Correlation Between Aqr Managed and Dow Jones
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Dow Jones 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 Dow Jones 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 Dow Jones Industrial, you can compare the effects of market volatilities on Aqr Managed and Dow Jones 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 Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Dow Jones.
Diversification Opportunities for Aqr Managed and Dow Jones
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between AQR and Dow is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial 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 Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of Aqr Managed i.e., Aqr Managed and Dow Jones go up and down completely randomly.
Pair Corralation between Aqr Managed and Dow Jones
Assuming the 90 days horizon Aqr Managed is expected to generate 2.25 times less return on investment than Dow Jones. But when comparing it to its historical volatility, Aqr Managed Futures is 1.08 times less risky than Dow Jones. It trades about 0.18 of its potential returns per unit of risk. Dow Jones Industrial is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest 4,176,346 in Dow Jones Industrial on September 1, 2024 and sell it today you would earn a total of 314,719 from holding Dow Jones Industrial or generate 7.54% 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. Dow Jones Industrial
Performance |
| Timeline |
Aqr Managed and Dow Jones Volatility Contrast
Predicted Return Density |
| Returns |
Aqr Managed Futures
Pair trading matchups for Aqr Managed
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with Aqr Managed and Dow Jones
The main advantage of trading using opposite Aqr Managed and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.| Aqr Managed vs. American Century Etf | Aqr Managed vs. Columbia Small Cap | Aqr Managed vs. Applied Finance Explorer | Aqr Managed vs. Lord Abbett Small |
| Dow Jones vs. Catalyst Pharmaceuticals | Dow Jones vs. Sphere Entertainment Co | Dow Jones vs. National CineMedia | Dow Jones vs. Mink Therapeutics |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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