Correlation Between Aqr Managed and Tax-exempt High
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Tax-exempt High 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 Tax-exempt High 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 Tax Exempt High Yield, you can compare the effects of market volatilities on Aqr Managed and Tax-exempt High 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 Tax-exempt High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Tax-exempt High.
Diversification Opportunities for Aqr Managed and Tax-exempt High
0.44 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Tax-exempt is 0.44. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Tax Exempt High Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Exempt High 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 Tax-exempt High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Exempt High has no effect on the direction of Aqr Managed i.e., Aqr Managed and Tax-exempt High go up and down completely randomly.
Pair Corralation between Aqr Managed and Tax-exempt High
Assuming the 90 days horizon Aqr Managed Futures is expected to under-perform the Tax-exempt High. In addition to that, Aqr Managed is 3.54 times more volatile than Tax Exempt High Yield. It trades about -0.06 of its total potential returns per unit of risk. Tax Exempt High Yield is currently generating about 0.15 per unit of volatility. If you would invest 965.00 in Tax Exempt High Yield on September 3, 2024 and sell it today you would earn a total of 47.00 from holding Tax Exempt High Yield or generate 4.87% 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. Tax Exempt High Yield
Performance |
| Timeline |
| Aqr Managed Futures |
| Tax Exempt High |
Aqr Managed and Tax-exempt High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Tax-exempt High
The main advantage of trading using opposite Aqr Managed and Tax-exempt High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Tax-exempt High 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 Tax-exempt High will offset losses from the drop in Tax-exempt High's long position.| Aqr Managed vs. The Hartford Equity | Aqr Managed vs. Locorr Dynamic Equity | Aqr Managed vs. Jpmorgan Equity Income | Aqr Managed vs. Multimedia Portfolio Multimedia |
| Tax-exempt High vs. Nuveen High Yield | Tax-exempt High vs. Nuveen High Yield | Tax-exempt High vs. Nuveen High Yield | Tax-exempt High vs. American High Income Municipal |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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