Correlation Between Energy Basic and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Energy Basic 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 Energy Basic and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Energy Basic Materials and Aqr Managed Futures, you can compare the effects of market volatilities on Energy Basic 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 Energy Basic with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Energy Basic and Aqr Managed.
Diversification Opportunities for Energy Basic and Aqr Managed
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Energy and Aqr is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Energy Basic Materials 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 Energy Basic 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 Energy Basic Materials 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 Energy Basic i.e., Energy Basic and Aqr Managed go up and down completely randomly.
Pair Corralation between Energy Basic and Aqr Managed
Assuming the 90 days horizon Energy Basic is expected to generate 1.48 times less return on investment than Aqr Managed. In addition to that, Energy Basic is 1.14 times more volatile than Aqr Managed Futures. It trades about 0.15 of its total potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.25 per unit of volatility. If you would invest 813.00 in Aqr Managed Futures on August 27, 2024 and sell it today you would earn a total of 31.00 from holding Aqr Managed Futures or generate 3.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Energy Basic Materials vs. Aqr Managed Futures
Performance |
| Timeline |
| Energy Basic Materials |
| Aqr Managed Futures |
Energy Basic and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Energy Basic and Aqr Managed
The main advantage of trading using opposite Energy Basic and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Energy Basic 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.| Energy Basic vs. Artisan Emerging Markets | Energy Basic vs. California Bond Fund | Energy Basic vs. Kinetics Spin Off And | Energy Basic vs. Barings Active Short |
| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed vs. Aqr International Defensive |
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 Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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