Correlation Between Aqr Sustainable and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Aqr Sustainable 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 Sustainable 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 Sustainable Long Short and Aqr Managed Futures, you can compare the effects of market volatilities on Aqr Sustainable 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 Sustainable with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Sustainable and Aqr Managed.
Diversification Opportunities for Aqr Sustainable and Aqr Managed
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Aqr is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Sustainable Long Short 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 Sustainable 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 Sustainable Long Short 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 Sustainable i.e., Aqr Sustainable and Aqr Managed go up and down completely randomly.
Pair Corralation between Aqr Sustainable and Aqr Managed
Assuming the 90 days horizon Aqr Sustainable Long Short is expected to generate 2.33 times more return on investment than Aqr Managed. However, Aqr Sustainable is 2.33 times more volatile than Aqr Managed Futures. It trades about 0.08 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.04 per unit of risk. If you would invest 904.00 in Aqr Sustainable Long Short on August 27, 2024 and sell it today you would earn a total of 619.00 from holding Aqr Sustainable Long Short or generate 68.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Sustainable Long Short vs. Aqr Managed Futures
Performance |
| Timeline |
| Aqr Sustainable Long |
| Aqr Managed Futures |
Aqr Sustainable and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Sustainable and Aqr Managed
The main advantage of trading using opposite Aqr Sustainable and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Sustainable 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 Sustainable vs. Aqr Large Cap | Aqr Sustainable vs. Aqr Large Cap | Aqr Sustainable vs. Aqr International Defensive | Aqr Sustainable vs. Aqr International Defensive |
| Aqr Managed vs. Ab All Market | Aqr Managed vs. Artisan Emerging Markets | Aqr Managed vs. T Rowe Price | Aqr Managed vs. Aqr Equity Market |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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