Correlation Between Dreyfus Bond and Aqr Long-short
Can any of the company-specific risk be diversified away by investing in both Dreyfus Bond and Aqr Long-short 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 Dreyfus Bond and Aqr Long-short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dreyfus Bond Market and Aqr Long Short Equity, you can compare the effects of market volatilities on Dreyfus Bond and Aqr Long-short 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 Dreyfus Bond with a short position of Aqr Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus Bond and Aqr Long-short.
Diversification Opportunities for Dreyfus Bond and Aqr Long-short
-0.2 | Correlation Coefficient |
Good diversification
The 3 months correlation between Dreyfus and Aqr is -0.2. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus Bond Market and Aqr Long Short Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Long Short and Dreyfus Bond 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 Dreyfus Bond Market are associated (or correlated) with Aqr Long-short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Long Short has no effect on the direction of Dreyfus Bond i.e., Dreyfus Bond and Aqr Long-short go up and down completely randomly.
Pair Corralation between Dreyfus Bond and Aqr Long-short
Assuming the 90 days horizon Dreyfus Bond is expected to generate 5.21 times less return on investment than Aqr Long-short. But when comparing it to its historical volatility, Dreyfus Bond Market is 1.66 times less risky than Aqr Long-short. It trades about 0.1 of its potential returns per unit of risk. Aqr Long Short Equity is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest 1,579 in Aqr Long Short Equity on November 7, 2024 and sell it today you would earn a total of 45.00 from holding Aqr Long Short Equity or generate 2.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.0% |
| Values | Daily Returns |
Dreyfus Bond Market vs. Aqr Long Short Equity
Performance |
| Timeline |
| Dreyfus Bond Market |
| Aqr Long Short |
Dreyfus Bond and Aqr Long-short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dreyfus Bond and Aqr Long-short
The main advantage of trading using opposite Dreyfus Bond and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus Bond position performs unexpectedly, Aqr Long-short 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 Long-short will offset losses from the drop in Aqr Long-short's long position.| Dreyfus Bond vs. Dreyfusstandish Global Fixed | Dreyfus Bond vs. Wisdomtree Siegel Global | Dreyfus Bond vs. Barings Global Floating | Dreyfus Bond vs. Rbc Global Equity |
| Aqr Long-short vs. Gmo International Equity | Aqr Long-short vs. Ultra Short Fixed Income | Aqr Long-short vs. Enhanced Fixed Income | Aqr Long-short vs. Gmo Global Equity |
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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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