Correlation Between Cambria Tail and ETF Series
Can any of the company-specific risk be diversified away by investing in both Cambria Tail and ETF Series 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 Cambria Tail and ETF Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cambria Tail Risk and ETF Series Solutions, you can compare the effects of market volatilities on Cambria Tail and ETF Series 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 Cambria Tail with a short position of ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Tail and ETF Series.
Diversification Opportunities for Cambria Tail and ETF Series
-0.86 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Cambria and ETF is -0.86. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Tail Risk and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions and Cambria Tail 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 Cambria Tail Risk are associated (or correlated) with ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of Cambria Tail i.e., Cambria Tail and ETF Series go up and down completely randomly.
Pair Corralation between Cambria Tail and ETF Series
Given the investment horizon of 90 days Cambria Tail Risk is expected to under-perform the ETF Series. But the etf apears to be less risky and, when comparing its historical volatility, Cambria Tail Risk is 1.14 times less risky than ETF Series. The etf trades about -0.17 of its potential returns per unit of risk. The ETF Series Solutions is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest 3,256 in ETF Series Solutions on September 1, 2024 and sell it today you would earn a total of 119.00 from holding ETF Series Solutions or generate 3.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Cambria Tail Risk vs. ETF Series Solutions
Performance |
| Timeline |
| Cambria Tail Risk |
| ETF Series Solutions |
Cambria Tail and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cambria Tail and ETF Series
The main advantage of trading using opposite Cambria Tail and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cambria Tail position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' long position.| Cambria Tail vs. Amplify BlackSwan Growth | Cambria Tail vs. AGFiQ Market Neutral | Cambria Tail vs. Quadratic Interest Rate | Cambria Tail vs. AdvisorShares Dorsey Wright |
| ETF Series vs. Aptus Collared Income | ETF Series vs. Core Alternative ETF | ETF Series vs. Invesco SP 500 | ETF Series vs. ETF Series Solutions |
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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