tail.
Diversification Opportunities for ProShares Short and Cambria Tail
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ProShares and Cambria is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Short SmallCap600 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 ProShares Short 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 ProShares Short SmallCap600 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 ProShares Short i.e., ProShares Short and Cambria Tail go up and down completely randomly.
Pair Corralation between ProShares Short and Cambria Tail
Considering the 90-day investment horizon ProShares Short SmallCap600 is expected to under-perform the Cambria Tail. In addition to that, ProShares Short is 1.69 times more volatile than Cambria Tail Risk. It trades about -0.06 of its total potential returns per unit of risk. Cambria Tail Risk is currently generating about -0.04 per unit of volatility. If you would invest 1,244 in Cambria Tail Risk on September 2, 2024 and sell it today you would lose (105.00) from holding Cambria Tail Risk or give up 8.44% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Short SmallCap600 vs. Cambria Tail Risk
Performance |
| Timeline |
| ProShares Short Smal |
| Cambria Tail Risk |
ProShares Short and Cambria Tail Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Short and Cambria Tail
The main advantage of trading using opposite ProShares Short and Cambria Tail positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Short 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.| ProShares Short vs. ProShares Short MidCap400 | ProShares Short vs. ProShares UltraShort SmallCap600 | ProShares Short vs. ProShares UltraShort MidCap400 | ProShares Short vs. ProShares UltraShort Health |
| 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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