Correlation Between Aqr Managed and Government Street
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Government Street 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 Government Street 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 Government Street Equity, you can compare the effects of market volatilities on Aqr Managed and Government Street 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 Government Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Government Street.
Diversification Opportunities for Aqr Managed and Government Street
-0.3 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Government is -0.3. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Government Street Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Government Street Equity 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 Government Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Government Street Equity has no effect on the direction of Aqr Managed i.e., Aqr Managed and Government Street go up and down completely randomly.
Pair Corralation between Aqr Managed and Government Street
Assuming the 90 days horizon Aqr Managed is expected to generate 2.09 times less return on investment than Government Street. In addition to that, Aqr Managed is 1.11 times more volatile than Government Street Equity. It trades about 0.04 of its total potential returns per unit of risk. Government Street Equity is currently generating about 0.09 per unit of volatility. If you would invest 9,158 in Government Street Equity on October 25, 2024 and sell it today you would earn a total of 4,107 from holding Government Street Equity or generate 44.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Aqr Managed Futures vs. Government Street Equity
Performance |
| Timeline |
| Aqr Managed Futures |
| Government Street Equity |
Aqr Managed and Government Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Government Street
The main advantage of trading using opposite Aqr Managed and Government Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Government Street 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 Government Street will offset losses from the drop in Government Street's long position.| Aqr Managed vs. Adams Natural Resources | Aqr Managed vs. Alpsalerian Energy Infrastructure | Aqr Managed vs. Salient Mlp Energy | Aqr Managed vs. Vanguard Energy Index |
| Government Street vs. Angel Oak Ultrashort | Government Street vs. Oakhurst Short Duration | Government Street vs. Siit Ultra Short | Government Street vs. Cmg Ultra Short |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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