Correlation Between Putnam Global and Aqr Sustainable
Can any of the company-specific risk be diversified away by investing in both Putnam Global and Aqr Sustainable 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 Putnam Global and Aqr Sustainable into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Putnam Global Industrials and Aqr Sustainable Long Short, you can compare the effects of market volatilities on Putnam Global and Aqr Sustainable 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 Putnam Global with a short position of Aqr Sustainable. Check out your portfolio center. Please also check ongoing floating volatility patterns of Putnam Global and Aqr Sustainable.
Diversification Opportunities for Putnam Global and Aqr Sustainable
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Putnam and AQR is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Putnam Global Industrials and Aqr Sustainable Long Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Sustainable Long and Putnam Global 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 Putnam Global Industrials are associated (or correlated) with Aqr Sustainable. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Sustainable Long has no effect on the direction of Putnam Global i.e., Putnam Global and Aqr Sustainable go up and down completely randomly.
Pair Corralation between Putnam Global and Aqr Sustainable
Assuming the 90 days horizon Putnam Global is expected to generate 1.05 times less return on investment than Aqr Sustainable. But when comparing it to its historical volatility, Putnam Global Industrials is 1.77 times less risky than Aqr Sustainable. It trades about 0.12 of its potential returns per unit of risk. Aqr Sustainable Long Short is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 938.00 in Aqr Sustainable Long Short on August 31, 2024 and sell it today you would earn a total of 555.00 from holding Aqr Sustainable Long Short or generate 59.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.79% |
| Values | Daily Returns |
Putnam Global Industrials vs. Aqr Sustainable Long Short
Performance |
| Timeline |
| Putnam Global Industrials |
| Aqr Sustainable Long |
Putnam Global and Aqr Sustainable Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Putnam Global and Aqr Sustainable
The main advantage of trading using opposite Putnam Global and Aqr Sustainable positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Putnam Global position performs unexpectedly, Aqr Sustainable 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 Sustainable will offset losses from the drop in Aqr Sustainable's long position.| Putnam Global vs. Aqr Sustainable Long Short | Putnam Global vs. Ultra Short Fixed Income | Putnam Global vs. Franklin Federal Limited Term | Putnam Global vs. Quantitative Longshort Equity |
| Aqr Sustainable vs. Aqr Long Short Equity | Aqr Sustainable vs. Diamond Hill Long Short | Aqr Sustainable vs. Diamond Hill Long Short | Aqr Sustainable vs. Diamond Hill Long Short |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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