Correlation Between Aqr Diversified and Aqr International
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Aqr International 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 Aqr Diversified and Aqr International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Diversified Arbitrage and Aqr International Defensive, you can compare the effects of market volatilities on Aqr Diversified and Aqr International 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 Aqr Diversified with a short position of Aqr International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Aqr International.
Diversification Opportunities for Aqr Diversified and Aqr International
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Aqr is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Aqr International Defensive in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr International and Aqr Diversified 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 Aqr Diversified Arbitrage are associated (or correlated) with Aqr International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr International has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Aqr International go up and down completely randomly.
Pair Corralation between Aqr Diversified and Aqr International
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to generate 0.31 times more return on investment than Aqr International. However, Aqr Diversified Arbitrage is 3.22 times less risky than Aqr International. It trades about -0.34 of its potential returns per unit of risk. Aqr International Defensive is currently generating about -0.17 per unit of risk. If you would invest 1,231 in Aqr Diversified Arbitrage on August 24, 2024 and sell it today you would lose (18.00) from holding Aqr Diversified Arbitrage or give up 1.46% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Aqr International Defensive
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Aqr International |
Aqr Diversified and Aqr International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Aqr International
The main advantage of trading using opposite Aqr Diversified and Aqr International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Aqr International 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 Aqr International will offset losses from the drop in Aqr International's long position.| Aqr Diversified vs. Barings Emerging Markets | Aqr Diversified vs. Siit Emerging Markets | Aqr Diversified vs. Rbc Emerging Markets | Aqr Diversified vs. Doubleline Emerging Markets |
| Aqr International vs. Legg Mason Partners | Aqr International vs. Transamerica Funds | Aqr International vs. Institutional Fiduciary Trust | Aqr International vs. Aim Investment Secs |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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