Correlation Between Aqr Diversified and Sentinel Small
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Sentinel Small 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 Sentinel Small 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 Sentinel Small Pany, you can compare the effects of market volatilities on Aqr Diversified and Sentinel Small 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 Sentinel Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Sentinel Small.
Diversification Opportunities for Aqr Diversified and Sentinel Small
-0.46 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Sentinel is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Sentinel Small Pany in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sentinel Small Pany 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 Sentinel Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sentinel Small Pany has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Sentinel Small go up and down completely randomly.
Pair Corralation between Aqr Diversified and Sentinel Small
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to under-perform the Sentinel Small. But the mutual fund apears to be less risky and, when comparing its historical volatility, Aqr Diversified Arbitrage is 7.82 times less risky than Sentinel Small. The mutual fund trades about -0.22 of its potential returns per unit of risk. The Sentinel Small Pany is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest 715.00 in Sentinel Small Pany on September 2, 2024 and sell it today you would earn a total of 65.00 from holding Sentinel Small Pany or generate 9.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Sentinel Small Pany
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Sentinel Small Pany |
Aqr Diversified and Sentinel Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Sentinel Small
The main advantage of trading using opposite Aqr Diversified and Sentinel Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Sentinel Small 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 Sentinel Small will offset losses from the drop in Sentinel Small's long position.| Aqr Diversified vs. Jhancock Diversified Macro | Aqr Diversified vs. Western Asset Diversified | Aqr Diversified vs. Harbor Diversified International | Aqr Diversified vs. Tax Managed Mid Small |
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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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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