Correlation Between Short Duration and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Short Duration and Aqr Managed 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 Short Duration and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Short Duration Inflation and Aqr Managed Futures, you can compare the effects of market volatilities on Short Duration and Aqr Managed 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 Short Duration with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Short Duration and Aqr Managed.
Diversification Opportunities for Short Duration and Aqr Managed
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Short and Aqr is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Short Duration Inflation and Aqr Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Managed Futures and Short Duration 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 Short Duration Inflation are associated (or correlated) with Aqr Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Managed Futures has no effect on the direction of Short Duration i.e., Short Duration and Aqr Managed go up and down completely randomly.
Pair Corralation between Short Duration and Aqr Managed
Assuming the 90 days horizon Short Duration is expected to generate 19.34 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Short Duration Inflation is 5.93 times less risky than Aqr Managed. It trades about 0.08 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 809.00 in Aqr Managed Futures on August 28, 2024 and sell it today you would earn a total of 30.00 from holding Aqr Managed Futures or generate 3.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Short Duration Inflation vs. Aqr Managed Futures
Performance |
| Timeline |
| Short Duration Inflation |
| Aqr Managed Futures |
Short Duration and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Short Duration and Aqr Managed
The main advantage of trading using opposite Short Duration and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Short Duration position performs unexpectedly, Aqr Managed 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 Managed will offset losses from the drop in Aqr Managed's long position.| Short Duration vs. Inflation Adjusted Bond Fund | Short Duration vs. Diversified Bond Fund | Short Duration vs. Short Duration Fund | Short Duration vs. Core Plus Fund |
| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed vs. Aqr International Defensive |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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