Correlation Between Aqr Alternative and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Aqr Alternative 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 Alternative 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 Alternative Risk and Aqr Managed Futures, you can compare the effects of market volatilities on Aqr Alternative 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 Alternative with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Alternative and Aqr Managed.
Diversification Opportunities for Aqr Alternative and Aqr Managed
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Aqr and Aqr is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Alternative Risk 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 Alternative 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 Alternative Risk 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 Alternative i.e., Aqr Alternative and Aqr Managed go up and down completely randomly.
Pair Corralation between Aqr Alternative and Aqr Managed
Assuming the 90 days horizon Aqr Alternative Risk is expected to generate 0.41 times more return on investment than Aqr Managed. However, Aqr Alternative Risk is 2.43 times less risky than Aqr Managed. It trades about 0.48 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.15 per unit of risk. If you would invest 1,172 in Aqr Alternative Risk on November 18, 2024 and sell it today you would earn a total of 52.00 from holding Aqr Alternative Risk or generate 4.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Alternative Risk vs. Aqr Managed Futures
Performance |
| Timeline |
| Aqr Alternative Risk |
| Aqr Managed Futures |
Aqr Alternative and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Alternative and Aqr Managed
The main advantage of trading using opposite Aqr Alternative and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Alternative 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 Alternative vs. Aqr Large Cap | Aqr Alternative vs. Aqr Large Cap | Aqr Alternative vs. Aqr International Defensive | Aqr Alternative vs. Aqr International Defensive |
| Aqr Managed vs. T Rowe Price | Aqr Managed vs. Growth Allocation Fund | Aqr Managed vs. Qs Large Cap | Aqr Managed vs. Guidemark Large Cap |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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