Correlation Between Value Fund and Aqr Long-short
Can any of the company-specific risk be diversified away by investing in both Value Fund and Aqr Long-short 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 Long-short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Value Fund Value and Aqr Long Short Equity, you can compare the effects of market volatilities on Value Fund and Aqr Long-short 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 Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Value Fund and Aqr Long-short.
Diversification Opportunities for Value Fund and Aqr Long-short
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Value and Aqr is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund Value and Aqr Long Short Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Long Short 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 Value are associated (or correlated) with Aqr Long-short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Long Short has no effect on the direction of Value Fund i.e., Value Fund and Aqr Long-short go up and down completely randomly.
Pair Corralation between Value Fund and Aqr Long-short
Assuming the 90 days horizon Value Fund Value is expected to under-perform the Aqr Long-short. In addition to that, Value Fund is 1.6 times more volatile than Aqr Long Short Equity. It trades about -0.21 of its total potential returns per unit of risk. Aqr Long Short Equity is currently generating about -0.06 per unit of volatility. If you would invest 1,627 in Aqr Long Short Equity on October 10, 2024 and sell it today you would lose (55.00) from holding Aqr Long Short Equity or give up 3.38% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Value Fund Value vs. Aqr Long Short Equity
Performance |
| Timeline |
| Value Fund Value |
| Aqr Long Short |
Value Fund and Aqr Long-short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Value Fund and Aqr Long-short
The main advantage of trading using opposite Value Fund and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Value Fund position performs unexpectedly, Aqr Long-short 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 Long-short will offset losses from the drop in Aqr Long-short's long position.| Value Fund vs. Income Fund Income | Value Fund vs. Usaa Nasdaq 100 | Value Fund vs. Victory Diversified Stock | Value Fund vs. Intermediate Term Bond Fund |
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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 CEOs Directory module to screen CEOs from public companies around the world.
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