Correlation Between Aqr Small and Aqr Global
Can any of the company-specific risk be diversified away by investing in both Aqr Small and Aqr Global 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 Small and Aqr Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Small Cap and Aqr Global Macro, you can compare the effects of market volatilities on Aqr Small and Aqr Global 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 Small with a short position of Aqr Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Small and Aqr Global.
Diversification Opportunities for Aqr Small and Aqr Global
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Aqr is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Small Cap and Aqr Global Macro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Global Macro and Aqr Small 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 Small Cap are associated (or correlated) with Aqr Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Global Macro has no effect on the direction of Aqr Small i.e., Aqr Small and Aqr Global go up and down completely randomly.
Pair Corralation between Aqr Small and Aqr Global
Assuming the 90 days horizon Aqr Small Cap is expected to generate 3.11 times more return on investment than Aqr Global. However, Aqr Small is 3.11 times more volatile than Aqr Global Macro. It trades about 0.22 of its potential returns per unit of risk. Aqr Global Macro is currently generating about 0.0 per unit of risk. If you would invest 2,313 in Aqr Small Cap on August 31, 2024 and sell it today you would earn a total of 200.00 from holding Aqr Small Cap or generate 8.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Small Cap vs. Aqr Global Macro
Performance |
| Timeline |
| Aqr Small Cap |
| Aqr Global Macro |
Aqr Small and Aqr Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Small and Aqr Global
The main advantage of trading using opposite Aqr Small and Aqr Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Small position performs unexpectedly, Aqr Global 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 Global will offset losses from the drop in Aqr Global's long position.| Aqr Small vs. Aqr Large Cap | Aqr Small vs. Aqr Small Cap | Aqr Small vs. Aqr Small Cap | Aqr Small vs. Aqr Small Cap |
| Aqr Global vs. Eagle Mlp Strategy | Aqr Global vs. Calvert Emerging Markets | Aqr Global vs. Siit Emerging Markets | Aqr Global vs. Transamerica Emerging Markets |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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