Correlation Between Aqr Managed and Franklin Utilities
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Franklin Utilities 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 Franklin Utilities 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 Franklin Utilities, you can compare the effects of market volatilities on Aqr Managed and Franklin Utilities 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 Franklin Utilities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Franklin Utilities.
Diversification Opportunities for Aqr Managed and Franklin Utilities
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Franklin is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Franklin Utilities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Franklin Utilities 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 Franklin Utilities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franklin Utilities has no effect on the direction of Aqr Managed i.e., Aqr Managed and Franklin Utilities go up and down completely randomly.
Pair Corralation between Aqr Managed and Franklin Utilities
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 0.73 times more return on investment than Franklin Utilities. However, Aqr Managed Futures is 1.37 times less risky than Franklin Utilities. It trades about 0.22 of its potential returns per unit of risk. Franklin Utilities is currently generating about -0.03 per unit of risk. If you would invest 854.00 in Aqr Managed Futures on September 13, 2024 and sell it today you would earn a total of 25.00 from holding Aqr Managed Futures or generate 2.93% 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. Franklin Utilities
Performance |
| Timeline |
| Aqr Managed Futures |
| Franklin Utilities |
Aqr Managed and Franklin Utilities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Franklin Utilities
The main advantage of trading using opposite Aqr Managed and Franklin Utilities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Franklin Utilities 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 Franklin Utilities will offset losses from the drop in Franklin Utilities' long position.| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Small Cap | Aqr Managed vs. Aqr Small Cap | Aqr Managed vs. Aqr Small Cap |
| Franklin Utilities vs. Scout Small Cap | Franklin Utilities vs. Df Dent Small | Franklin Utilities vs. Siit Small Mid | Franklin Utilities vs. Glg Intl Small |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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