Correlation Between Aqr International and Aqr Style
Can any of the company-specific risk be diversified away by investing in both Aqr International and Aqr Style 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 International and Aqr Style into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr International Defensive and Aqr Style Premia, you can compare the effects of market volatilities on Aqr International and Aqr Style 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 International with a short position of Aqr Style. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr International and Aqr Style.
Diversification Opportunities for Aqr International and Aqr Style
-0.46 | Correlation Coefficient |
Very good diversification
The 3 months correlation between AQR and AQR is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Aqr International Defensive and Aqr Style Premia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Style Premia and Aqr International 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 International Defensive are associated (or correlated) with Aqr Style. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Style Premia has no effect on the direction of Aqr International i.e., Aqr International and Aqr Style go up and down completely randomly.
Pair Corralation between Aqr International and Aqr Style
Assuming the 90 days horizon Aqr International Defensive is expected to under-perform the Aqr Style. But the mutual fund apears to be less risky and, when comparing its historical volatility, Aqr International Defensive is 1.04 times less risky than Aqr Style. The mutual fund trades about -0.25 of its potential returns per unit of risk. The Aqr Style Premia is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 777.00 in Aqr Style Premia on August 29, 2024 and sell it today you would earn a total of 22.00 from holding Aqr Style Premia or generate 2.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr International Defensive vs. Aqr Style Premia
Performance |
| Timeline |
| Aqr International |
| Aqr Style Premia |
Aqr International and Aqr Style Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr International and Aqr Style
The main advantage of trading using opposite Aqr International and Aqr Style positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr International position performs unexpectedly, Aqr Style 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 Style will offset losses from the drop in Aqr Style's long position.| Aqr International vs. Legg Mason Partners | Aqr International vs. Commodities Strategy Fund | Aqr International vs. Rbc Emerging Markets | Aqr International vs. T Rowe Price |
| Aqr Style vs. Blackrock Alternative Capital | Aqr Style vs. Blackrock Alternative Capital | Aqr Style vs. Blackrock Alternative Capital | Aqr Style vs. Blackrock Systematic Multi Strategy |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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