Correlation Between Virtus High and Aqr Style
Can any of the company-specific risk be diversified away by investing in both Virtus High and Aqr Style 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 Virtus High and Aqr Style into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Virtus High Yield and Aqr Style Premia, you can compare the effects of market volatilities on Virtus High and Aqr Style 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 Virtus High with a short position of Aqr Style. Check out your portfolio center. Please also check ongoing floating volatility patterns of Virtus High and Aqr Style.
Diversification Opportunities for Virtus High and Aqr Style
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Virtus and Aqr is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Virtus High Yield and Aqr Style Premia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Style Premia and Virtus High 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 Virtus High Yield are associated (or correlated) with Aqr Style. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Style Premia has no effect on the direction of Virtus High i.e., Virtus High and Aqr Style go up and down completely randomly.
Pair Corralation between Virtus High and Aqr Style
Assuming the 90 days horizon Virtus High Yield is expected to generate 0.26 times more return on investment than Aqr Style. However, Virtus High Yield is 3.85 times less risky than Aqr Style. It trades about 0.17 of its potential returns per unit of risk. Aqr Style Premia is currently generating about 0.04 per unit of risk. If you would invest 376.00 in Virtus High Yield on September 12, 2024 and sell it today you would earn a total of 7.00 from holding Virtus High Yield or generate 1.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Virtus High Yield vs. Aqr Style Premia
Performance |
| Timeline |
| Virtus High Yield |
| Aqr Style Premia |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Weak
Virtus High and Aqr Style Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Virtus High and Aqr Style
The main advantage of trading using opposite Virtus High and Aqr Style positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Virtus High position performs unexpectedly, Aqr Style 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 Style will offset losses from the drop in Aqr Style's long position.| Virtus High vs. Virtus Convertible | Virtus High vs. Allianzgi Convertible Income | Virtus High vs. Fidelity Sai Convertible | Virtus High vs. Advent Claymore Convertible |
| Aqr Style vs. Hennessy Bp Energy | Aqr Style vs. Clearbridge Energy Mlp | Aqr Style vs. Franklin Natural Resources | Aqr Style vs. Icon Natural Resources |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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