Correlation Between Aqr Diversified and Massmutual Premier
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Massmutual Premier 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 Massmutual Premier 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 Massmutual Premier Diversified, you can compare the effects of market volatilities on Aqr Diversified and Massmutual Premier 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 Massmutual Premier. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Massmutual Premier.
Diversification Opportunities for Aqr Diversified and Massmutual Premier
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Aqr and Massmutual is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Massmutual Premier Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Premier 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 Massmutual Premier. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Premier has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Massmutual Premier go up and down completely randomly.
Pair Corralation between Aqr Diversified and Massmutual Premier
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to generate 0.68 times more return on investment than Massmutual Premier. However, Aqr Diversified Arbitrage is 1.46 times less risky than Massmutual Premier. It trades about 0.08 of its potential returns per unit of risk. Massmutual Premier Diversified is currently generating about 0.05 per unit of risk. If you would invest 1,134 in Aqr Diversified Arbitrage on August 31, 2024 and sell it today you would earn a total of 86.00 from holding Aqr Diversified Arbitrage or generate 7.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Massmutual Premier Diversified
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Massmutual Premier |
Aqr Diversified and Massmutual Premier Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Massmutual Premier
The main advantage of trading using opposite Aqr Diversified and Massmutual Premier positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Massmutual Premier 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 Massmutual Premier will offset losses from the drop in Massmutual Premier's long position.| Aqr Diversified vs. Franklin Lifesmart Retirement | Aqr Diversified vs. Transamerica Cleartrack Retirement | Aqr Diversified vs. Multimanager Lifestyle Moderate | Aqr Diversified vs. Saat Moderate Strategy |
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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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