Correlation Between Mid Cap and Aqr Style
Can any of the company-specific risk be diversified away by investing in both Mid Cap and Aqr Style 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 Mid Cap and Aqr Style into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mid Cap Growth and Aqr Style Premia, you can compare the effects of market volatilities on Mid Cap and Aqr Style 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 Mid Cap with a short position of Aqr Style. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mid Cap and Aqr Style.
Diversification Opportunities for Mid Cap and Aqr Style
Poor diversification
The 3 months correlation between Mid and Aqr is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Growth and Aqr Style Premia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Style Premia and Mid Cap 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 Mid Cap Growth are associated (or correlated) with Aqr Style. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Style Premia has no effect on the direction of Mid Cap i.e., Mid Cap and Aqr Style go up and down completely randomly.
Pair Corralation between Mid Cap and Aqr Style
Assuming the 90 days horizon Mid Cap Growth is expected to generate 1.55 times more return on investment than Aqr Style. However, Mid Cap is 1.55 times more volatile than Aqr Style Premia. It trades about 0.03 of its potential returns per unit of risk. Aqr Style Premia is currently generating about -0.02 per unit of risk. If you would invest 3,973 in Mid Cap Growth on September 15, 2024 and sell it today you would earn a total of 21.00 from holding Mid Cap Growth or generate 0.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mid Cap Growth vs. Aqr Style Premia
Performance |
| Timeline |
| Mid Cap Growth |
| Aqr Style Premia |
Mid Cap and Aqr Style Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mid Cap and Aqr Style
The main advantage of trading using opposite Mid Cap and Aqr Style positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mid Cap position performs unexpectedly, Aqr Style 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 Style will offset losses from the drop in Aqr Style's long position.| Mid Cap vs. Touchstone Sustainability And | Mid Cap vs. Growth Opportunities Fund | Mid Cap vs. Total Return Fund | Mid Cap vs. William Blair International |
| Aqr Style vs. Aqr Large Cap | Aqr Style vs. Aqr Large Cap | Aqr Style vs. Aqr International Defensive | Aqr Style 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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