Correlation Between Aqr Managed and Locorr Macro
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Locorr Macro 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 Locorr Macro 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 Locorr Macro Strategies, you can compare the effects of market volatilities on Aqr Managed and Locorr Macro 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 Locorr Macro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Locorr Macro.
Diversification Opportunities for Aqr Managed and Locorr Macro
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Locorr is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Locorr Macro Strategies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Locorr Macro Strategies 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 Locorr Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Locorr Macro Strategies has no effect on the direction of Aqr Managed i.e., Aqr Managed and Locorr Macro go up and down completely randomly.
Pair Corralation between Aqr Managed and Locorr Macro
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 2.14 times more return on investment than Locorr Macro. However, Aqr Managed is 2.14 times more volatile than Locorr Macro Strategies. It trades about 0.02 of its potential returns per unit of risk. Locorr Macro Strategies is currently generating about 0.02 per unit of risk. If you would invest 826.00 in Aqr Managed Futures on September 3, 2024 and sell it today you would earn a total of 33.00 from holding Aqr Managed Futures or generate 4.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. Locorr Macro Strategies
Performance |
| Timeline |
| Aqr Managed Futures |
| Locorr Macro Strategies |
Aqr Managed and Locorr Macro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Locorr Macro
The main advantage of trading using opposite Aqr Managed and Locorr Macro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Locorr Macro 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 Locorr Macro will offset losses from the drop in Locorr Macro's long position.| Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. American Beacon Ahl | Aqr Managed vs. Asg Managed Futures |
| Locorr Macro vs. Aqr Managed Futures | Locorr Macro vs. Pimco Trends Managed | Locorr Macro vs. Pimco Trends Managed | Locorr Macro vs. American Beacon Ahl |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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