Correlation Between Cambria Value and Invesco BuyBack

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

0.85

Correlation Coefficient

Cambria Value  Invesco BuyBack

Very poor diversification

The 3 months correlation between Cambria and Invesco is 0.85. 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 is expected to generate 1.17 times less return on investment than Invesco BuyBack. In addition to that, Cambria Value is 1.08 times more volatile than Invesco BuyBack Achievers. It trades about 0.1 of its total potential returns per unit of risk. Invesco BuyBack Achievers is currently generating about 0.12 per unit of volatility. If you would invest  8,375  in Invesco BuyBack Achievers on February 15, 2024 and sell it today you would earn a total of  2,115  from holding Invesco BuyBack Achievers or generate 25.25% return on investment over 90 days.

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

Cambria Value and  vs.  Invesco BuyBack Achievers

Cambria Value

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Cambria Value and are ranked lower than 5 (%) 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.

Invesco BuyBack Achievers

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco BuyBack Achievers are ranked lower than 8 (%) 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 current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with Cambria Value and Invesco BuyBack

The main advantage of trading using opposite Cambria Value and Invesco BuyBack positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cambria Value position performs unexpectedly, Invesco BuyBack 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 Invesco BuyBack will offset losses from the drop in Invesco BuyBack's long position.

The idea behind Cambria Value and and Invesco BuyBack Achievers 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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.