Correlation Between Aqr Sustainable and Small Cap
Can any of the company-specific risk be diversified away by investing in both Aqr Sustainable and Small Cap 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 Small Cap 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 Small Cap Value, you can compare the effects of market volatilities on Aqr Sustainable and Small Cap 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 Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Sustainable and Small Cap.
Diversification Opportunities for Aqr Sustainable and Small Cap
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Small is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Sustainable Long Short and Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value 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 Small Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Value has no effect on the direction of Aqr Sustainable i.e., Aqr Sustainable and Small Cap go up and down completely randomly.
Pair Corralation between Aqr Sustainable and Small Cap
Assuming the 90 days horizon Aqr Sustainable Long Short is expected to generate 0.53 times more return on investment than Small Cap. However, Aqr Sustainable Long Short is 1.88 times less risky than Small Cap. It trades about 0.18 of its potential returns per unit of risk. Small Cap Value is currently generating about 0.04 per unit of risk. If you would invest 1,140 in Aqr Sustainable Long Short on November 3, 2024 and sell it today you would earn a total of 196.00 from holding Aqr Sustainable Long Short or generate 17.19% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Sustainable Long Short vs. Small Cap Value
Performance |
| Timeline |
| Aqr Sustainable Long |
| Small Cap Value |
Aqr Sustainable and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Sustainable and Small Cap
The main advantage of trading using opposite Aqr Sustainable and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Sustainable position performs unexpectedly, Small Cap 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 Small Cap will offset losses from the drop in Small Cap's long position.| Aqr Sustainable vs. Fidelity Advisor Financial | Aqr Sustainable vs. Mesirow Financial Small | Aqr Sustainable vs. Davis Financial Fund | Aqr Sustainable vs. Financial Industries Fund |
| Small Cap vs. Science Technology Fund | Small Cap vs. Pgim Jennison Technology | Small Cap vs. Global Technology Portfolio | Small Cap vs. Blackrock Science Technology |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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