Correlation Between Aqr Managed and Short Duration
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Short Duration 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 Short Duration 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 Short Duration Inflation, you can compare the effects of market volatilities on Aqr Managed and Short Duration 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 Short Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Short Duration.
Diversification Opportunities for Aqr Managed and Short Duration
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and SHORT is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Short Duration Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Short Duration Inflation 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 Short Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Short Duration Inflation has no effect on the direction of Aqr Managed i.e., Aqr Managed and Short Duration go up and down completely randomly.
Pair Corralation between Aqr Managed and Short Duration
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 4.56 times more return on investment than Short Duration. However, Aqr Managed is 4.56 times more volatile than Short Duration Inflation. It trades about 0.03 of its potential returns per unit of risk. Short Duration Inflation is currently generating about 0.08 per unit of risk. If you would invest 735.00 in Aqr Managed Futures on November 1, 2024 and sell it today you would earn a total of 93.00 from holding Aqr Managed Futures or generate 12.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. Short Duration Inflation
Performance |
| Timeline |
| Aqr Managed Futures |
| Short Duration Inflation |
Aqr Managed and Short Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Short Duration
The main advantage of trading using opposite Aqr Managed and Short Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Short Duration 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 Short Duration will offset losses from the drop in Short Duration's long position.| Aqr Managed vs. T Rowe Price | Aqr Managed vs. Financial Industries Fund | Aqr Managed vs. Vanguard Financials Index | Aqr Managed vs. Rmb Mendon Financial |
| Short Duration vs. Inflation Adjusted Bond Fund | Short Duration vs. Diversified Bond Fund | Short Duration vs. Short Duration Fund | Short Duration vs. Core Plus Fund |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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