Correlation Between Aqr Long-short and Jhancock Short
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and Jhancock Short 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 Jhancock Short 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 Jhancock Short Duration, you can compare the effects of market volatilities on Aqr Long-short and Jhancock Short 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 Jhancock Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and Jhancock Short.
Diversification Opportunities for Aqr Long-short and Jhancock Short
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Jhancock is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Jhancock Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jhancock Short Duration 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 Jhancock Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jhancock Short Duration has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and Jhancock Short go up and down completely randomly.
Pair Corralation between Aqr Long-short and Jhancock Short
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 2.55 times more return on investment than Jhancock Short. However, Aqr Long-short is 2.55 times more volatile than Jhancock Short Duration. It trades about 0.69 of its potential returns per unit of risk. Jhancock Short Duration is currently generating about 0.2 per unit of risk. If you would invest 1,598 in Aqr Long Short Equity on November 18, 2024 and sell it today you would earn a total of 79.00 from holding Aqr Long Short Equity or generate 4.94% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Long Short Equity vs. Jhancock Short Duration
Performance |
| Timeline |
| Aqr Long Short |
| Jhancock Short Duration |
Aqr Long-short and Jhancock Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long-short and Jhancock Short
The main advantage of trading using opposite Aqr Long-short and Jhancock Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, Jhancock Short 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 Jhancock Short will offset losses from the drop in Jhancock Short's long position.| Aqr Long-short vs. Embark Commodity Strategy | Aqr Long-short vs. Pnc Emerging Markets | Aqr Long-short vs. Delaware Emerging Markets | Aqr Long-short vs. Barings 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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