Correlation Between Aqr Managed and Fmasx
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Fmasx 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 Fmasx 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 Fmasx, you can compare the effects of market volatilities on Aqr Managed and Fmasx 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 Fmasx. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Fmasx.
Diversification Opportunities for Aqr Managed and Fmasx
-0.32 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Fmasx is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Fmasx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fmasx 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 Fmasx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fmasx has no effect on the direction of Aqr Managed i.e., Aqr Managed and Fmasx go up and down completely randomly.
Pair Corralation between Aqr Managed and Fmasx
Assuming the 90 days horizon Aqr Managed is expected to generate 14.37 times less return on investment than Fmasx. But when comparing it to its historical volatility, Aqr Managed Futures is 1.31 times less risky than Fmasx. It trades about 0.02 of its potential returns per unit of risk. Fmasx is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 1,479 in Fmasx on November 3, 2024 and sell it today you would earn a total of 67.00 from holding Fmasx or generate 4.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Aqr Managed Futures vs. Fmasx
Performance |
| Timeline |
| Aqr Managed Futures |
| Fmasx |
Aqr Managed and Fmasx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Fmasx
The main advantage of trading using opposite Aqr Managed and Fmasx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Fmasx 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 Fmasx will offset losses from the drop in Fmasx's long position.| Aqr Managed vs. Victory Rs Partners | Aqr Managed vs. Fidelity Small Cap | Aqr Managed vs. Queens Road Small | Aqr Managed vs. Small Cap Value |
| Fmasx vs. Angel Oak Multi Strategy | Fmasx vs. Mid Cap 15x Strategy | Fmasx vs. Balanced Strategy Fund | Fmasx vs. Barings 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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