Correlation Between Aqr Managed and Arrow Managed
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Arrow 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 Arrow 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 Arrow Managed Futures, you can compare the effects of market volatilities on Aqr Managed and Arrow 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 Arrow Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Arrow Managed.
Diversification Opportunities for Aqr Managed and Arrow Managed
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Arrow is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Arrow Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arrow Managed 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 Arrow Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arrow Managed Futures has no effect on the direction of Aqr Managed i.e., Aqr Managed and Arrow Managed go up and down completely randomly.
Pair Corralation between Aqr Managed and Arrow Managed
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 0.47 times more return on investment than Arrow Managed. However, Aqr Managed Futures is 2.11 times less risky than Arrow Managed. It trades about 0.07 of its potential returns per unit of risk. Arrow Managed Futures is currently generating about 0.01 per unit of risk. If you would invest 777.00 in Aqr Managed Futures on October 20, 2024 and sell it today you would earn a total of 86.00 from holding Aqr Managed Futures or generate 11.07% 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. Arrow Managed Futures
Performance |
| Timeline |
| Aqr Managed Futures |
| Arrow Managed Futures |
Aqr Managed and Arrow Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Arrow Managed
The main advantage of trading using opposite Aqr Managed and Arrow Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Arrow 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 Arrow Managed will offset losses from the drop in Arrow Managed's long position.| Aqr Managed vs. Tiaa Cref High Yield Fund | Aqr Managed vs. Fidelity Capital Income | Aqr Managed vs. High Yield Fund A | Aqr Managed vs. Transamerica High Yield |
| Arrow Managed vs. Short Term Bond Fund | Arrow Managed vs. Transam Short Term Bond | Arrow Managed vs. Lord Abbett Short | Arrow Managed vs. Touchstone Ultra Short |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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