Correlation Between Aqr Long-short and Driehaus Small
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and Driehaus Small 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 Driehaus Small 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 Driehaus Small Cap, you can compare the effects of market volatilities on Aqr Long-short and Driehaus Small 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 Driehaus Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and Driehaus Small.
Diversification Opportunities for Aqr Long-short and Driehaus Small
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Driehaus is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Driehaus Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Driehaus Small Cap 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 Driehaus Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Driehaus Small Cap has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and Driehaus Small go up and down completely randomly.
Pair Corralation between Aqr Long-short and Driehaus Small
Assuming the 90 days horizon Aqr Long-short is expected to generate 1.78 times less return on investment than Driehaus Small. But when comparing it to its historical volatility, Aqr Long Short Equity is 3.04 times less risky than Driehaus Small. It trades about 0.21 of its potential returns per unit of risk. Driehaus Small Cap is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 1,668 in Driehaus Small Cap on August 25, 2024 and sell it today you would earn a total of 851.00 from holding Driehaus Small Cap or generate 51.02% 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. Driehaus Small Cap
Performance |
| Timeline |
| Aqr Long Short |
| Driehaus Small Cap |
Aqr Long-short and Driehaus Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long-short and Driehaus Small
The main advantage of trading using opposite Aqr Long-short and Driehaus Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, Driehaus Small 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 Driehaus Small will offset losses from the drop in Driehaus Small's long position.| Aqr Long-short vs. Aqr Large Cap | Aqr Long-short vs. Aqr Large Cap | Aqr Long-short vs. Aqr International Defensive | Aqr Long-short vs. Aqr International Defensive |
| Driehaus Small vs. Sp Midcap Index | Driehaus Small vs. Barings Emerging Markets | Driehaus Small vs. Aqr Long Short Equity | Driehaus Small vs. Origin Emerging Markets |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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