Correlation Between Aqr Long-short and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Aqr Long-short and Aqr Managed 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 Aqr Managed 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 Aqr Managed Futures, you can compare the effects of market volatilities on Aqr Long-short and Aqr Managed 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 Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Long-short and Aqr Managed.
Diversification Opportunities for Aqr Long-short and Aqr Managed
0.42 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Aqr is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Aqr Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Managed Futures 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 Aqr Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Managed Futures has no effect on the direction of Aqr Long-short i.e., Aqr Long-short and Aqr Managed go up and down completely randomly.
Pair Corralation between Aqr Long-short and Aqr Managed
Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 0.51 times more return on investment than Aqr Managed. However, Aqr Long Short Equity is 1.97 times less risky than Aqr Managed. It trades about 0.21 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about -0.02 per unit of risk. If you would invest 1,428 in Aqr Long Short Equity on August 25, 2024 and sell it today you would earn a total of 279.00 from holding Aqr Long Short Equity or generate 19.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Long Short Equity vs. Aqr Managed Futures
Performance |
| Timeline |
| Aqr Long Short |
| Aqr Managed Futures |
Aqr Long-short and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Long-short and Aqr Managed
The main advantage of trading using opposite Aqr Long-short and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Long-short position performs unexpectedly, Aqr Managed 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 Aqr Managed will offset losses from the drop in Aqr Managed'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 |
| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed vs. Aqr International Defensive |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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