Correlation Between Aqr Diversified and Hennessy Focus
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Hennessy Focus 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 Hennessy Focus 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 Hennessy Focus Fund, you can compare the effects of market volatilities on Aqr Diversified and Hennessy Focus 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 Hennessy Focus. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Hennessy Focus.
Diversification Opportunities for Aqr Diversified and Hennessy Focus
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Hennessy is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Hennessy Focus Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Hennessy Focus 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 Hennessy Focus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hennessy Focus has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Hennessy Focus go up and down completely randomly.
Pair Corralation between Aqr Diversified and Hennessy Focus
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to generate 0.08 times more return on investment than Hennessy Focus. However, Aqr Diversified Arbitrage is 12.92 times less risky than Hennessy Focus. It trades about 0.16 of its potential returns per unit of risk. Hennessy Focus Fund is currently generating about 0.01 per unit of risk. If you would invest 1,179 in Aqr Diversified Arbitrage on December 4, 2024 and sell it today you would earn a total of 57.00 from holding Aqr Diversified Arbitrage or generate 4.83% 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. Hennessy Focus Fund
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Hennessy Focus |
Aqr Diversified and Hennessy Focus Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Hennessy Focus
The main advantage of trading using opposite Aqr Diversified and Hennessy Focus positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Hennessy Focus 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 Hennessy Focus will offset losses from the drop in Hennessy Focus' long position.| Aqr Diversified vs. Aqr Risk Parity | Aqr Diversified vs. Ab High Income | Aqr Diversified vs. Gmo High Yield | Aqr Diversified vs. Intal High Relative |
| Hennessy Focus vs. Hennessy Nerstone Growth | Hennessy Focus vs. Hennessy Nerstone Value | Hennessy Focus vs. Hennessy Nerstone Mid | Hennessy Focus vs. Hennessy Large Cap |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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