Correlation Between Aqr Diversified and Prudential Jennison
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Prudential Jennison 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 Prudential Jennison 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 Prudential Jennison International, you can compare the effects of market volatilities on Aqr Diversified and Prudential Jennison 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 Prudential Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Prudential Jennison.
Diversification Opportunities for Aqr Diversified and Prudential Jennison
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Aqr and Prudential is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Prudential Jennison Internatio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Prudential Jennison 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 Prudential Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Prudential Jennison has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Prudential Jennison go up and down completely randomly.
Pair Corralation between Aqr Diversified and Prudential Jennison
Assuming the 90 days horizon Aqr Diversified is expected to generate 4.2 times less return on investment than Prudential Jennison. But when comparing it to its historical volatility, Aqr Diversified Arbitrage is 4.34 times less risky than Prudential Jennison. It trades about 0.07 of its potential returns per unit of risk. Prudential Jennison International is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 2,338 in Prudential Jennison International on September 18, 2024 and sell it today you would earn a total of 812.00 from holding Prudential Jennison International or generate 34.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Prudential Jennison Internatio
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Prudential Jennison |
Aqr Diversified and Prudential Jennison Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Prudential Jennison
The main advantage of trading using opposite Aqr Diversified and Prudential Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Prudential Jennison 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 Prudential Jennison will offset losses from the drop in Prudential Jennison'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 |
| Prudential Jennison vs. Aqr Diversified Arbitrage | Prudential Jennison vs. Blackrock Sm Cap | Prudential Jennison vs. Adams Diversified Equity | Prudential Jennison vs. Jhancock Diversified Macro |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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