Correlation Between Aqr Long-short and Western Asset
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and Western Asset 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 Western Asset 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 Western Asset Smash, you can compare the effects of market volatilities on Aqr Long-short and Western Asset 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 Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and Western Asset.
Diversification Opportunities for Aqr Long-short and Western Asset
0.55 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Western is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Western Asset Smash in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Smash 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 Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset Smash has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and Western Asset go up and down completely randomly.
Pair Corralation between Aqr Long-short and Western Asset
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 1.75 times more return on investment than Western Asset. However, Aqr Long-short is 1.75 times more volatile than Western Asset Smash. It trades about 0.47 of its potential returns per unit of risk. Western Asset Smash is currently generating about 0.0 per unit of risk. If you would invest 1,569 in Aqr Long Short Equity on September 1, 2024 and sell it today you would earn a total of 70.00 from holding Aqr Long Short Equity or generate 4.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Aqr Long Short Equity vs. Western Asset Smash
Performance |
| Timeline |
| Aqr Long Short |
| Western Asset Smash |
Aqr Long-short and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long-short and Western Asset
The main advantage of trading using opposite Aqr Long-short and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's long position.| Aqr Long-short vs. Guggenheim Risk Managed | Aqr Long-short vs. Columbia Real Estate | Aqr Long-short vs. Franklin Real Estate | Aqr Long-short vs. Deutsche Real Estate |
| Western Asset vs. Federated Ultrashort Bond | Western Asset vs. Aqr Long Short Equity | Western Asset vs. Quantitative Longshort Equity | Western Asset vs. Touchstone Ultra 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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