Correlation Between Aqr Diversified and Embark Commodity
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Embark Commodity 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 Embark Commodity 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 Embark Commodity Strategy, you can compare the effects of market volatilities on Aqr Diversified and Embark Commodity 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 Embark Commodity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Embark Commodity.
Diversification Opportunities for Aqr Diversified and Embark Commodity
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Embark is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Embark Commodity Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Embark Commodity Strategy 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 Embark Commodity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Embark Commodity Strategy has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Embark Commodity go up and down completely randomly.
Pair Corralation between Aqr Diversified and Embark Commodity
Assuming the 90 days horizon Aqr Diversified is expected to generate 2.21 times less return on investment than Embark Commodity. But when comparing it to its historical volatility, Aqr Diversified Arbitrage is 6.62 times less risky than Embark Commodity. It trades about 0.17 of its potential returns per unit of risk. Embark Commodity Strategy is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 959.00 in Embark Commodity Strategy on December 12, 2024 and sell it today you would earn a total of 114.00 from holding Embark Commodity Strategy or generate 11.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 97.57% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Embark Commodity Strategy
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Embark Commodity Strategy |
Aqr Diversified and Embark Commodity Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Embark Commodity
The main advantage of trading using opposite Aqr Diversified and Embark Commodity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Embark Commodity 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 Embark Commodity will offset losses from the drop in Embark Commodity's long position.| Aqr Diversified vs. Ab Bond Inflation | ||
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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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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