Correlation Between Aqr Diversified and Aqr Global
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Aqr Global 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 Aqr Global 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 Aqr Global Equity, you can compare the effects of market volatilities on Aqr Diversified and Aqr Global 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 Aqr Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Aqr Global.
Diversification Opportunities for Aqr Diversified and Aqr Global
-0.29 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Aqr is -0.29. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Aqr Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Global Equity 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 Aqr Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Global Equity has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Aqr Global go up and down completely randomly.
Pair Corralation between Aqr Diversified and Aqr Global
Assuming the 90 days horizon Aqr Diversified is expected to generate 6.08 times less return on investment than Aqr Global. But when comparing it to its historical volatility, Aqr Diversified Arbitrage is 3.94 times less risky than Aqr Global. It trades about 0.06 of its potential returns per unit of risk. Aqr Global Equity is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 800.00 in Aqr Global Equity on September 2, 2024 and sell it today you would earn a total of 423.00 from holding Aqr Global Equity or generate 52.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Aqr Global Equity
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Aqr Global Equity |
Aqr Diversified and Aqr Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Aqr Global
The main advantage of trading using opposite Aqr Diversified and Aqr Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Aqr Global 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 Global will offset losses from the drop in Aqr Global's long position.| Aqr Diversified vs. Jhancock Diversified Macro | Aqr Diversified vs. Western Asset Diversified | Aqr Diversified vs. Harbor Diversified International | Aqr Diversified vs. Tax Managed Mid Small |
| Aqr Global vs. Aqr Large Cap | Aqr Global vs. Aqr Large Cap | Aqr Global vs. Aqr International Defensive | Aqr Global 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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