Correlation Between Aqr Diversified and Oakmark International
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Oakmark International 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 Oakmark International 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 Oakmark International Small, you can compare the effects of market volatilities on Aqr Diversified and Oakmark International 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 Oakmark International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Oakmark International.
Diversification Opportunities for Aqr Diversified and Oakmark International
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Aqr and Oakmark is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Oakmark International Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Oakmark International 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 Oakmark International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oakmark International has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Oakmark International go up and down completely randomly.
Pair Corralation between Aqr Diversified and Oakmark International
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to generate 0.26 times more return on investment than Oakmark International. However, Aqr Diversified Arbitrage is 3.86 times less risky than Oakmark International. It trades about -0.14 of its potential returns per unit of risk. Oakmark International Small is currently generating about -0.44 per unit of risk. If you would invest 1,227 in Aqr Diversified Arbitrage on August 27, 2024 and sell it today you would lose (7.00) from holding Aqr Diversified Arbitrage or give up 0.57% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Oakmark International Small
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Oakmark International |
Aqr Diversified and Oakmark International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Oakmark International
The main advantage of trading using opposite Aqr Diversified and Oakmark International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Oakmark International 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 Oakmark International will offset losses from the drop in Oakmark International's long position.| Aqr Diversified vs. Aqr Large Cap | Aqr Diversified vs. Aqr Large Cap | Aqr Diversified vs. Aqr International Defensive | Aqr Diversified 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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