Correlation Between Aqr Managed and Sierra Core
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Sierra Core 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 Sierra Core 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 Sierra E Retirement, you can compare the effects of market volatilities on Aqr Managed and Sierra Core 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 Sierra Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Sierra Core.
Diversification Opportunities for Aqr Managed and Sierra Core
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AQR and Sierra is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Sierra E Retirement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sierra E Retirement 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 Sierra Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sierra E Retirement has no effect on the direction of Aqr Managed i.e., Aqr Managed and Sierra Core go up and down completely randomly.
Pair Corralation between Aqr Managed and Sierra Core
Assuming the 90 days horizon Aqr Managed is expected to generate 1.02 times less return on investment than Sierra Core. In addition to that, Aqr Managed is 1.96 times more volatile than Sierra E Retirement. It trades about 0.17 of its total potential returns per unit of risk. Sierra E Retirement is currently generating about 0.34 per unit of volatility. If you would invest 2,262 in Sierra E Retirement on September 4, 2024 and sell it today you would earn a total of 50.00 from holding Sierra E Retirement or generate 2.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. Sierra E Retirement
Performance |
| Timeline |
| Aqr Managed Futures |
| Sierra E Retirement |
Aqr Managed and Sierra Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Sierra Core
The main advantage of trading using opposite Aqr Managed and Sierra Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Sierra Core 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 Sierra Core will offset losses from the drop in Sierra Core's long position.| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed vs. Aqr International Defensive |
| Sierra Core vs. Vanguard Institutional Short Term | Sierra Core vs. Angel Oak Ultrashort | Sierra Core vs. Quantitative Longshort Equity | Sierra Core vs. Touchstone Ultra Short |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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