Correlation Between Vanguard Developed and Aqr Long-short
Can any of the company-specific risk be diversified away by investing in both Vanguard Developed 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 Vanguard Developed 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 Vanguard Developed Markets and Aqr Long Short Equity, you can compare the effects of market volatilities on Vanguard Developed 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 Vanguard Developed with a short position of Aqr Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Developed and Aqr Long-short.
Diversification Opportunities for Vanguard Developed and Aqr Long-short
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between VANGUARD and Aqr is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Developed Markets 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 Vanguard Developed 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 Vanguard Developed Markets 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 Vanguard Developed i.e., Vanguard Developed and Aqr Long-short go up and down completely randomly.
Pair Corralation between Vanguard Developed and Aqr Long-short
Assuming the 90 days horizon Vanguard Developed is expected to generate 17.19 times less return on investment than Aqr Long-short. In addition to that, Vanguard Developed is 1.79 times more volatile than Aqr Long Short Equity. It trades about 0.01 of its total potential returns per unit of risk. Aqr Long Short Equity is currently generating about 0.46 per unit of volatility. If you would invest 1,581 in Aqr Long Short Equity on September 2, 2024 and sell it today you would earn a total of 69.00 from holding Aqr Long Short Equity or generate 4.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Developed Markets vs. Aqr Long Short Equity
Performance |
| Timeline |
| Vanguard Developed |
| Aqr Long Short |
Vanguard Developed and Aqr Long-short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Developed and Aqr Long-short
The main advantage of trading using opposite Vanguard Developed and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Developed 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.| Vanguard Developed vs. Vanguard Emerging Markets | Vanguard Developed vs. Vanguard Small Cap Index | Vanguard Developed vs. Vanguard Total Bond | Vanguard Developed vs. Vanguard Mid Cap Index |
| Aqr Long-short vs. Pgim Conservative Retirement | Aqr Long-short vs. Prudential Core Conservative | Aqr Long-short vs. Jhancock Diversified Macro | Aqr Long-short vs. Harbor Diversified International |
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 Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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