Correlation Between Aqr Diversified and Lord Abbett
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Lord Abbett 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 Diversified and Lord Abbett into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Diversified Arbitrage and Lord Abbett Alpha, you can compare the effects of market volatilities on Aqr Diversified and Lord Abbett 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 Diversified with a short position of Lord Abbett. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Lord Abbett.
Diversification Opportunities for Aqr Diversified and Lord Abbett
-0.77 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Aqr and Lord is -0.77. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Lord Abbett Alpha in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lord Abbett Alpha and Aqr Diversified 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 Diversified Arbitrage are associated (or correlated) with Lord Abbett. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lord Abbett Alpha has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Lord Abbett go up and down completely randomly.
Pair Corralation between Aqr Diversified and Lord Abbett
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to generate 0.1 times more return on investment than Lord Abbett. However, Aqr Diversified Arbitrage is 9.6 times less risky than Lord Abbett. It trades about 0.59 of its potential returns per unit of risk. Lord Abbett Alpha is currently generating about -0.45 per unit of risk. If you would invest 1,220 in Aqr Diversified Arbitrage on December 8, 2024 and sell it today you would earn a total of 17.00 from holding Aqr Diversified Arbitrage or generate 1.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Lord Abbett Alpha
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Lord Abbett Alpha |
Aqr Diversified and Lord Abbett Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Lord Abbett
The main advantage of trading using opposite Aqr Diversified and Lord Abbett positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Lord Abbett 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 Lord Abbett will offset losses from the drop in Lord Abbett's long position.| Aqr Diversified vs. Investec Emerging Markets | ||
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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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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