Correlation Between Aqr Managed and Saat Servative
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Saat Servative 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 Saat Servative 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 Saat Servative Strategy, you can compare the effects of market volatilities on Aqr Managed and Saat Servative 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 Saat Servative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Saat Servative.
Diversification Opportunities for Aqr Managed and Saat Servative
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Aqr and Saat is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Saat Servative Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saat Servative Strategy 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 Saat Servative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saat Servative Strategy has no effect on the direction of Aqr Managed i.e., Aqr Managed and Saat Servative go up and down completely randomly.
Pair Corralation between Aqr Managed and Saat Servative
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 8.18 times more return on investment than Saat Servative. However, Aqr Managed is 8.18 times more volatile than Saat Servative Strategy. It trades about 0.18 of its potential returns per unit of risk. Saat Servative Strategy is currently generating about 0.38 per unit of risk. If you would invest 812.00 in Aqr Managed Futures on September 13, 2024 and sell it today you would earn a total of 26.00 from holding Aqr Managed Futures or generate 3.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Managed Futures vs. Saat Servative Strategy
Performance |
| Timeline |
| Aqr Managed Futures |
| Saat Servative Strategy |
Aqr Managed and Saat Servative Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Saat Servative
The main advantage of trading using opposite Aqr Managed and Saat Servative positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Saat Servative 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 Saat Servative will offset losses from the drop in Saat Servative's long position.| Aqr Managed vs. Ab Discovery Value | Aqr Managed vs. Heartland Value Plus | Aqr Managed vs. Ab Small Cap | Aqr Managed vs. Fpa Queens Road |
| Saat Servative vs. Short Duration Inflation | Saat Servative vs. Arrow Managed Futures | Saat Servative vs. Aqr Managed Futures | Saat Servative vs. Loomis Sayles 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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