Correlation Between Aqr Global and Small Cap
Can any of the company-specific risk be diversified away by investing in both Aqr Global and Small Cap 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 Small Cap 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 Small Cap Equity, you can compare the effects of market volatilities on Aqr Global and Small Cap 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 Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Global and Small Cap.
Diversification Opportunities for Aqr Global and Small Cap
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Small is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Global Macro and Small Cap Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap 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 Small Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Equity has no effect on the direction of Aqr Global i.e., Aqr Global and Small Cap go up and down completely randomly.
Pair Corralation between Aqr Global and Small Cap
Assuming the 90 days horizon Aqr Global Macro is expected to generate 0.48 times more return on investment than Small Cap. However, Aqr Global Macro is 2.09 times less risky than Small Cap. It trades about 0.07 of its potential returns per unit of risk. Small Cap Equity is currently generating about -0.23 per unit of risk. If you would invest 937.00 in Aqr Global Macro on October 11, 2024 and sell it today you would earn a total of 7.00 from holding Aqr Global Macro or generate 0.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Global Macro vs. Small Cap Equity
Performance |
| Timeline |
| Aqr Global Macro |
| Small Cap Equity |
Aqr Global and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Global and Small Cap
The main advantage of trading using opposite Aqr Global and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Global position performs unexpectedly, Small Cap 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 Small Cap will offset losses from the drop in Small Cap's long position.| Aqr Global vs. Victory Rs Partners | Aqr Global vs. Fidelity Small Cap | Aqr Global vs. Small Cap Value Fund | Aqr Global vs. Amg River Road |
| Small Cap vs. Barings Global Floating | Small Cap vs. Aqr Global Macro | Small Cap vs. Asg Global Alternatives | Small Cap vs. Alliancebernstein Global Highome |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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