Correlation Between Fuller Thaler and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Fuller Thaler 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 Fuller Thaler and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fuller Thaler Behavioral and Aqr Managed Futures, you can compare the effects of market volatilities on Fuller Thaler 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 Fuller Thaler with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fuller Thaler and Aqr Managed.
Diversification Opportunities for Fuller Thaler and Aqr Managed
0.42 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Fuller and AQR is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding Fuller Thaler Behavioral 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 Fuller Thaler 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 Fuller Thaler Behavioral 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 Fuller Thaler i.e., Fuller Thaler and Aqr Managed go up and down completely randomly.
Pair Corralation between Fuller Thaler and Aqr Managed
Assuming the 90 days horizon Fuller Thaler Behavioral is expected to generate 0.97 times more return on investment than Aqr Managed. However, Fuller Thaler Behavioral is 1.03 times less risky than Aqr Managed. It trades about 0.11 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 4,535 in Fuller Thaler Behavioral on September 1, 2024 and sell it today you would earn a total of 878.00 from holding Fuller Thaler Behavioral or generate 19.36% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 99.47% |
Values | Daily Returns |
Fuller Thaler Behavioral vs. Aqr Managed Futures
Performance |
Timeline |
Fuller Thaler Behavioral |
Aqr Managed Futures |
Fuller Thaler and Aqr Managed Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Fuller Thaler and Aqr Managed
The main advantage of trading using opposite Fuller Thaler and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fuller Thaler 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.Fuller Thaler vs. Fuller Thaler Behavioral | Fuller Thaler vs. Fuller Thaler Behavioral | Fuller Thaler vs. Fuller Thaler Behavioral | Fuller Thaler vs. Fuller Thaler Behavioral |
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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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