Correlation Between Aqr Sustainable and Aqr Large
Can any of the company-specific risk be diversified away by investing in both Aqr Sustainable and Aqr Large 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 Large 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 Large Cap, you can compare the effects of market volatilities on Aqr Sustainable and Aqr Large 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 Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Sustainable and Aqr Large.
Diversification Opportunities for Aqr Sustainable and Aqr Large
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aqr and Aqr is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Sustainable Long Short and Aqr Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Large Cap 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 Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Large Cap has no effect on the direction of Aqr Sustainable i.e., Aqr Sustainable and Aqr Large go up and down completely randomly.
Pair Corralation between Aqr Sustainable and Aqr Large
Assuming the 90 days horizon Aqr Sustainable is expected to generate 1.7 times less return on investment than Aqr Large. But when comparing it to its historical volatility, Aqr Sustainable Long Short is 1.16 times less risky than Aqr Large. It trades about 0.25 of its potential returns per unit of risk. Aqr Large Cap is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest 2,400 in Aqr Large Cap on September 2, 2024 and sell it today you would earn a total of 181.00 from holding Aqr Large Cap or generate 7.54% 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 Large Cap
Performance |
| Timeline |
| Aqr Sustainable Long |
| Aqr Large Cap |
Aqr Sustainable and Aqr Large Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Sustainable and Aqr Large
The main advantage of trading using opposite Aqr Sustainable and Aqr Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Sustainable position performs unexpectedly, Aqr Large 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 Large will offset losses from the drop in Aqr Large'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 Large vs. Aqr Long Short Equity | Aqr Large vs. Old Westbury Short Term | Aqr Large vs. Federated Ultrashort Bond | Aqr Large vs. Sterling Capital Short |
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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
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