Correlation Between Aqr Sustainable and Dunham Emerging
Can any of the company-specific risk be diversified away by investing in both Aqr Sustainable and Dunham Emerging 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 Dunham Emerging 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 Dunham Emerging Markets, you can compare the effects of market volatilities on Aqr Sustainable and Dunham Emerging 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 Dunham Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Sustainable and Dunham Emerging.
Diversification Opportunities for Aqr Sustainable and Dunham Emerging
0.15 | Correlation Coefficient |
Average diversification
The 3 months correlation between Aqr and Dunham is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Sustainable Long Short and Dunham Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dunham Emerging Markets 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 Dunham Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dunham Emerging Markets has no effect on the direction of Aqr Sustainable i.e., Aqr Sustainable and Dunham Emerging go up and down completely randomly.
Pair Corralation between Aqr Sustainable and Dunham Emerging
Assuming the 90 days horizon Aqr Sustainable Long Short is expected to under-perform the Dunham Emerging. In addition to that, Aqr Sustainable is 4.67 times more volatile than Dunham Emerging Markets. It trades about -0.2 of its total potential returns per unit of risk. Dunham Emerging Markets is currently generating about -0.2 per unit of volatility. If you would invest 1,432 in Dunham Emerging Markets on October 9, 2024 and sell it today you would lose (41.00) from holding Dunham Emerging Markets or give up 2.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Sustainable Long Short vs. Dunham Emerging Markets
Performance |
| Timeline |
| Aqr Sustainable Long |
| Dunham Emerging Markets |
Aqr Sustainable and Dunham Emerging Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Sustainable and Dunham Emerging
The main advantage of trading using opposite Aqr Sustainable and Dunham Emerging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Sustainable position performs unexpectedly, Dunham Emerging 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 Dunham Emerging will offset losses from the drop in Dunham Emerging'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 |
| Dunham Emerging vs. Dunham Dynamic Macro | Dunham Emerging vs. Dunham Porategovernment Bond | Dunham Emerging vs. Dunham Focused Large | Dunham Emerging vs. Dunham International Opportunity |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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