Correlation Between Aqr Equity and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Aqr Equity and Aqr Managed 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 Equity and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Equity Market and Aqr Managed Futures, you can compare the effects of market volatilities on Aqr Equity and Aqr Managed 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 Equity with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Equity and Aqr Managed.
Diversification Opportunities for Aqr Equity and Aqr Managed
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Aqr and Aqr is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Equity Market and Aqr Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Managed Futures and Aqr Equity 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 Equity Market are associated (or correlated) with Aqr Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Managed Futures has no effect on the direction of Aqr Equity i.e., Aqr Equity and Aqr Managed go up and down completely randomly.
Pair Corralation between Aqr Equity and Aqr Managed
Assuming the 90 days horizon Aqr Equity is expected to generate 1.09 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Aqr Equity Market is 2.25 times less risky than Aqr Managed. It trades about 0.37 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 836.00 in Aqr Managed Futures on October 20, 2024 and sell it today you would earn a total of 17.00 from holding Aqr Managed Futures or generate 2.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Equity Market vs. Aqr Managed Futures
Performance |
| Timeline |
| Aqr Equity Market |
| Aqr Managed Futures |
Aqr Equity and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Equity and Aqr Managed
The main advantage of trading using opposite Aqr Equity and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Equity position performs unexpectedly, Aqr Managed 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 Aqr Managed will offset losses from the drop in Aqr Managed's long position.| Aqr Equity vs. Aqr Large Cap | Aqr Equity vs. Aqr Large Cap | Aqr Equity vs. Aqr International Defensive | Aqr Equity vs. Aqr International Defensive |
| Aqr Managed vs. Ab Small Cap | Aqr Managed vs. Franklin Small Cap | Aqr Managed vs. Touchstone Small Cap | Aqr Managed vs. Smallcap Fund Fka |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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