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 SP, 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

0.68

Correlation Coefficient

Cambria Value  Global X

Poor diversification

The 3 months correlation between Cambria and Global is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and Global X SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global X SP 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 SP 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 and is expected to under-perform the Global X. But the etf apears to be less risky and, when comparing its historical volatility, Cambria Value and is 1.16 times less risky than Global X. The etf trades about -0.2 of its potential returns per unit of risk. The Global X SP is currently generating about -0.12 of returns per unit of risk over similar time horizon. If you would invest  2,839  in Global X SP on October 11, 2024 and sell it today you would lose (60.00) from holding Global X SP or give up 2.11% of portfolio value over 90 days.

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

Cambria Value and  vs.  Global X SP

Cambria Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Cambria Value and has generated negative risk-adjusted returns adding no value to investors with long positions. 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 SP

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Global X SP are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable essential indicators, Global X is not utilizing all of its potentials. The recent stock price agitation, may contribute to short-term losses for the retail investors.

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 SP 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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.