Correlation Between Western Asset and Aqr Long-short
Can any of the company-specific risk be diversified away by investing in both Western Asset 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 Western Asset 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 Western Asset Diversified and Aqr Long Short Equity, you can compare the effects of market volatilities on Western Asset 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 Western Asset with a short position of Aqr Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Aqr Long-short.
Diversification Opportunities for Western Asset and Aqr Long-short
-0.63 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Western and Aqr is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified 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 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 Diversified 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 Western Asset i.e., Western Asset and Aqr Long-short go up and down completely randomly.
Pair Corralation between Western Asset and Aqr Long-short
Assuming the 90 days horizon Western Asset Diversified is expected to under-perform the Aqr Long-short. But the mutual fund apears to be less risky and, when comparing its historical volatility, Western Asset Diversified is 1.75 times less risky than Aqr Long-short. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Aqr Long Short Equity is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 1,540 in Aqr Long Short Equity on September 2, 2024 and sell it today you would earn a total of 110.00 from holding Aqr Long Short Equity or generate 7.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Diversified vs. Aqr Long Short Equity
Performance |
| Timeline |
| Western Asset Diversified |
| Aqr Long Short |
Western Asset and Aqr Long-short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Aqr Long-short
The main advantage of trading using opposite Western Asset and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset 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.| Western Asset vs. Morningstar Unconstrained Allocation | Western Asset vs. Old Westbury Large | Western Asset vs. T Rowe Price | Western Asset vs. Enhanced Large Pany |
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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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
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