Correlation Between Aqr Managed and Aqr Long-short
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Aqr Long-short 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 Long-short 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 Long Short Equity, you can compare the effects of market volatilities on Aqr Managed and Aqr Long-short 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 Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Aqr Long-short.
Diversification Opportunities for Aqr Managed and Aqr Long-short
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 Long Short Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Long Short 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 Long-short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Long Short has no effect on the direction of Aqr Managed i.e., Aqr Managed and Aqr Long-short go up and down completely randomly.
Pair Corralation between Aqr Managed and Aqr Long-short
Assuming the 90 days horizon Aqr Managed is expected to generate 4.66 times less return on investment than Aqr Long-short. In addition to that, Aqr Managed is 1.29 times more volatile than Aqr Long Short Equity. It trades about 0.03 of its total potential returns per unit of risk. Aqr Long Short Equity is currently generating about 0.19 per unit of volatility. If you would invest 1,077 in Aqr Long Short Equity on September 1, 2024 and sell it today you would earn a total of 562.00 from holding Aqr Long Short Equity or generate 52.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 99.78% |
| Values | Daily Returns |
Aqr Managed Futures vs. Aqr Long Short Equity
Performance |
| Timeline |
| Aqr Managed Futures |
| Aqr Long Short |
Aqr Managed and Aqr Long-short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Aqr Long-short
The main advantage of trading using opposite Aqr Managed and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Aqr Long-short 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 Long-short will offset losses from the drop in Aqr Long-short'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 |
| Aqr Long-short vs. Guggenheim Risk Managed | Aqr Long-short vs. Columbia Real Estate | Aqr Long-short vs. Franklin Real Estate | Aqr Long-short vs. Deutsche Real Estate |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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