Correlation Between Aqr Managed and Abbey Capital
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Abbey Capital 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 Abbey Capital 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 Abbey Capital Futures, you can compare the effects of market volatilities on Aqr Managed and Abbey Capital 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 Abbey Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Abbey Capital.
Diversification Opportunities for Aqr Managed and Abbey Capital
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Abbey is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Abbey Capital Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Abbey Capital Futures 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 Abbey Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Abbey Capital Futures has no effect on the direction of Aqr Managed i.e., Aqr Managed and Abbey Capital go up and down completely randomly.
Pair Corralation between Aqr Managed and Abbey Capital
Assuming the 90 days horizon Aqr Managed is expected to generate 2.36 times less return on investment than Abbey Capital. In addition to that, Aqr Managed is 1.5 times more volatile than Abbey Capital Futures. It trades about 0.01 of its total potential returns per unit of risk. Abbey Capital Futures is currently generating about 0.04 per unit of volatility. If you would invest 1,102 in Abbey Capital Futures on November 5, 2024 and sell it today you would earn a total of 4.00 from holding Abbey Capital Futures or generate 0.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. Abbey Capital Futures
Performance |
| Timeline |
| Aqr Managed Futures |
| Abbey Capital Futures |
Aqr Managed and Abbey Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Abbey Capital
The main advantage of trading using opposite Aqr Managed and Abbey Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Abbey Capital 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 Abbey Capital will offset losses from the drop in Abbey Capital's long position.| Aqr Managed vs. Blrc Sgy Mnp | Aqr Managed vs. Pace Municipal Fixed | Aqr Managed vs. Oklahoma Municipal Fund | Aqr Managed vs. Old Westbury California |
| Abbey Capital vs. Artisan High Income | Abbey Capital vs. Lord Abbett Short | Abbey Capital vs. City National Rochdale | Abbey Capital vs. Virtus High Yield |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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