Correlation Between Cambria Value and LHA Market
Can any of the company-specific risk be diversified away by investing in both Cambria Value and LHA Market 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 LHA Market 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 LHA Market State, you can compare the effects of market volatilities on Cambria Value and LHA Market 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 LHA Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Value and LHA Market.
Diversification Opportunities for Cambria Value and LHA Market
-0.16 | Correlation Coefficient |
Good diversification
The 3 months correlation between Cambria and LHA is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and LHA Market State in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on LHA Market State 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 LHA Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of LHA Market State has no effect on the direction of Cambria Value i.e., Cambria Value and LHA Market go up and down completely randomly.
Pair Corralation between Cambria Value and LHA Market
Given the investment horizon of 90 days Cambria Value and is expected to under-perform the LHA Market. In addition to that, Cambria Value is 1.23 times more volatile than LHA Market State. It trades about -0.17 of its total potential returns per unit of risk. LHA Market State is currently generating about 0.15 per unit of volatility. If you would invest 2,195 in LHA Market State on September 12, 2024 and sell it today you would earn a total of 46.00 from holding LHA Market State or generate 2.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cambria Value and vs. LHA Market State
Performance |
| Timeline |
| Cambria Value |
| LHA Market State |
Cambria Value and LHA Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cambria Value and LHA Market
The main advantage of trading using opposite Cambria Value and LHA Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cambria Value position performs unexpectedly, LHA Market 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 LHA Market will offset losses from the drop in LHA Market'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 |
| LHA Market vs. Alpha Architect Quantitative | LHA Market vs. Alpha Architect International | LHA Market vs. Alpha Architect International | LHA Market vs. Alpha Architect Quantitative |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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