Correlation Between Abr 75/25 and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Abr 75/25 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 Abr 75/25 and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Abr 7525 Volatility and Aqr Managed Futures, you can compare the effects of market volatilities on Abr 75/25 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 Abr 75/25 with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Abr 75/25 and Aqr Managed.
Diversification Opportunities for Abr 75/25 and Aqr Managed
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Abr and AQR is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Abr 7525 Volatility 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 Abr 75/25 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 Abr 7525 Volatility 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 Abr 75/25 i.e., Abr 75/25 and Aqr Managed go up and down completely randomly.
Pair Corralation between Abr 75/25 and Aqr Managed
Assuming the 90 days horizon Abr 7525 Volatility is expected to generate 1.47 times more return on investment than Aqr Managed. However, Abr 75/25 is 1.47 times more volatile than Aqr Managed Futures. It trades about 0.08 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.03 per unit of risk. If you would invest 794.00 in Abr 7525 Volatility on September 4, 2024 and sell it today you would earn a total of 332.00 from holding Abr 7525 Volatility or generate 41.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Abr 7525 Volatility vs. Aqr Managed Futures
Performance |
| Timeline |
| Abr 7525 Volatility |
| Aqr Managed Futures |
Abr 75/25 and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Abr 75/25 and Aqr Managed
The main advantage of trading using opposite Abr 75/25 and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Abr 75/25 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.The idea behind Abr 7525 Volatility and Aqr Managed Futures pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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