Correlation Between Omni Small-cap and Aqr International
Can any of the company-specific risk be diversified away by investing in both Omni Small-cap and Aqr International 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 Omni Small-cap and Aqr International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Omni Small Cap Value and Aqr International Defensive, you can compare the effects of market volatilities on Omni Small-cap and Aqr International 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 Omni Small-cap with a short position of Aqr International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Omni Small-cap and Aqr International.
Diversification Opportunities for Omni Small-cap and Aqr International
0.43 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Omni and Aqr is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding Omni Small Cap Value and Aqr International Defensive in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr International and Omni Small-cap 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 Omni Small Cap Value are associated (or correlated) with Aqr International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr International has no effect on the direction of Omni Small-cap i.e., Omni Small-cap and Aqr International go up and down completely randomly.
Pair Corralation between Omni Small-cap and Aqr International
Assuming the 90 days horizon Omni Small Cap Value is expected to under-perform the Aqr International. In addition to that, Omni Small-cap is 1.59 times more volatile than Aqr International Defensive. It trades about -0.26 of its total potential returns per unit of risk. Aqr International Defensive is currently generating about 0.23 per unit of volatility. If you would invest 1,443 in Aqr International Defensive on November 29, 2024 and sell it today you would earn a total of 45.00 from holding Aqr International Defensive or generate 3.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Omni Small Cap Value vs. Aqr International Defensive
Performance |
| Timeline |
| Omni Small Cap |
| Aqr International |
Omni Small-cap and Aqr International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Omni Small-cap and Aqr International
The main advantage of trading using opposite Omni Small-cap and Aqr International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Omni Small-cap position performs unexpectedly, Aqr International 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 International will offset losses from the drop in Aqr International's long position.| Omni Small-cap vs. Transamerica Cleartrack Retirement | Omni Small-cap vs. Vanguard Target Retirement | Omni Small-cap vs. Tiaa Cref Lifestyle Moderate | Omni Small-cap vs. Blackrock Retirement Income |
| Aqr International vs. M Large Cap | Aqr International vs. Vest Large Cap | Aqr International vs. Old Westbury Large | Aqr International vs. Calvert Large Cap |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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