Can any of the company-specific risk be diversified away by investing in both Saba Closed and Cambria Global 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 Saba Closed and Cambria Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Saba Closed End Funds and Cambria Global Asset, you can compare the effects of market volatilities on Saba Closed and Cambria Global 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 Saba Closed with a short position of Cambria Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saba Closed and Cambria Global.
Diversification Opportunities for Saba Closed and Cambria Global
The 3 months correlation between Saba and Cambria is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Saba Closed End Funds and Cambria Global Asset in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambria Global Asset and Saba Closed 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 Saba Closed End Funds are associated (or correlated) with Cambria Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cambria Global Asset has no effect on the direction of Saba Closed i.e., Saba Closed and Cambria Global go up and down completely randomly.
Pair Corralation between Saba Closed and Cambria Global
Given the investment horizon of 90 days Saba Closed End Funds is expected to generate 1.19 times more return on investment than Cambria Global. However, Saba Closed is 1.19 times more volatile than Cambria Global Asset. It trades about 0.09 of its potential returns per unit of risk. Cambria Global Asset is currently generating about 0.04 per unit of risk. If you would invest 1,440 in Saba Closed End Funds on March 6, 2024 and sell it today you would earn a total of 640.00 from holding Saba Closed End Funds or generate 44.44% return on investment over 90 days.
Compared to the overall equity markets, risk-adjusted returns on investments in Saba Closed End Funds are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak technical and fundamental indicators, Saba Closed may actually be approaching a critical reversion point that can send shares even higher in July 2024.
Compared to the overall equity markets, risk-adjusted returns on investments in Cambria Global Asset are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. 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.