Correlation Between Loomis Sayles and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Loomis Sayles 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 Loomis Sayles and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Loomis Sayles Institutional and Aqr Managed Futures, you can compare the effects of market volatilities on Loomis Sayles 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 Loomis Sayles with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loomis Sayles and Aqr Managed.
Diversification Opportunities for Loomis Sayles and Aqr Managed
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Loomis and AQR is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Institutional 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 Loomis Sayles 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 Loomis Sayles Institutional 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 Loomis Sayles i.e., Loomis Sayles and Aqr Managed go up and down completely randomly.
Pair Corralation between Loomis Sayles and Aqr Managed
Assuming the 90 days horizon Loomis Sayles is expected to generate 1.45 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Loomis Sayles Institutional is 4.88 times less risky than Aqr Managed. It trades about 0.46 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 798.00 in Aqr Managed Futures on September 2, 2024 and sell it today you would earn a total of 19.00 from holding Aqr Managed Futures or generate 2.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Loomis Sayles Institutional vs. Aqr Managed Futures
Performance |
| Timeline |
| Loomis Sayles Instit |
| Aqr Managed Futures |
Loomis Sayles and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Loomis Sayles and Aqr Managed
The main advantage of trading using opposite Loomis Sayles and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Loomis Sayles 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.| Loomis Sayles vs. Aqr Managed Futures | Loomis Sayles vs. Cref Inflation Linked Bond | Loomis Sayles vs. Ab Bond Inflation | Loomis Sayles vs. American Funds Inflation |
| 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
Other Complementary Tools
| Companies Directory Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios |