Correlation Between Gmo Global and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Gmo Global 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 Gmo Global and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gmo Global Equity and Aqr Managed Futures, you can compare the effects of market volatilities on Gmo Global 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 Gmo Global with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gmo Global and Aqr Managed.
Diversification Opportunities for Gmo Global and Aqr Managed
-0.1 | Correlation Coefficient |
Good diversification
The 3 months correlation between Gmo and Aqr is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding Gmo Global Equity 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 Gmo Global 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 Gmo Global Equity 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 Gmo Global i.e., Gmo Global and Aqr Managed go up and down completely randomly.
Pair Corralation between Gmo Global and Aqr Managed
Assuming the 90 days horizon Gmo Global Equity is expected to generate 0.87 times more return on investment than Aqr Managed. However, Gmo Global Equity is 1.14 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 2,254 in Gmo Global Equity on October 31, 2024 and sell it today you would earn a total of 654.00 from holding Gmo Global Equity or generate 29.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gmo Global Equity vs. Aqr Managed Futures
Performance |
| Timeline |
| Gmo Global Equity |
| Aqr Managed Futures |
Gmo Global and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gmo Global and Aqr Managed
The main advantage of trading using opposite Gmo Global and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gmo Global 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.| Gmo Global vs. Great West Loomis Sayles | Gmo Global vs. Fidelity Small Cap | Gmo Global vs. Walden Smid Cap | Gmo Global vs. Vanguard Small Cap Value |
| Aqr Managed vs. Wilmington Trust Retirement | Aqr Managed vs. Transamerica Cleartrack Retirement | Aqr Managed vs. Tiaa Cref Lifestyle Moderate | Aqr Managed vs. Calvert Moderate Allocation |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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