Correlation Between Aqr Small and Aqr Long-short
Can any of the company-specific risk be diversified away by investing in both Aqr Small and Aqr Long-short 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 Long-short 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 Long Short Equity, you can compare the effects of market volatilities on Aqr Small and Aqr Long-short 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 Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Small and Aqr Long-short.
Diversification Opportunities for Aqr Small and Aqr Long-short
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Aqr is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Small Cap and Aqr Long Short Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Long Short 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 Long-short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Long Short has no effect on the direction of Aqr Small i.e., Aqr Small and Aqr Long-short go up and down completely randomly.
Pair Corralation between Aqr Small and Aqr Long-short
Assuming the 90 days horizon Aqr Small Cap is expected to generate 4.28 times more return on investment than Aqr Long-short. However, Aqr Small is 4.28 times more volatile than Aqr Long Short Equity. It trades about 0.23 of its potential returns per unit of risk. Aqr Long Short Equity is currently generating about 0.59 per unit of risk. If you would invest 2,326 in Aqr Small Cap on August 27, 2024 and sell it today you would earn a total of 203.00 from holding Aqr Small Cap or generate 8.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Small Cap vs. Aqr Long Short Equity
Performance |
| Timeline |
| Aqr Small Cap |
| Aqr Long Short |
Aqr Small and Aqr Long-short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Small and Aqr Long-short
The main advantage of trading using opposite Aqr Small and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Small position performs unexpectedly, Aqr Long-short 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 Long-short will offset losses from the drop in Aqr Long-short's long position.| Aqr Small vs. Aqr Large Cap | Aqr Small vs. Aqr Large Cap | Aqr Small vs. Aqr International Defensive | Aqr Small vs. Aqr International Defensive |
| Aqr Long-short vs. Aqr Large Cap | Aqr Long-short vs. Aqr Large Cap | Aqr Long-short vs. Aqr International Defensive | Aqr Long-short vs. Aqr International Defensive |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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