Correlation Between Cambria Value and Global X

Can any of the company-specific risk be diversified away by investing in both Cambria Value and Global X 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 Global X 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 Global X NASDAQ, you can compare the effects of market volatilities on Cambria Value and Global X 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 Global X. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Value and Global X.

Diversification Opportunities for Cambria Value and Global X

0.8

Correlation Coefficient

Cambria Value  Global X

Very poor diversification

The 3 months correlation between Cambria and Global is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and Global X NASDAQ in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global X NASDAQ 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 Global X. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global X NASDAQ has no effect on the direction of Cambria Value i.e., Cambria Value and Global X go up and down completely randomly.

Pair Corralation between Cambria Value and Global X

Given the investment horizon of 90 days Cambria Value is expected to generate 1.61 times less return on investment than Global X. In addition to that, Cambria Value is 1.33 times more volatile than Global X NASDAQ. It trades about 0.1 of its total potential returns per unit of risk. Global X NASDAQ is currently generating about 0.21 per unit of volatility. If you would invest  2,942  in Global X NASDAQ on September 16, 2024 and sell it today you would earn a total of  297.00  from holding Global X NASDAQ or generate 10.1% return on investment over 90 days.

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

Cambria Value and  vs.  Global X NASDAQ

Cambria Value

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Cambria Value and are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy primary indicators, Cambria Value is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Global X NASDAQ

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Global X NASDAQ are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Even with relatively unfluctuating essential indicators, Global X may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Cambria Value and Global X

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

The idea behind Cambria Value and and Global X NASDAQ 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.

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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.