Correlation Between Us Large and Aqr Small
Can any of the company-specific risk be diversified away by investing in both Us Large and Aqr Small 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 Us Large and Aqr Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Us Large Cap and Aqr Small Cap, you can compare the effects of market volatilities on Us Large and Aqr Small 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 Us Large with a short position of Aqr Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Us Large and Aqr Small.
Diversification Opportunities for Us Large and Aqr Small
Almost no diversification
The 3 months correlation between DFUVX and Aqr is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Us Large Cap and Aqr Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Small Cap and Us Large 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 Us Large Cap are associated (or correlated) with Aqr Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Small Cap has no effect on the direction of Us Large i.e., Us Large and Aqr Small go up and down completely randomly.
Pair Corralation between Us Large and Aqr Small
Assuming the 90 days horizon Us Large is expected to generate 1.39 times less return on investment than Aqr Small. But when comparing it to its historical volatility, Us Large Cap is 1.58 times less risky than Aqr Small. It trades about 0.07 of its potential returns per unit of risk. Aqr Small Cap is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 1,708 in Aqr Small Cap on September 13, 2024 and sell it today you would earn a total of 749.00 from holding Aqr Small Cap or generate 43.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.8% |
| Values | Daily Returns |
Us Large Cap vs. Aqr Small Cap
Performance |
| Timeline |
| Us Large Cap |
| Aqr Small Cap |
Us Large and Aqr Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Us Large and Aqr Small
The main advantage of trading using opposite Us Large and Aqr Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Us Large position performs unexpectedly, Aqr Small 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 Small will offset losses from the drop in Aqr Small's long position.| Us Large vs. Dfa International Value | Us Large vs. Dfa International Small | Us Large vs. Us Small Cap | Us Large vs. Dfa Real Estate |
| Aqr Small vs. Aqr Large Cap | Aqr Small vs. Aqr International Momentum | Aqr Small vs. Aqr Managed Futures | Aqr Small vs. Us 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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