Correlation Between Aqr Small and Gmo Small
Can any of the company-specific risk be diversified away by investing in both Aqr Small and Gmo Small 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 Small and Gmo Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Small Cap and Gmo Small Cap, you can compare the effects of market volatilities on Aqr Small and Gmo Small 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 Small with a short position of Gmo Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Small and Gmo Small.
Diversification Opportunities for Aqr Small and Gmo Small
Almost no diversification
The 3 months correlation between Aqr and Gmo is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Small Cap and Gmo Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Small Cap and Aqr Small 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 Small Cap are associated (or correlated) with Gmo Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Small Cap has no effect on the direction of Aqr Small i.e., Aqr Small and Gmo Small go up and down completely randomly.
Pair Corralation between Aqr Small and Gmo Small
Assuming the 90 days horizon Aqr Small Cap is expected to generate 1.27 times more return on investment than Gmo Small. However, Aqr Small is 1.27 times more volatile than Gmo Small Cap. It trades about 0.11 of its potential returns per unit of risk. Gmo Small Cap is currently generating about 0.05 per unit of risk. If you would invest 1,936 in Aqr Small Cap on September 13, 2024 and sell it today you would earn a total of 126.00 from holding Aqr Small Cap or generate 6.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Small Cap vs. Gmo Small Cap
Performance |
| Timeline |
| Aqr Small Cap |
| Gmo Small Cap |
Aqr Small and Gmo Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Small and Gmo Small
The main advantage of trading using opposite Aqr Small and Gmo Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Small position performs unexpectedly, Gmo Small 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 Gmo Small will offset losses from the drop in Gmo Small's long position.| Aqr Small vs. Hennessy Bp Energy | Aqr Small vs. Gmo Resources | Aqr Small vs. Alpsalerian Energy Infrastructure | Aqr Small vs. Icon Natural Resources |
| Gmo Small vs. Pace Smallmedium Value | Gmo Small vs. Touchstone Small Cap | Gmo Small vs. Rbc Small Cap | Gmo Small vs. Aqr Small 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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