Correlation Between Altegris Futures and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Altegris Futures 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 Altegris Futures and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Altegris Futures Evolution and Aqr Managed Futures, you can compare the effects of market volatilities on Altegris Futures 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 Altegris Futures with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Aqr Managed.
Diversification Opportunities for Altegris Futures and Aqr Managed
0.0 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Altegris and Aqr is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution 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 Altegris Futures 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 Altegris Futures Evolution 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 Altegris Futures i.e., Altegris Futures and Aqr Managed go up and down completely randomly.
Pair Corralation between Altegris Futures and Aqr Managed
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Aqr Managed. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.13 times less risky than Aqr Managed. The mutual fund trades about -0.01 of its potential returns per unit of risk. The Aqr Managed Futures is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 841.00 in Aqr Managed Futures on September 4, 2024 and sell it today you would earn a total of 26.00 from holding Aqr Managed Futures or generate 3.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Flat |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Aqr Managed Futures
Performance |
| Timeline |
| Altegris Futures Evo |
| Aqr Managed Futures |
Altegris Futures and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Aqr Managed
The main advantage of trading using opposite Altegris Futures and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures 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.| Altegris Futures vs. Sarofim Equity | Altegris Futures vs. Nationwide Global Equity | Altegris Futures vs. Balanced Fund Retail | Altegris Futures vs. Multimedia Portfolio Multimedia |
| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed vs. Aqr International Defensive |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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