Correlation Between Aqr Long-short and Ab Select
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and Ab Select 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 Long-short and Ab Select into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Long Short Equity and Ab Select Equity, you can compare the effects of market volatilities on Aqr Long-short and Ab Select 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 Long-short with a short position of Ab Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and Ab Select.
Diversification Opportunities for Aqr Long-short and Ab Select
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and AUUIX is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Ab Select Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Select Equity and Aqr Long-short 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 Long Short Equity are associated (or correlated) with Ab Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Select Equity has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and Ab Select go up and down completely randomly.
Pair Corralation between Aqr Long-short and Ab Select
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 0.27 times more return on investment than Ab Select. However, Aqr Long Short Equity is 3.75 times less risky than Ab Select. It trades about 0.22 of its potential returns per unit of risk. Ab Select Equity is currently generating about -0.26 per unit of risk. If you would invest 1,553 in Aqr Long Short Equity on October 10, 2024 and sell it today you would earn a total of 33.00 from holding Aqr Long Short Equity or generate 2.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Long Short Equity vs. Ab Select Equity
Performance |
| Timeline |
| Aqr Long Short |
| Ab Select Equity |
Aqr Long-short and Ab Select Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long-short and Ab Select
The main advantage of trading using opposite Aqr Long-short and Ab Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, Ab Select 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 Ab Select will offset losses from the drop in Ab Select's long position.| Aqr Long-short vs. Pace Large Growth | Aqr Long-short vs. Rbc Global Equity | Aqr Long-short vs. Alternative Asset Allocation | Aqr Long-short vs. Qs Global Equity |
| Ab Select vs. Davenport Small Cap | Ab Select vs. Stone Ridge Diversified | Ab Select vs. Jhancock Diversified Macro | Ab Select vs. Northern Small Cap |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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