Correlation Between Western Asset and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both Western Asset 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 Western Asset and Aqr Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Inflation and Aqr Managed Futures, you can compare the effects of market volatilities on Western Asset 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 Western Asset with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Aqr Managed.
Diversification Opportunities for Western Asset and Aqr Managed
0.22 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Western and AQR is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Inflation 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 Western Asset 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 Western Asset Inflation 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 Western Asset i.e., Western Asset and Aqr Managed go up and down completely randomly.
Pair Corralation between Western Asset and Aqr Managed
Assuming the 90 days horizon Western Asset is expected to generate 2.62 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Western Asset Inflation is 3.42 times less risky than Aqr Managed. It trades about 0.33 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 838.00 in Aqr Managed Futures on December 1, 2024 and sell it today you would earn a total of 45.00 from holding Aqr Managed Futures or generate 5.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Inflation vs. Aqr Managed Futures
Performance |
| Timeline |
| Western Asset Inflation |
| Aqr Managed Futures |
Western Asset and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Aqr Managed
The main advantage of trading using opposite Western Asset and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset 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.| Western Asset vs. T Rowe Price | Western Asset vs. Prudential Emerging Markets | Western Asset vs. First American Funds | Western Asset vs. Tiaa Cref Funds |
| Aqr Managed vs. Virtus High Yield | Aqr Managed vs. Gmo High Yield | Aqr Managed vs. Artisan High Income | Aqr Managed vs. Alpine High Yield |
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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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