Correlation Between Arrow Managed and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Arrow Managed 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 Arrow Managed and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Arrow Managed Futures and Aqr Managed Futures, you can compare the effects of market volatilities on Arrow Managed 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 Arrow Managed with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Arrow Managed and Aqr Managed.
Diversification Opportunities for Arrow Managed and Aqr Managed
0.21 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Arrow and Aqr is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Arrow Managed Futures 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 Arrow Managed 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 Arrow Managed Futures 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 Arrow Managed i.e., Arrow Managed and Aqr Managed go up and down completely randomly.
Pair Corralation between Arrow Managed and Aqr Managed
Assuming the 90 days horizon Arrow Managed Futures is expected to under-perform the Aqr Managed. In addition to that, Arrow Managed is 1.55 times more volatile than Aqr Managed Futures. It trades about -0.09 of its total potential returns per unit of risk. Aqr Managed Futures is currently generating about -0.1 per unit of volatility. If you would invest 917.00 in Aqr Managed Futures on August 24, 2024 and sell it today you would lose (100.00) from holding Aqr Managed Futures or give up 10.91% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Arrow Managed Futures vs. Aqr Managed Futures
Performance |
| Timeline |
| Arrow Managed Futures |
| Aqr Managed Futures |
Arrow Managed and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Arrow Managed and Aqr Managed
The main advantage of trading using opposite Arrow Managed and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Arrow Managed 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.| Arrow Managed vs. Boston Partners Small | Arrow Managed vs. American Century Etf | Arrow Managed vs. Fpa Queens Road | Arrow Managed vs. Vanguard Small Cap Value |
| Aqr Managed vs. Barings Emerging Markets | Aqr Managed vs. Pace International Emerging | Aqr Managed vs. Doubleline Emerging Markets | Aqr Managed vs. Artisan Emerging Markets |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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