Correlation Between Aqr Global and Gmo Global
Can any of the company-specific risk be diversified away by investing in both Aqr Global and Gmo Global 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 Global and Gmo Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Global Macro and Gmo Global Equity, you can compare the effects of market volatilities on Aqr Global and Gmo Global 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 Global with a short position of Gmo Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Global and Gmo Global.
Diversification Opportunities for Aqr Global and Gmo Global
0.08 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Aqr and Gmo is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Global Macro and Gmo Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Global Equity and Aqr Global 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 Global Macro are associated (or correlated) with Gmo Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Global Equity has no effect on the direction of Aqr Global i.e., Aqr Global and Gmo Global go up and down completely randomly.
Pair Corralation between Aqr Global and Gmo Global
Assuming the 90 days horizon Aqr Global is expected to generate 9.57 times less return on investment than Gmo Global. But when comparing it to its historical volatility, Aqr Global Macro is 1.62 times less risky than Gmo Global. It trades about 0.01 of its potential returns per unit of risk. Gmo Global Equity is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 2,584 in Gmo Global Equity on November 3, 2024 and sell it today you would earn a total of 350.00 from holding Gmo Global Equity or generate 13.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Global Macro vs. Gmo Global Equity
Performance |
| Timeline |
| Aqr Global Macro |
| Gmo Global Equity |
Aqr Global and Gmo Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Global and Gmo Global
The main advantage of trading using opposite Aqr Global and Gmo Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Global position performs unexpectedly, Gmo Global 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 Gmo Global will offset losses from the drop in Gmo Global's long position.| Aqr Global vs. Western Assets Emerging | Aqr Global vs. Angel Oak Multi Strategy | Aqr Global vs. Nasdaq 100 2x Strategy | Aqr Global vs. Doubleline Emerging Markets |
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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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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