Correlation Between Aqr Risk and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Aqr Risk and Aqr 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 Risk and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Risk Parity and Aqr Managed Futures, you can compare the effects of market volatilities on Aqr Risk and Aqr 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 Risk with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Risk and Aqr Managed.
Diversification Opportunities for Aqr Risk and Aqr Managed
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Aqr and Aqr is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Risk Parity and Aqr Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Managed Futures and Aqr Risk 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 Risk Parity are associated (or correlated) with Aqr Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Managed Futures has no effect on the direction of Aqr Risk i.e., Aqr Risk and Aqr Managed go up and down completely randomly.
Pair Corralation between Aqr Risk and Aqr Managed
Assuming the 90 days horizon Aqr Risk Parity is expected to generate 0.86 times more return on investment than Aqr Managed. However, Aqr Risk Parity is 1.17 times less risky than Aqr Managed. It trades about 0.08 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.04 per unit of risk. If you would invest 876.00 in Aqr Risk Parity on August 27, 2024 and sell it today you would earn a total of 200.00 from holding Aqr Risk Parity or generate 22.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Risk Parity vs. Aqr Managed Futures
Performance |
| Timeline |
| Aqr Risk Parity |
| Aqr Managed Futures |
Aqr Risk and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Risk and Aqr Managed
The main advantage of trading using opposite Aqr Risk and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Risk position performs unexpectedly, Aqr 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 Aqr Managed will offset losses from the drop in Aqr Managed's long position.| Aqr Risk vs. Aig Government Money | Aqr Risk vs. John Hancock Government | Aqr Risk vs. Blackrock Government Bond | Aqr Risk vs. Fidelity Series Government |
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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 Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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