Correlation Between Aqr Managed and Western Asset
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Western Asset 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 Western Asset 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 Western Asset New, you can compare the effects of market volatilities on Aqr Managed and Western Asset 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 Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Western Asset.
Diversification Opportunities for Aqr Managed and Western Asset
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Western is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Western Asset New in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset New 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 Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset New has no effect on the direction of Aqr Managed i.e., Aqr Managed and Western Asset go up and down completely randomly.
Pair Corralation between Aqr Managed and Western Asset
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 6.54 times more return on investment than Western Asset. However, Aqr Managed is 6.54 times more volatile than Western Asset New. It trades about 0.14 of its potential returns per unit of risk. Western Asset New is currently generating about 0.34 per unit of risk. If you would invest 816.00 in Aqr Managed Futures on September 12, 2024 and sell it today you would earn a total of 21.00 from holding Aqr Managed Futures or generate 2.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Aqr Managed Futures vs. Western Asset New
Performance |
| Timeline |
| Aqr Managed Futures |
| Western Asset New |
Aqr Managed and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Western Asset
The main advantage of trading using opposite Aqr Managed and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's long position.| Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. SCOR PK | Aqr Managed vs. Morningstar Unconstrained Allocation |
| Western Asset vs. New Jersey Tax Free | Western Asset vs. T Rowe Price | Western Asset vs. Virginia Tax Free Bond | Western Asset vs. T Rowe Price |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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