Correlation Between Aqr Managed and Tax-managed
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Tax-managed 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 Tax-managed 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 Tax Managed Large Cap, you can compare the effects of market volatilities on Aqr Managed and Tax-managed 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 Tax-managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Tax-managed.
Diversification Opportunities for Aqr Managed and Tax-managed
0.26 | Correlation Coefficient |
Modest diversification
The 3 months correlation between AQR and Tax-managed is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Tax Managed Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Managed Large 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 Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Managed Large has no effect on the direction of Aqr Managed i.e., Aqr Managed and Tax-managed go up and down completely randomly.
Pair Corralation between Aqr Managed and Tax-managed
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 0.47 times more return on investment than Tax-managed. However, Aqr Managed Futures is 2.12 times less risky than Tax-managed. It trades about 0.17 of its potential returns per unit of risk. Tax Managed Large Cap is currently generating about 0.04 per unit of risk. If you would invest 843.00 in Aqr Managed Futures on October 23, 2024 and sell it today you would earn a total of 10.00 from holding Aqr Managed Futures or generate 1.19% 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. Tax Managed Large Cap
Performance |
| Timeline |
| Aqr Managed Futures |
| Tax Managed Large |
Aqr Managed and Tax-managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Tax-managed
The main advantage of trading using opposite Aqr Managed and Tax-managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Tax-managed 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 Tax-managed will offset losses from the drop in Tax-managed's long position.| Aqr Managed vs. Altegris Futures Evolution | Aqr Managed vs. Guggenheim Managed Futures | Aqr Managed vs. Aqr Managed Futures | Aqr Managed vs. Short Duration Inflation |
| Tax-managed vs. Altegris Futures Evolution | Tax-managed vs. Ab Bond Inflation | Tax-managed vs. Asg Managed Futures | Tax-managed vs. Aqr Managed Futures |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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