Correlation Between Aqr Long-short and Large Cap
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and Large 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 Long-short and Large Cap 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 Large Cap International, you can compare the effects of market volatilities on Aqr Long-short and Large 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 Long-short with a short position of Large Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and Large Cap.
Diversification Opportunities for Aqr Long-short and Large Cap
-0.71 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Aqr and Large is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Large Cap International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Large Cap International 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 Large Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Large Cap International has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and Large Cap go up and down completely randomly.
Pair Corralation between Aqr Long-short and Large Cap
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 0.56 times more return on investment than Large Cap. However, Aqr Long Short Equity is 1.79 times less risky than Large Cap. It trades about 0.12 of its potential returns per unit of risk. Large Cap International is currently generating about 0.01 per unit of risk. If you would invest 1,540 in Aqr Long Short Equity on September 2, 2024 and sell it today you would earn a total of 110.00 from holding Aqr Long Short Equity or generate 7.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Long Short Equity vs. Large Cap International
Performance |
| Timeline |
| Aqr Long Short |
| Large Cap International |
Aqr Long-short and Large Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long-short and Large Cap
The main advantage of trading using opposite Aqr Long-short and Large Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, Large 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 Large Cap will offset losses from the drop in Large Cap's long position.| Aqr Long-short vs. Pgim Conservative Retirement | Aqr Long-short vs. Prudential Core Conservative | Aqr Long-short vs. Jhancock Diversified Macro | Aqr Long-short vs. Harbor Diversified International |
| Large Cap vs. Transamerica Large Cap | Large Cap vs. Jhancock Disciplined Value | Large Cap vs. Qs Large Cap | Large Cap vs. Aqr Large 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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