Correlation Between Aqr Managed and Aqr Small
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Aqr Small 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 Managed and Aqr Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Managed Futures and Aqr Small Cap, you can compare the effects of market volatilities on Aqr Managed and Aqr Small 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 Managed with a short position of Aqr Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Aqr Small.
Diversification Opportunities for Aqr Managed and Aqr Small
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Aqr is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Aqr Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Small Cap and Aqr Managed 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 Managed Futures are associated (or correlated) with Aqr Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Small Cap has no effect on the direction of Aqr Managed i.e., Aqr Managed and Aqr Small go up and down completely randomly.
Pair Corralation between Aqr Managed and Aqr Small
Assuming the 90 days horizon Aqr Managed is expected to generate 4.42 times less return on investment than Aqr Small. But when comparing it to its historical volatility, Aqr Managed Futures is 2.06 times less risky than Aqr Small. It trades about 0.03 of its potential returns per unit of risk. Aqr Small Cap is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,727 in Aqr Small Cap on September 2, 2024 and sell it today you would earn a total of 795.00 from holding Aqr Small Cap or generate 46.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. Aqr Small Cap
Performance |
| Timeline |
| Aqr Managed Futures |
| Aqr Small Cap |
Aqr Managed and Aqr Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Aqr Small
The main advantage of trading using opposite Aqr Managed and Aqr Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Aqr Small 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 Small will offset losses from the drop in Aqr Small's long position.| Aqr Managed vs. Lifestyle Ii Moderate | Aqr Managed vs. Dimensional Retirement Income | Aqr Managed vs. Transamerica Cleartrack Retirement | Aqr Managed vs. Fidelity Managed Retirement |
| Aqr Small vs. Aqr Large Cap | Aqr Small vs. Aqr International Momentum | Aqr Small vs. Aqr Managed Futures | Aqr Small vs. Us Large Cap |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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