Correlation Between Cambria Value and First Trust
Can any of the company-specific risk be diversified away by investing in both Cambria Value and First Trust 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 Value and First Trust into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cambria Value and and First Trust Dorsey, you can compare the effects of market volatilities on Cambria Value and First Trust 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 Value with a short position of First Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Value and First Trust.
Diversification Opportunities for Cambria Value and First Trust
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Cambria and First is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and First Trust Dorsey in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Trust Dorsey and Cambria Value 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 Value and are associated (or correlated) with First Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Trust Dorsey has no effect on the direction of Cambria Value i.e., Cambria Value and First Trust go up and down completely randomly.
Pair Corralation between Cambria Value and First Trust
Given the investment horizon of 90 days Cambria Value and is expected to generate 1.12 times more return on investment than First Trust. However, Cambria Value is 1.12 times more volatile than First Trust Dorsey. It trades about 0.32 of its potential returns per unit of risk. First Trust Dorsey is currently generating about 0.35 per unit of risk. If you would invest 2,974 in Cambria Value and on September 3, 2024 and sell it today you would earn a total of 252.00 from holding Cambria Value and or generate 8.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cambria Value and vs. First Trust Dorsey
Performance |
| Timeline |
| Cambria Value |
| First Trust Dorsey |
Cambria Value and First Trust Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cambria Value and First Trust
The main advantage of trading using opposite Cambria Value and First Trust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cambria Value position performs unexpectedly, First Trust 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 First Trust will offset losses from the drop in First Trust's long position.| Cambria Value vs. Cambria Global Momentum | Cambria Value vs. Cambria Emerging Shareholder | Cambria Value vs. Cambria Shareholder Yield | Cambria Value vs. Cambria Foreign Shareholder |
| First Trust vs. First Trust Dorsey | First Trust vs. Direxion Daily MSCI | First Trust vs. MFUT | First Trust vs. VanEck Morningstar Wide |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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