Correlation Between Cambria Value and Cabana Target
Can any of the company-specific risk be diversified away by investing in both Cambria Value and Cabana Target 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 Cabana Target 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 Cabana Target Drawdown, you can compare the effects of market volatilities on Cambria Value and Cabana Target 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 Cabana Target. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Value and Cabana Target.
Diversification Opportunities for Cambria Value and Cabana Target
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Cambria and Cabana is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and Cabana Target Drawdown in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cabana Target Drawdown 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 Cabana Target. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cabana Target Drawdown has no effect on the direction of Cambria Value i.e., Cambria Value and Cabana Target go up and down completely randomly.
Pair Corralation between Cambria Value and Cabana Target
Given the investment horizon of 90 days Cambria Value and is expected to generate 2.29 times more return on investment than Cabana Target. However, Cambria Value is 2.29 times more volatile than Cabana Target Drawdown. It trades about 0.31 of its potential returns per unit of risk. Cabana Target Drawdown is currently generating about 0.32 per unit of risk. If you would invest 2,966 in Cambria Value and on September 1, 2024 and sell it today you would earn a total of 260.00 from holding Cambria Value and or generate 8.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Cambria Value and vs. Cabana Target Drawdown
Performance |
| Timeline |
| Cambria Value |
| Cabana Target Drawdown |
Cambria Value and Cabana Target Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cambria Value and Cabana Target
The main advantage of trading using opposite Cambria Value and Cabana Target positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cambria Value position performs unexpectedly, Cabana Target 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 Cabana Target will offset losses from the drop in Cabana Target'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 |
| Cabana Target vs. Cambria Global Asset | Cabana Target vs. Cambria Global Value | Cabana Target vs. Cambria Foreign Shareholder | Cabana Target vs. Cambria Value and |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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