Correlation Between Aqr Managed and Sp Midcap
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Sp Midcap 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 Sp Midcap 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 Sp Midcap Index, you can compare the effects of market volatilities on Aqr Managed and Sp Midcap 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 Sp Midcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Sp Midcap.
Diversification Opportunities for Aqr Managed and Sp Midcap
-0.76 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Aqr and SPMIX is -0.76. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Sp Midcap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp Midcap Index 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 Sp Midcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp Midcap Index has no effect on the direction of Aqr Managed i.e., Aqr Managed and Sp Midcap go up and down completely randomly.
Pair Corralation between Aqr Managed and Sp Midcap
Assuming the 90 days horizon Aqr Managed Futures is expected to under-perform the Sp Midcap. In addition to that, Aqr Managed is 1.04 times more volatile than Sp Midcap Index. It trades about 0.0 of its total potential returns per unit of risk. Sp Midcap Index is currently generating about 0.3 per unit of volatility. If you would invest 2,560 in Sp Midcap Index on October 28, 2024 and sell it today you would earn a total of 113.00 from holding Sp Midcap Index or generate 4.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. Sp Midcap Index
Performance |
| Timeline |
| Aqr Managed Futures |
| Sp Midcap Index |
Aqr Managed and Sp Midcap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Sp Midcap
The main advantage of trading using opposite Aqr Managed and Sp Midcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Sp Midcap 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 Sp Midcap will offset losses from the drop in Sp Midcap's long position.| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed vs. Aqr International Defensive |
| Sp Midcap vs. Doubleline Core Fixed | Sp Midcap vs. Transamerica International Equity | Sp Midcap vs. Us Vector Equity | Sp Midcap vs. Calvert International Equity |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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