Correlation Between Capital Income and Aqr Style
Can any of the company-specific risk be diversified away by investing in both Capital Income and Aqr Style 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 Capital Income and Aqr Style into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capital Income Builder and Aqr Style Premia, you can compare the effects of market volatilities on Capital Income and Aqr Style 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 Capital Income with a short position of Aqr Style. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capital Income and Aqr Style.
Diversification Opportunities for Capital Income and Aqr Style
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Capital and Aqr is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Capital Income Builder and Aqr Style Premia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Style Premia and Capital Income 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 Capital Income Builder are associated (or correlated) with Aqr Style. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Style Premia has no effect on the direction of Capital Income i.e., Capital Income and Aqr Style go up and down completely randomly.
Pair Corralation between Capital Income and Aqr Style
Assuming the 90 days horizon Capital Income is expected to generate 1.31 times less return on investment than Aqr Style. In addition to that, Capital Income is 1.14 times more volatile than Aqr Style Premia. It trades about 0.24 of its total potential returns per unit of risk. Aqr Style Premia is currently generating about 0.35 per unit of volatility. If you would invest 764.00 in Aqr Style Premia on October 24, 2024 and sell it today you would earn a total of 25.00 from holding Aqr Style Premia or generate 3.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Capital Income Builder vs. Aqr Style Premia
Performance |
| Timeline |
| Capital Income Builder |
| Aqr Style Premia |
Capital Income and Aqr Style Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capital Income and Aqr Style
The main advantage of trading using opposite Capital Income and Aqr Style positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capital Income position performs unexpectedly, Aqr Style 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 Style will offset losses from the drop in Aqr Style's long position.| Capital Income vs. Old Westbury Municipal | Capital Income vs. Lord Abbett Intermediate | Capital Income vs. Blackrock Pa Muni | Capital Income vs. Inverse Government Long |
| Aqr Style vs. State Street Master | Aqr Style vs. Prudential Government Money | Aqr Style vs. Aig Government Money | Aqr Style vs. Schwab Government Money |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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