Correlation Between Aqr International and Aqr Small
Can any of the company-specific risk be diversified away by investing in both Aqr International and Aqr Small 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 Aqr International and Aqr Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr International Momentum and Aqr Small Cap, you can compare the effects of market volatilities on Aqr International and Aqr Small 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 Aqr International with a short position of Aqr Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr International and Aqr Small.
Diversification Opportunities for Aqr International and Aqr Small
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Aqr and Aqr is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Aqr International Momentum and Aqr Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Small Cap and Aqr International 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 Aqr International Momentum are associated (or correlated) with Aqr Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Small Cap has no effect on the direction of Aqr International i.e., Aqr International and Aqr Small go up and down completely randomly.
Pair Corralation between Aqr International and Aqr Small
Assuming the 90 days horizon Aqr International Momentum is expected to generate 0.88 times more return on investment than Aqr Small. However, Aqr International Momentum is 1.13 times less risky than Aqr Small. It trades about -0.09 of its potential returns per unit of risk. Aqr Small Cap is currently generating about -0.18 per unit of risk. If you would invest 1,741 in Aqr International Momentum on December 3, 2024 and sell it today you would lose (214.00) from holding Aqr International Momentum or give up 12.29% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 98.36% |
Values | Daily Returns |
Aqr International Momentum vs. Aqr Small Cap
Performance |
Timeline |
Aqr International |
Aqr Small Cap |
Aqr International and Aqr Small Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Aqr International and Aqr Small
The main advantage of trading using opposite Aqr International and Aqr Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr International position performs unexpectedly, Aqr Small 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 Small will offset losses from the drop in Aqr Small's long position.Aqr International vs. Ocm Mutual Fund | Aqr International vs. Deutsche Gold Precious | Aqr International vs. Invesco Gold Special | Aqr International vs. Gold And Precious |
Aqr Small vs. Fidelity Vertible Securities | Aqr Small vs. Advent Claymore Convertible | Aqr Small vs. Rationalpier 88 Convertible | Aqr Small vs. Invesco Vertible Securities |
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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