Correlation Between Locorr Dynamic and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Locorr Dynamic 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 Locorr Dynamic and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Locorr Dynamic Equity and Aqr Managed Futures, you can compare the effects of market volatilities on Locorr Dynamic 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 Locorr Dynamic with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Locorr Dynamic and Aqr Managed.
Diversification Opportunities for Locorr Dynamic and Aqr Managed
0.5 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Locorr and AQR is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding Locorr Dynamic 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 Locorr Dynamic 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 Locorr Dynamic 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 Locorr Dynamic i.e., Locorr Dynamic and Aqr Managed go up and down completely randomly.
Pair Corralation between Locorr Dynamic and Aqr Managed
Assuming the 90 days horizon Locorr Dynamic Equity is expected to generate 0.64 times more return on investment than Aqr Managed. However, Locorr Dynamic Equity is 1.56 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 0.02 per unit of risk. If you would invest 1,033 in Locorr Dynamic Equity on August 31, 2024 and sell it today you would earn a total of 153.00 from holding Locorr Dynamic Equity or generate 14.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Locorr Dynamic Equity vs. Aqr Managed Futures
Performance |
| Timeline |
| Locorr Dynamic Equity |
| Aqr Managed Futures |
Locorr Dynamic and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Locorr Dynamic and Aqr Managed
The main advantage of trading using opposite Locorr Dynamic and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Locorr Dynamic 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.| Locorr Dynamic vs. Prudential Short Duration | Locorr Dynamic vs. Valic Company I | Locorr Dynamic vs. Pace High Yield | Locorr Dynamic vs. Artisan High Income |
| Aqr Managed vs. Aqr Managed Futures | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. American Beacon Ahl |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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