Correlation Between Cref Inflation-linked and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Cref Inflation-linked 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 Cref Inflation-linked and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cref Inflation Linked Bond and Aqr Managed Futures, you can compare the effects of market volatilities on Cref Inflation-linked 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 Cref Inflation-linked with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cref Inflation-linked and Aqr Managed.
Diversification Opportunities for Cref Inflation-linked and Aqr Managed
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between CREF and AQR is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Cref Inflation Linked Bond 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 Cref Inflation-linked 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 Cref Inflation Linked Bond 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 Cref Inflation-linked i.e., Cref Inflation-linked and Aqr Managed go up and down completely randomly.
Pair Corralation between Cref Inflation-linked and Aqr Managed
Assuming the 90 days trading horizon Cref Inflation-linked is expected to generate 10.75 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Cref Inflation Linked Bond is 2.64 times less risky than Aqr Managed. It trades about 0.03 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 809.00 in Aqr Managed Futures on September 4, 2024 and sell it today you would earn a total of 48.00 from holding Aqr Managed Futures or generate 5.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cref Inflation Linked Bond vs. Aqr Managed Futures
Performance |
| Timeline |
| Cref Inflation Linked |
| Aqr Managed Futures |
Cref Inflation-linked and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cref Inflation-linked and Aqr Managed
The main advantage of trading using opposite Cref Inflation-linked and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cref Inflation-linked 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.| Cref Inflation-linked vs. Vanguard Total Stock | Cref Inflation-linked vs. Vanguard 500 Index | Cref Inflation-linked vs. Vanguard Total Stock | Cref Inflation-linked vs. Vanguard Total Stock |
| 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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