Correlation Between Aqr Managed and IMGP DBi
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and IMGP DBi 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 IMGP DBi 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 iMGP DBi Managed, you can compare the effects of market volatilities on Aqr Managed and IMGP DBi 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 IMGP DBi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and IMGP DBi.
Diversification Opportunities for Aqr Managed and IMGP DBi
0.29 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Aqr and IMGP is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and iMGP DBi Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iMGP DBi Managed 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 IMGP DBi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iMGP DBi Managed has no effect on the direction of Aqr Managed i.e., Aqr Managed and IMGP DBi go up and down completely randomly.
Pair Corralation between Aqr Managed and IMGP DBi
Assuming the 90 days horizon Aqr Managed is expected to generate 1.87 times less return on investment than IMGP DBi. But when comparing it to its historical volatility, Aqr Managed Futures is 1.13 times less risky than IMGP DBi. It trades about 0.02 of its potential returns per unit of risk. iMGP DBi Managed is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 2,589 in iMGP DBi Managed on August 24, 2024 and sell it today you would earn a total of 124.00 from holding iMGP DBi Managed or generate 4.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. iMGP DBi Managed
Performance |
| Timeline |
| Aqr Managed Futures |
| iMGP DBi Managed |
Aqr Managed and IMGP DBi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and IMGP DBi
The main advantage of trading using opposite Aqr Managed and IMGP DBi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, IMGP DBi 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 IMGP DBi will offset losses from the drop in IMGP DBi's long position.| Aqr Managed vs. Aqr Managed Futures | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. American Beacon Ahl |
| IMGP DBi vs. KFA Mount Lucas | IMGP DBi vs. Simplify Exchange Traded | IMGP DBi vs. Simplify Interest Rate | IMGP DBi vs. First Trust Managed |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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