Correlation Between Aqr Large and Large Cap
Can any of the company-specific risk be diversified away by investing in both Aqr Large and Large Cap 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 Aqr Large and Large Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Large Cap and Large Cap Value, you can compare the effects of market volatilities on Aqr Large and Large Cap 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 Aqr Large with a short position of Large Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Large and Large Cap.
Diversification Opportunities for Aqr Large and Large Cap
Very poor diversification
The 3 months correlation between AQR and Large is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Large Cap and Large Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Large Cap Value and Aqr Large 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 Aqr Large Cap are associated (or correlated) with Large Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Large Cap Value has no effect on the direction of Aqr Large i.e., Aqr Large and Large Cap go up and down completely randomly.
Pair Corralation between Aqr Large and Large Cap
Assuming the 90 days horizon Aqr Large Cap is expected to generate 1.0 times more return on investment than Large Cap. However, Aqr Large Cap is 1.0 times less risky than Large Cap. It trades about 0.2 of its potential returns per unit of risk. Large Cap Value is currently generating about 0.06 per unit of risk. If you would invest 2,067 in Aqr Large Cap on August 29, 2024 and sell it today you would earn a total of 89.00 from holding Aqr Large Cap or generate 4.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Large Cap vs. Large Cap Value
Performance |
| Timeline |
| Aqr Large Cap |
| Large Cap Value |
Aqr Large and Large Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Large and Large Cap
The main advantage of trading using opposite Aqr Large and Large Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Large position performs unexpectedly, Large Cap 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 Large Cap will offset losses from the drop in Large Cap's long position.| Aqr Large vs. Aqr Large Cap | Aqr Large vs. Aqr Large Cap | Aqr Large vs. Aqr International Defensive | Aqr Large 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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