Correlation Between Value Fund and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Value Fund 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 Value Fund and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Value Fund A and Aqr Managed Futures, you can compare the effects of market volatilities on Value Fund 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 Value Fund with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Value Fund and Aqr Managed.
Diversification Opportunities for Value Fund and Aqr Managed
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Value and Aqr is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund A 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 Value Fund 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 Value Fund A 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 Value Fund i.e., Value Fund and Aqr Managed go up and down completely randomly.
Pair Corralation between Value Fund and Aqr Managed
Assuming the 90 days horizon Value Fund A is expected to under-perform the Aqr Managed. But the mutual fund apears to be less risky and, when comparing its historical volatility, Value Fund A is 1.83 times less risky than Aqr Managed. The mutual fund trades about -0.12 of its potential returns per unit of risk. The Aqr Managed Futures is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 816.00 in Aqr Managed Futures on September 12, 2024 and sell it today you would earn a total of 21.00 from holding Aqr Managed Futures or generate 2.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Value Fund A vs. Aqr Managed Futures
Performance |
| Timeline |
| Value Fund A |
| Aqr Managed Futures |
Value Fund and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Value Fund and Aqr Managed
The main advantage of trading using opposite Value Fund and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Value Fund 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.| Value Fund vs. Qs Large Cap | Value Fund vs. Transamerica Large Cap | Value Fund vs. Dunham Large Cap | Value Fund vs. Lord Abbett Affiliated |
| Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. Pimco Trends Managed | Aqr Managed vs. SCOR PK | Aqr Managed vs. Morningstar Unconstrained Allocation |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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