Correlation Between Aqr Managed and Aqr Style
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Aqr Style 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 Style 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 Style Premia, you can compare the effects of market volatilities on Aqr Managed and Aqr Style 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 Style. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Aqr Style.
Diversification Opportunities for Aqr Managed and Aqr Style
0.02 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Aqr and Aqr is 0.02. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Aqr Style Premia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Style Premia 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 Style. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Style Premia has no effect on the direction of Aqr Managed i.e., Aqr Managed and Aqr Style go up and down completely randomly.
Pair Corralation between Aqr Managed and Aqr Style
Assuming the 90 days horizon Aqr Managed is expected to generate 2.33 times less return on investment than Aqr Style. In addition to that, Aqr Managed is 1.93 times more volatile than Aqr Style Premia. It trades about 0.06 of its total potential returns per unit of risk. Aqr Style Premia is currently generating about 0.27 per unit of volatility. If you would invest 788.00 in Aqr Style Premia on August 29, 2024 and sell it today you would earn a total of 23.00 from holding Aqr Style Premia or generate 2.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Aqr Managed Futures vs. Aqr Style Premia
Performance |
| Timeline |
| Aqr Managed Futures |
| Aqr Style Premia |
Aqr Managed and Aqr Style Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Aqr Style
The main advantage of trading using opposite Aqr Managed and Aqr Style positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Aqr Style 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 Style will offset losses from the drop in Aqr Style'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 Style vs. T Rowe Price | Aqr Style vs. Ab Bond Inflation | Aqr Style vs. Aqr Managed Futures | Aqr Style vs. Ab Bond Inflation |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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