Can any of the company-specific risk be diversified away by investing in both Cambria Value and Invesco BuyBack 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 Invesco BuyBack 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 Invesco BuyBack Achievers, you can compare the effects of market volatilities on Cambria Value and Invesco BuyBack 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 Invesco BuyBack. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cambria Value and Invesco BuyBack.
Diversification Opportunities for Cambria Value and Invesco BuyBack
The 3 months correlation between Cambria and Invesco is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Cambria Value and and Invesco BuyBack Achievers in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco BuyBack Achievers 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 Invesco BuyBack. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco BuyBack Achievers has no effect on the direction of Cambria Value i.e., Cambria Value and Invesco BuyBack go up and down completely randomly.
Pair Corralation between Cambria Value and Invesco BuyBack
Given the investment horizon of 90 days Cambria Value and is expected to generate 0.94 times more return on investment than Invesco BuyBack. However, Cambria Value and is 1.07 times less risky than Invesco BuyBack. It trades about -0.02 of its potential returns per unit of risk. Invesco BuyBack Achievers is currently generating about -0.1 per unit of risk. If you would invest 2,956 in Cambria Value and on March 6, 2024 and sell it today you would lose (17.00) from holding Cambria Value and or give up 0.58% of portfolio value over 90 days.
Compared to the overall equity markets, risk-adjusted returns on investments in Cambria Value and are ranked lower than 4 (%) 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.
Compared to the overall equity markets, risk-adjusted returns on investments in Invesco BuyBack Achievers are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable forward-looking signals, Invesco BuyBack is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.