Correlation Between Aqr Managed and Calamos Evolving
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Calamos Evolving 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 Calamos Evolving 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 Calamos Evolving World, you can compare the effects of market volatilities on Aqr Managed and Calamos Evolving 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 Calamos Evolving. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Calamos Evolving.
Diversification Opportunities for Aqr Managed and Calamos Evolving
0.21 | Correlation Coefficient |
Modest diversification
The 3 months correlation between AQR and Calamos is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Calamos Evolving World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Evolving World 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 Calamos Evolving. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Evolving World has no effect on the direction of Aqr Managed i.e., Aqr Managed and Calamos Evolving go up and down completely randomly.
Pair Corralation between Aqr Managed and Calamos Evolving
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 1.13 times more return on investment than Calamos Evolving. However, Aqr Managed is 1.13 times more volatile than Calamos Evolving World. It trades about 0.16 of its potential returns per unit of risk. Calamos Evolving World is currently generating about -0.11 per unit of risk. If you would invest 790.00 in Aqr Managed Futures on September 1, 2024 and sell it today you would earn a total of 23.00 from holding Aqr Managed Futures or generate 2.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Aqr Managed Futures vs. Calamos Evolving World
Performance |
| Timeline |
| Aqr Managed Futures |
| Calamos Evolving World |
Aqr Managed and Calamos Evolving Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Calamos Evolving
The main advantage of trading using opposite Aqr Managed and Calamos Evolving positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Calamos Evolving 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 Calamos Evolving will offset losses from the drop in Calamos Evolving's long position.| 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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