Correlation Between Cambria Global and Avantis International

Can any of the company-specific risk be diversified away by investing in both Cambria Global and Avantis International 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 Global and Avantis International into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Cambria Global Asset and Avantis International Small, you can compare the effects of market volatilities on Cambria Global and Avantis International 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 Global with a short position of Avantis International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Global and Avantis International.

Diversification Opportunities for Cambria Global and Avantis International

0.67

Correlation Coefficient

Cambria Global  Avantis International

Poor diversification

The 3 months correlation between Cambria and Avantis is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Global Asset and Avantis International Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Avantis International and Cambria Global 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 Global Asset are associated (or correlated) with Avantis International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Avantis International has no effect on the direction of Cambria Global i.e., Cambria Global and Avantis International go up and down completely randomly.

Pair Corralation between Cambria Global and Avantis International

Considering the 90-day investment horizon Cambria Global Asset is expected to under-perform the Avantis International. But the etf apears to be less risky and, when comparing its historical volatility, Cambria Global Asset is 1.59 times less risky than Avantis International. The etf trades about -0.25 of its potential returns per unit of risk. The Avantis International Small is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  6,474  in Avantis International Small on September 21, 2024 and sell it today you would lose (78.00) from holding Avantis International Small or give up 1.2% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Cambria Global Asset  vs.  Avantis International Small

Cambria Global Asset

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Cambria Global Asset has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Cambria Global is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Avantis International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Avantis International Small has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable fundamental indicators, Avantis International is not utilizing all of its potentials. The recent stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with Cambria Global and Avantis International

The main advantage of trading using opposite Cambria Global and Avantis International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cambria Global position performs unexpectedly, Avantis International 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 Avantis International will offset losses from the drop in Avantis International's long position.

The idea behind Cambria Global Asset and Avantis International Small pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Money Managers module to screen money managers from public funds and ETFs managed around the world.