Correlation Between Aqr Diversified and Western Asset
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Western Asset 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 Western Asset 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 Western Asset Municipal, you can compare the effects of market volatilities on Aqr Diversified and Western Asset 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 Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Western Asset.
Diversification Opportunities for Aqr Diversified and Western Asset
0.41 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Western is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Western Asset Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Municipal 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 Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset Municipal has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Western Asset go up and down completely randomly.
Pair Corralation between Aqr Diversified and Western Asset
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to under-perform the Western Asset. But the mutual fund apears to be less risky and, when comparing its historical volatility, Aqr Diversified Arbitrage is 1.99 times less risky than Western Asset. The mutual fund trades about -0.14 of its potential returns per unit of risk. The Western Asset Municipal is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 723.00 in Western Asset Municipal on September 1, 2024 and sell it today you would earn a total of 6.00 from holding Western Asset Municipal or generate 0.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Diversified Arbitrage vs. Western Asset Municipal
Performance |
| Timeline |
| Aqr Diversified Arbitrage |
| Western Asset Municipal |
Aqr Diversified and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Diversified and Western Asset
The main advantage of trading using opposite Aqr Diversified and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's long position.| Aqr Diversified vs. Sterling Capital Short | Aqr Diversified vs. Ab Select Longshort | Aqr Diversified vs. Goldman Sachs Short Term | Aqr Diversified vs. Touchstone Ultra Short |
| Western Asset vs. Lord Abbett Diversified | Western Asset vs. Blackrock Conservative Prprdptfinstttnl | Western Asset vs. Pioneer Diversified High | Western Asset vs. Aqr Diversified Arbitrage |
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 Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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