Correlation Between Calvert Moderate and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Calvert Moderate 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 Calvert Moderate and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Moderate Allocation and Aqr Managed Futures, you can compare the effects of market volatilities on Calvert Moderate 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 Calvert Moderate with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Aqr Managed.
Diversification Opportunities for Calvert Moderate and Aqr Managed
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calvert and AQR is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation 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 Calvert Moderate 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 Calvert Moderate Allocation 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 Calvert Moderate i.e., Calvert Moderate and Aqr Managed go up and down completely randomly.
Pair Corralation between Calvert Moderate and Aqr Managed
Assuming the 90 days horizon Calvert Moderate Allocation is expected to generate 0.88 times more return on investment than Aqr Managed. However, Calvert Moderate Allocation is 1.13 times less risky than Aqr Managed. It trades about 0.07 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.03 per unit of risk. If you would invest 1,913 in Calvert Moderate Allocation on September 3, 2024 and sell it today you would earn a total of 379.00 from holding Calvert Moderate Allocation or generate 19.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Moderate Allocation vs. Aqr Managed Futures
Performance |
| Timeline |
| Calvert Moderate All |
| Aqr Managed Futures |
Calvert Moderate and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Moderate and Aqr Managed
The main advantage of trading using opposite Calvert Moderate and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Moderate 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.| Calvert Moderate vs. Aqr Managed Futures | Calvert Moderate vs. Blackrock Inflation Protected | Calvert Moderate vs. Asg Managed Futures | Calvert Moderate vs. Ab Bond Inflation |
| Aqr Managed vs. Arrow Managed Futures | Aqr Managed vs. Abr 7525 Volatility | Aqr Managed vs. Sei Daily Income | Aqr Managed vs. Volumetric Fund Volumetric |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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