Correlation Between Commodities Strategy and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Commodities Strategy 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 Commodities Strategy and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commodities Strategy Fund and Aqr Managed Futures, you can compare the effects of market volatilities on Commodities Strategy 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 Commodities Strategy with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commodities Strategy and Aqr Managed.
Diversification Opportunities for Commodities Strategy and Aqr Managed
0.28 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Commodities and Aqr is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund 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 Commodities Strategy 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 Commodities Strategy Fund 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 Commodities Strategy i.e., Commodities Strategy and Aqr Managed go up and down completely randomly.
Pair Corralation between Commodities Strategy and Aqr Managed
Assuming the 90 days horizon Commodities Strategy Fund is expected to generate 1.14 times more return on investment than Aqr Managed. However, Commodities Strategy is 1.14 times more volatile than Aqr Managed Futures. It trades about 0.37 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.22 per unit of risk. If you would invest 2,967 in Commodities Strategy Fund on October 16, 2024 and sell it today you would earn a total of 171.00 from holding Commodities Strategy Fund or generate 5.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Commodities Strategy Fund vs. Aqr Managed Futures
Performance |
| Timeline |
| Commodities Strategy |
| Aqr Managed Futures |
Commodities Strategy and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commodities Strategy and Aqr Managed
The main advantage of trading using opposite Commodities Strategy and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commodities Strategy 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.| Commodities Strategy vs. Basic Materials Fund | Commodities Strategy vs. Energy Services Fund | Commodities Strategy vs. Energy Fund Investor | Commodities Strategy vs. Real Estate Fund |
| Aqr Managed vs. Asg Managed Futures | Aqr Managed vs. Nationwide Inflation Protected Securities | Aqr Managed vs. Ab Bond Inflation | Aqr Managed vs. Western Asset Inflation |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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