Correlation Between Aqr Long-short and Fulcrum Diversified
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and Fulcrum Diversified 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 Fulcrum Diversified 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 Fulcrum Diversified Absolute, you can compare the effects of market volatilities on Aqr Long-short and Fulcrum Diversified 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 Fulcrum Diversified. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and Fulcrum Diversified.
Diversification Opportunities for Aqr Long-short and Fulcrum Diversified
-0.09 | Correlation Coefficient |
Good diversification
The 3 months correlation between Aqr and Fulcrum is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Fulcrum Diversified Absolute in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fulcrum Diversified 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 Fulcrum Diversified. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fulcrum Diversified has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and Fulcrum Diversified go up and down completely randomly.
Pair Corralation between Aqr Long-short and Fulcrum Diversified
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 1.36 times more return on investment than Fulcrum Diversified. However, Aqr Long-short is 1.36 times more volatile than Fulcrum Diversified Absolute. It trades about 0.15 of its potential returns per unit of risk. Fulcrum Diversified Absolute is currently generating about -0.08 per unit of risk. If you would invest 1,531 in Aqr Long Short Equity on October 16, 2024 and sell it today you would earn a total of 46.00 from holding Aqr Long Short Equity or generate 3.0% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 97.44% |
Values | Daily Returns |
Aqr Long Short Equity vs. Fulcrum Diversified Absolute
Performance |
Timeline |
Aqr Long Short |
Fulcrum Diversified |
Aqr Long-short and Fulcrum Diversified Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Aqr Long-short and Fulcrum Diversified
The main advantage of trading using opposite Aqr Long-short and Fulcrum Diversified positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, Fulcrum Diversified 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 Fulcrum Diversified will offset losses from the drop in Fulcrum Diversified's long position.Aqr Long-short vs. Hartford Healthcare Hls | Aqr Long-short vs. Prudential Health Sciences | Aqr Long-short vs. Tekla Healthcare Investors | Aqr Long-short vs. Health Care Ultrasector |
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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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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