Correlation Between Amplify BlackSwan and Cambria Value

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

By analyzing existing cross correlation between Amplify BlackSwan Growth and Cambria Value and, you can compare the effects of market volatilities on Amplify BlackSwan and Cambria Value 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 Amplify BlackSwan with a short position of Cambria Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amplify BlackSwan and Cambria Value.

Diversification Opportunities for Amplify BlackSwan and Cambria Value

0.61

Correlation Coefficient

Amplify BlackSwan  Cambria Value

Poor diversification

The 3 months correlation between Amplify and Cambria is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Amplify BlackSwan Growth and Cambria Value and in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Value and Amplify BlackSwan 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 Amplify BlackSwan Growth are associated (or correlated) with Cambria Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cambria Value has no effect on the direction of Amplify BlackSwan i.e., Amplify BlackSwan and Cambria Value go up and down completely randomly.

Pair Corralation between Amplify BlackSwan and Cambria Value

Given the investment horizon of 90 days Amplify BlackSwan Growth is expected to generate 0.75 times more return on investment than Cambria Value. However, Amplify BlackSwan Growth is 1.33 times less risky than Cambria Value. It trades about 0.08 of its potential returns per unit of risk. Cambria Value and is currently generating about 0.04 per unit of risk. If you would invest  2,355  in Amplify BlackSwan Growth on September 13, 2024 and sell it today you would earn a total of  751.00  from holding Amplify BlackSwan Growth or generate 31.89% return on investment over 90 days.

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

Amplify BlackSwan Growth  vs.  Cambria Value and

Amplify BlackSwan Growth

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Amplify BlackSwan Growth are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, Amplify BlackSwan is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

Cambria Value

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Cambria Value and are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating primary indicators, Cambria Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Amplify BlackSwan and Cambria Value

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

The idea behind Amplify BlackSwan Growth and Cambria Value and 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.