Correlation Between Intermediate Term and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Intermediate Term 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 Intermediate Term and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Intermediate Term Tax Free Bond and Aqr Managed Futures, you can compare the effects of market volatilities on Intermediate Term 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 Intermediate Term with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Intermediate Term and Aqr Managed.
Diversification Opportunities for Intermediate Term and Aqr Managed
0.33 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Intermediate and AQR is 0.33. Overlapping area represents the amount of risk that can be diversified away by holding Intermediate Term Tax Free Bon 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 Intermediate Term 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 Intermediate Term Tax Free Bond 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 Intermediate Term i.e., Intermediate Term and Aqr Managed go up and down completely randomly.
Pair Corralation between Intermediate Term and Aqr Managed
Assuming the 90 days horizon Intermediate Term is expected to generate 2.43 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Intermediate Term Tax Free Bond is 2.64 times less risky than Aqr Managed. It trades about 0.19 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 839.00 in Aqr Managed Futures on September 4, 2024 and sell it today you would earn a total of 18.00 from holding Aqr Managed Futures or generate 2.15% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.24% |
| Values | Daily Returns |
Intermediate Term Tax Free Bon vs. Aqr Managed Futures
Performance |
| Timeline |
| Intermediate Term Tax |
| Aqr Managed Futures |
Intermediate Term and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Intermediate Term and Aqr Managed
The main advantage of trading using opposite Intermediate Term and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Intermediate Term 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.The idea behind Intermediate Term Tax Free Bond and Aqr Managed Futures pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed 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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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