Correlation Between Small-cap Value and Aqr Global
Can any of the company-specific risk be diversified away by investing in both Small-cap Value 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 Small-cap Value and Aqr Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Cap Value Fund and Aqr Global Macro, you can compare the effects of market volatilities on Small-cap Value 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 Small-cap Value with a short position of Aqr Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small-cap Value and Aqr Global.
Diversification Opportunities for Small-cap Value and Aqr Global
-0.46 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Small-cap and Aqr is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value Fund 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 Small-cap Value 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 Small Cap Value Fund 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 Small-cap Value i.e., Small-cap Value and Aqr Global go up and down completely randomly.
Pair Corralation between Small-cap Value and Aqr Global
Assuming the 90 days horizon Small Cap Value Fund is expected to under-perform the Aqr Global. In addition to that, Small-cap Value is 2.88 times more volatile than Aqr Global Macro. It trades about -0.44 of its total potential returns per unit of risk. Aqr Global Macro is currently generating about 0.07 per unit of volatility. If you would invest 937.00 in Aqr Global Macro on October 11, 2024 and sell it today you would earn a total of 7.00 from holding Aqr Global Macro or generate 0.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Small Cap Value Fund vs. Aqr Global Macro
Performance |
| Timeline |
| Small Cap Value |
| Aqr Global Macro |
Small-cap Value and Aqr Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small-cap Value and Aqr Global
The main advantage of trading using opposite Small-cap Value and Aqr Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small-cap Value 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.| Small-cap Value vs. Principal Fds Money | Small-cap Value vs. Fidelity Government Money | Small-cap Value vs. Hewitt Money Market | Small-cap Value vs. Franklin Government Money |
| Aqr Global vs. Victory Rs Partners | Aqr Global vs. Fidelity Small Cap | Aqr Global vs. Small Cap Value Fund | Aqr Global vs. Amg River Road |
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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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