Correlation Between Brandes International and Aqr Diversified
Can any of the company-specific risk be diversified away by investing in both Brandes International and Aqr Diversified 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 Brandes International and Aqr Diversified into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Brandes International Equity and Aqr Diversified Arbitrage, you can compare the effects of market volatilities on Brandes International and Aqr Diversified 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 Brandes International with a short position of Aqr Diversified. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brandes International and Aqr Diversified.
Diversification Opportunities for Brandes International and Aqr Diversified
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Brandes and AQR is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Brandes International Equity and Aqr Diversified Arbitrage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Diversified Arbitrage and Brandes International 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 Brandes International Equity are associated (or correlated) with Aqr Diversified. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Diversified Arbitrage has no effect on the direction of Brandes International i.e., Brandes International and Aqr Diversified go up and down completely randomly.
Pair Corralation between Brandes International and Aqr Diversified
Assuming the 90 days horizon Brandes International Equity is expected to generate 2.63 times more return on investment than Aqr Diversified. However, Brandes International is 2.63 times more volatile than Aqr Diversified Arbitrage. It trades about 0.11 of its potential returns per unit of risk. Aqr Diversified Arbitrage is currently generating about 0.07 per unit of risk. If you would invest 1,736 in Brandes International Equity on August 26, 2024 and sell it today you would earn a total of 418.00 from holding Brandes International Equity or generate 24.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Brandes International Equity vs. Aqr Diversified Arbitrage
Performance |
| Timeline |
| Brandes International |
| Aqr Diversified Arbitrage |
Brandes International and Aqr Diversified Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Brandes International and Aqr Diversified
The main advantage of trading using opposite Brandes International and Aqr Diversified positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Brandes International position performs unexpectedly, Aqr Diversified 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 Diversified will offset losses from the drop in Aqr Diversified's long position.| Brandes International vs. Tcm Small Cap | Brandes International vs. Vanguard Short Term Investment Grade | Brandes International vs. Goldman Sachs Growth | Brandes International vs. Us Small Cap |
| Aqr Diversified vs. Aqr Large Cap | Aqr Diversified vs. Aqr Large Cap | Aqr Diversified vs. Aqr International Defensive | Aqr Diversified 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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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