Correlation Between Aqr Long-short and State Street
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and State Street 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 State Street 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 State Street Equity, you can compare the effects of market volatilities on Aqr Long-short and State Street 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 State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and State Street.
Diversification Opportunities for Aqr Long-short and State Street
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and State is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and State Street Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street 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 State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Equity has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and State Street go up and down completely randomly.
Pair Corralation between Aqr Long-short and State Street
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 0.5 times more return on investment than State Street. However, Aqr Long Short Equity is 1.98 times less risky than State Street. It trades about 0.58 of its potential returns per unit of risk. State Street Equity is currently generating about 0.17 per unit of risk. If you would invest 1,562 in Aqr Long Short Equity on August 28, 2024 and sell it today you would earn a total of 83.00 from holding Aqr Long Short Equity or generate 5.31% 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. State Street Equity
Performance |
| Timeline |
| Aqr Long Short |
| State Street Equity |
Aqr Long-short and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long-short and State Street
The main advantage of trading using opposite Aqr Long-short and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Aqr Long-short vs. Growth Fund Of | Aqr Long-short vs. Chase Growth Fund | Aqr Long-short vs. Champlain Mid Cap | Aqr Long-short vs. Small Pany Growth |
| State Street vs. Conservative Balanced Allocation | State Street vs. Fidelity Advisor Diversified | State Street vs. Blackrock Conservative Prprdptfinstttnl | State Street vs. Calvert Conservative Allocation |
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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