Correlation Between Aqr Long and Mfs Value
Can any of the company-specific risk be diversified away by investing in both Aqr Long and Mfs Value 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 and Mfs Value 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 Mfs Value Fund, you can compare the effects of market volatilities on Aqr Long and Mfs Value 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 with a short position of Mfs Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long and Mfs Value.
Diversification Opportunities for Aqr Long and Mfs Value
Poor diversification
The 3 months correlation between Aqr and Mfs is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Mfs Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mfs Value Fund and Aqr Long 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 Mfs Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mfs Value Fund has no effect on the direction of Aqr Long i.e., Aqr Long and Mfs Value go up and down completely randomly.
Pair Corralation between Aqr Long and Mfs Value
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 0.79 times more return on investment than Mfs Value. However, Aqr Long Short Equity is 1.26 times less risky than Mfs Value. It trades about 0.25 of its potential returns per unit of risk. Mfs Value Fund is currently generating about 0.03 per unit of risk. If you would invest 1,542 in Aqr Long Short Equity on September 12, 2024 and sell it today you would earn a total of 121.00 from holding Aqr Long Short Equity or generate 7.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 98.44% |
| Values | Daily Returns |
Aqr Long Short Equity vs. Mfs Value Fund
Performance |
| Timeline |
| Aqr Long Short |
| Mfs Value Fund |
Aqr Long and Mfs Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long and Mfs Value
The main advantage of trading using opposite Aqr Long and Mfs Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long position performs unexpectedly, Mfs Value 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 Mfs Value will offset losses from the drop in Mfs Value's long position.| Aqr Long vs. Needham Aggressive Growth | Aqr Long vs. Alliancebernstein Global High | Aqr Long vs. Artisan High Income | Aqr Long vs. Pace High Yield |
| Mfs Value vs. Delaware Investments Ultrashort | Mfs Value vs. Aqr Long Short Equity | Mfs Value vs. Astor Longshort Fund | Mfs Value vs. Virtus Multi Sector Short |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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