Correlation Between RPAR Risk and Cambria Global
Can any of the company-specific risk be diversified away by investing in both RPAR Risk 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 RPAR Risk and Cambria Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between RPAR Risk Parity and Cambria Global Asset, you can compare the effects of market volatilities on RPAR Risk 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 RPAR Risk with a short position of Cambria Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of RPAR Risk and Cambria Global.
Diversification Opportunities for RPAR Risk and Cambria Global
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between RPAR and Cambria is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding RPAR Risk Parity 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 RPAR Risk 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 RPAR Risk Parity 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 RPAR Risk i.e., RPAR Risk and Cambria Global go up and down completely randomly.
Pair Corralation between RPAR Risk and Cambria Global
Given the investment horizon of 90 days RPAR Risk Parity is expected to generate 1.08 times more return on investment than Cambria Global. However, RPAR Risk is 1.08 times more volatile than Cambria Global Asset. It trades about 0.37 of its potential returns per unit of risk. Cambria Global Asset is currently generating about 0.37 per unit of risk. If you would invest 1,852 in RPAR Risk Parity on December 30, 2023 and sell it today you would earn a total of 75.00 from holding RPAR Risk Parity or generate 4.05% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
RPAR Risk Parity vs. Cambria Global Asset
Performance |
Timeline |
RPAR Risk Parity |
Cambria Global Asset |
RPAR Risk and Cambria Global Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with RPAR Risk and Cambria Global
The main advantage of trading using opposite RPAR Risk and Cambria Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if RPAR Risk position performs unexpectedly, Cambria Global 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 Global will offset losses from the drop in Cambria Global's long position.RPAR Risk vs. IShares Core Moderate | RPAR Risk vs. Strategy Shares Nasdaq | RPAR Risk vs. Regents Park Hedged | RPAR Risk vs. Discipline Fund ETF |
Cambria Global vs. Arrow Dow Jones | Cambria Global vs. GraniteShares ETF Trust | Cambria Global vs. IShares Semiconductor ETF | Cambria Global vs. Direxion Daily Semiconductor |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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