Correlation Between Short Duration and Aqr Large
Can any of the company-specific risk be diversified away by investing in both Short Duration 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 Short Duration and Aqr Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Short Duration Bond and Aqr Large Cap, you can compare the effects of market volatilities on Short Duration 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 Short Duration with a short position of Aqr Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Short Duration and Aqr Large.
Diversification Opportunities for Short Duration and Aqr Large
-0.42 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Short and Aqr is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding Short Duration Bond 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 Short Duration 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 Short Duration Bond 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 Short Duration i.e., Short Duration and Aqr Large go up and down completely randomly.
Pair Corralation between Short Duration and Aqr Large
Assuming the 90 days horizon Short Duration is expected to generate 35.71 times less return on investment than Aqr Large. But when comparing it to its historical volatility, Short Duration Bond is 10.09 times less risky than Aqr Large. It trades about 0.07 of its potential returns per unit of risk. Aqr Large Cap is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 2,441 in Aqr Large Cap on August 29, 2024 and sell it today you would earn a total of 141.00 from holding Aqr Large Cap or generate 5.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Short Duration Bond vs. Aqr Large Cap
Performance |
| Timeline |
| Short Duration Bond |
| Aqr Large Cap |
Short Duration and Aqr Large Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Short Duration and Aqr Large
The main advantage of trading using opposite Short Duration and Aqr Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Short Duration 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.| Short Duration vs. International Developed Markets | Short Duration vs. Global Real Estate | Short Duration vs. Global Real Estate | Short Duration vs. Global Real Estate |
| Aqr Large vs. Hartford Healthcare Hls | Aqr Large vs. Prudential Health Sciences | Aqr Large vs. Baron Health Care | Aqr Large vs. The Gabelli Healthcare |
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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