Correlation Between Aqr Risk-balanced and Aqr Global
Can any of the company-specific risk be diversified away by investing in both Aqr Risk-balanced and Aqr Global 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 Risk-balanced and Aqr Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Risk Balanced Modities and Aqr Global Macro, you can compare the effects of market volatilities on Aqr Risk-balanced and Aqr Global 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 Risk-balanced with a short position of Aqr Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Risk-balanced and Aqr Global.
Diversification Opportunities for Aqr Risk-balanced and Aqr Global
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Aqr and Aqr is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Risk Balanced Modities and Aqr Global Macro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Global Macro and Aqr Risk-balanced 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 Risk Balanced Modities are associated (or correlated) with Aqr Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Global Macro has no effect on the direction of Aqr Risk-balanced i.e., Aqr Risk-balanced and Aqr Global go up and down completely randomly.
Pair Corralation between Aqr Risk-balanced and Aqr Global
Assuming the 90 days horizon Aqr Risk Balanced Modities is expected to generate 1.75 times more return on investment than Aqr Global. However, Aqr Risk-balanced is 1.75 times more volatile than Aqr Global Macro. It trades about 0.11 of its potential returns per unit of risk. Aqr Global Macro is currently generating about -0.01 per unit of risk. If you would invest 844.00 in Aqr Risk Balanced Modities on September 2, 2024 and sell it today you would earn a total of 46.00 from holding Aqr Risk Balanced Modities or generate 5.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Risk Balanced Modities vs. Aqr Global Macro
Performance |
| Timeline |
| Aqr Risk Balanced |
| Aqr Global Macro |
Aqr Risk-balanced and Aqr Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Risk-balanced and Aqr Global
The main advantage of trading using opposite Aqr Risk-balanced and Aqr Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Risk-balanced position performs unexpectedly, Aqr Global 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 Global will offset losses from the drop in Aqr Global's long position.| Aqr Risk-balanced vs. Aqr Large Cap | Aqr Risk-balanced vs. Aqr Large Cap | Aqr Risk-balanced vs. Aqr International Defensive | Aqr Risk-balanced vs. Aqr International Defensive |
| Aqr Global vs. Aqr Large Cap | Aqr Global vs. Aqr Large Cap | Aqr Global vs. Aqr International Defensive | Aqr Global vs. Aqr International Defensive |
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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