Correlation Between Miller Income and Aqr Small
Can any of the company-specific risk be diversified away by investing in both Miller Income 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 Miller Income and Aqr Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Miller Income Fund and Aqr Small Cap, you can compare the effects of market volatilities on Miller Income 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 Miller Income with a short position of Aqr Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Miller Income and Aqr Small.
Diversification Opportunities for Miller Income and Aqr Small
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Miller and Aqr is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Miller Income Fund 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 Miller Income 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 Miller Income Fund 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 Miller Income i.e., Miller Income and Aqr Small go up and down completely randomly.
Pair Corralation between Miller Income and Aqr Small
Assuming the 90 days horizon Miller Income Fund is expected to generate 0.72 times more return on investment than Aqr Small. However, Miller Income Fund is 1.38 times less risky than Aqr Small. It trades about 0.11 of its potential returns per unit of risk. Aqr Small Cap is currently generating about 0.06 per unit of risk. If you would invest 627.00 in Miller Income Fund on September 12, 2024 and sell it today you would earn a total of 294.00 from holding Miller Income Fund or generate 46.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Miller Income Fund vs. Aqr Small Cap
Performance |
| Timeline |
| Miller Income |
| Aqr Small Cap |
Miller Income and Aqr Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Miller Income and Aqr Small
The main advantage of trading using opposite Miller Income and Aqr Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Miller Income 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.| Miller Income vs. Aqr Small Cap | Miller Income vs. Ab Small Cap | Miller Income vs. Small Pany Growth | Miller Income vs. Lebenthal Lisanti Small |
| Aqr Small vs. Dunham Large Cap | Aqr Small vs. Jhancock Disciplined Value | Aqr Small vs. Fidelity Series 1000 | Aqr Small vs. Dana 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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