Correlation Between Aqr Managed and Value Fund
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Value Fund 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 Value Fund 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 Value Fund A, you can compare the effects of market volatilities on Aqr Managed and Value Fund 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 Value Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Value Fund.
Diversification Opportunities for Aqr Managed and Value Fund
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Aqr and Value is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Value Fund A in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Value Fund A 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 Value Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Value Fund A has no effect on the direction of Aqr Managed i.e., Aqr Managed and Value Fund go up and down completely randomly.
Pair Corralation between Aqr Managed and Value Fund
Assuming the 90 days horizon Aqr Managed is expected to generate 1.48 times less return on investment than Value Fund. In addition to that, Aqr Managed is 1.26 times more volatile than Value Fund A. It trades about 0.03 of its total potential returns per unit of risk. Value Fund A is currently generating about 0.05 per unit of volatility. If you would invest 742.00 in Value Fund A on September 12, 2024 and sell it today you would earn a total of 128.00 from holding Value Fund A or generate 17.25% 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. Value Fund A
Performance |
| Timeline |
| Aqr Managed Futures |
| Value Fund A |
Aqr Managed and Value Fund Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Managed and Value Fund
The main advantage of trading using opposite Aqr Managed and Value Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Value Fund 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 Value Fund will offset losses from the drop in Value Fund'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 |
| Value Fund vs. Qs Large Cap | Value Fund vs. Transamerica Large Cap | Value Fund vs. Dunham Large Cap | Value Fund vs. Lord Abbett Affiliated |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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