Correlation Between Aqr Small and Sit Small
Can any of the company-specific risk be diversified away by investing in both Aqr Small and Sit 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 Sit 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 Sit Small Cap, you can compare the effects of market volatilities on Aqr Small and Sit 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 Sit Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Small and Sit Small.
Diversification Opportunities for Aqr Small and Sit Small
Very poor diversification
The 3 months correlation between Aqr and Sit is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Small Cap and Sit Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sit 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 Sit Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sit Small Cap has no effect on the direction of Aqr Small i.e., Aqr Small and Sit Small go up and down completely randomly.
Pair Corralation between Aqr Small and Sit Small
Assuming the 90 days horizon Aqr Small Cap is expected to generate 0.93 times more return on investment than Sit Small. However, Aqr Small Cap is 1.08 times less risky than Sit Small. It trades about -0.02 of its potential returns per unit of risk. Sit Small Cap is currently generating about -0.04 per unit of risk. If you would invest 2,072 in Aqr Small Cap on September 13, 2024 and sell it today you would lose (10.00) from holding Aqr Small Cap or give up 0.48% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Aqr Small Cap vs. Sit Small Cap
Performance |
| Timeline |
| Aqr Small Cap |
| Sit Small Cap |
Aqr Small and Sit Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Small and Sit Small
The main advantage of trading using opposite Aqr Small and Sit Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Small position performs unexpectedly, Sit 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 Sit Small will offset losses from the drop in Sit 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 |
| Sit Small vs. Sit Small Cap | Sit Small vs. Sit Global Dividend | Sit Small vs. Sit Global Dividend | Sit Small vs. Sit 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 Global Correlations module to find global opportunities by holding instruments from different markets.
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