Correlation Between Cambria Value and ETF Series
Can any of the company-specific risk be diversified away by investing in both Cambria Value and ETF Series 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 ETF Series 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 ETF Series Solutions, you can compare the effects of market volatilities on Cambria Value and ETF Series 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 ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Value and ETF Series.
Diversification Opportunities for Cambria Value and ETF Series
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Cambria and ETF is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions 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 ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of Cambria Value i.e., Cambria Value and ETF Series go up and down completely randomly.
Pair Corralation between Cambria Value and ETF Series
Given the investment horizon of 90 days Cambria Value is expected to generate 3.98 times less return on investment than ETF Series. But when comparing it to its historical volatility, Cambria Value and is 1.62 times less risky than ETF Series. It trades about 0.12 of its potential returns per unit of risk. ETF Series Solutions is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest 3,433 in ETF Series Solutions on March 10, 2025 and sell it today you would earn a total of 208.00 from holding ETF Series Solutions or generate 6.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cambria Value and vs. ETF Series Solutions
Performance |
| Timeline |
| Cambria Value |
| ETF Series Solutions |
Cambria Value and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cambria Value and ETF Series
The main advantage of trading using opposite Cambria Value and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cambria Value position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' 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 |
| ETF Series vs. FT Vest Equity | ETF Series vs. Northern Lights | ETF Series vs. Dimensional International High | ETF Series vs. First Trust Exchange Traded |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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