Correlation Between Aqr Managed and Aqr International
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Aqr International 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 Managed and Aqr International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Managed Futures and Aqr International Defensive, you can compare the effects of market volatilities on Aqr Managed and Aqr International 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 Managed with a short position of Aqr International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Aqr International.
Diversification Opportunities for Aqr Managed and Aqr International
-0.08 | Correlation Coefficient |
Good diversification
The 3 months correlation between Aqr and Aqr is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Aqr International Defensive in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr International and Aqr Managed 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 Managed Futures are associated (or correlated) with Aqr International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr International has no effect on the direction of Aqr Managed i.e., Aqr Managed and Aqr International go up and down completely randomly.
Pair Corralation between Aqr Managed and Aqr International
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 1.15 times more return on investment than Aqr International. However, Aqr Managed is 1.15 times more volatile than Aqr International Defensive. It trades about 0.05 of its potential returns per unit of risk. Aqr International Defensive is currently generating about -0.13 per unit of risk. If you would invest 799.00 in Aqr Managed Futures on August 29, 2024 and sell it today you would earn a total of 19.00 from holding Aqr Managed Futures or generate 2.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.44% |
| Values | Daily Returns |
Aqr Managed Futures vs. Aqr International Defensive
Performance |
| Timeline |
| Aqr Managed Futures |
| Aqr International |
Aqr Managed and Aqr International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Aqr International
The main advantage of trading using opposite Aqr Managed and Aqr International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Aqr International 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 International will offset losses from the drop in Aqr International's long position.| Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. HUMANA INC | Aqr Managed vs. Aquagold International |
| Aqr International vs. Pace Large Value | Aqr International vs. Touchstone Large Cap | Aqr International vs. Fundamental Large Cap | Aqr International vs. Old Westbury Large |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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