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
0.09 | Correlation Coefficient |
Significant diversification
The 3 months correlation between WESTERN and Aqr is 0.09. 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 Inflation is expected to under-perform the Aqr Managed. But the mutual fund apears to be less risky and, when comparing its historical volatility, Western Asset Inflation is 2.56 times less risky than Aqr Managed. The mutual fund trades about -0.07 of its potential returns per unit of risk. The Aqr Managed Futures is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 809.00 in Aqr Managed Futures on August 27, 2024 and sell it today you would earn a total of 30.00 from holding Aqr Managed Futures or generate 3.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| 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. Invesco Technology Fund | Western Asset vs. Mfs Technology Fund | Western Asset vs. Hennessy Technology Fund | Western Asset vs. Columbia Global Technology |
| 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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