Correlation Between Small Cap and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Small Cap 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 Small Cap and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Cap Stock and Aqr Managed Futures, you can compare the effects of market volatilities on Small Cap 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 Small Cap with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Cap and Aqr Managed.
Diversification Opportunities for Small Cap and Aqr Managed
0.31 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Small and Aqr is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Stock 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 Small 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 Small Cap Stock 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 Small Cap i.e., Small Cap and Aqr Managed go up and down completely randomly.
Pair Corralation between Small Cap and Aqr Managed
Assuming the 90 days horizon Small Cap Stock is expected to under-perform the Aqr Managed. In addition to that, Small Cap is 1.06 times more volatile than Aqr Managed Futures. It trades about -0.01 of its total potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.2 per unit of volatility. If you would invest 815.00 in Aqr Managed Futures on September 13, 2024 and sell it today you would earn a total of 32.00 from holding Aqr Managed Futures or generate 3.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Small Cap Stock vs. Aqr Managed Futures
Performance |
| Timeline |
| Small Cap Stock |
| Aqr Managed Futures |
Small Cap and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small Cap and Aqr Managed
The main advantage of trading using opposite Small Cap and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Cap 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.| Small Cap vs. Guggenheim Managed Futures | Small Cap vs. Simt Multi Asset Inflation | Small Cap vs. Goldman Sachs Inflation | Small Cap vs. Loomis Sayles Inflation |
| Aqr Managed vs. Artisan High Income | Aqr Managed vs. Bbh Intermediate Municipal | Aqr Managed vs. T Rowe Price | Aqr Managed vs. Blrc Sgy Mnp |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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