Correlation Between Aqr Managed and Aa Pimco

Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Aa Pimco 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 Managed and Aa Pimco into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Aqr Managed Futures and Aa Pimco Tr, you can compare the effects of market volatilities on Aqr Managed and Aa Pimco 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 Managed with a short position of Aa Pimco. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Aa Pimco.

Diversification Opportunities for Aqr Managed and Aa Pimco

0.64

Correlation Coefficient

Aqr Managed  Aa Pimco

Poor diversification

The 3 months correlation between Aqr and PQTIX is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Aa Pimco Tr in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aa Pimco Tr and Aqr Managed 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 Managed Futures are associated (or correlated) with Aa Pimco. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aa Pimco Tr has no effect on the direction of Aqr Managed i.e., Aqr Managed and Aa Pimco go up and down completely randomly.

Pair Corralation between Aqr Managed and Aa Pimco

Assuming the 90 days horizon Aqr Managed Futures is expected to under-perform the Aa Pimco. In addition to that, Aqr Managed is 2.09 times more volatile than Aa Pimco Tr. It trades about -0.12 of its total potential returns per unit of risk. Aa Pimco Tr is currently generating about 0.11 per unit of volatility. If you would invest  1,029  in Aa Pimco Tr on September 23, 2024 and sell it today you would earn a total of  13.00  from holding Aa Pimco Tr or generate 1.26% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Aqr Managed Futures  vs.  Aa Pimco Tr

Aqr Managed Futures

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Managed Futures has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Aqr Managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aa Pimco Tr

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aa Pimco Tr has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Aa Pimco is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Aqr Managed and Aa Pimco

The main advantage of trading using opposite Aqr Managed and Aa Pimco positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Aa Pimco 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 Aa Pimco will offset losses from the drop in Aa Pimco's long position.

The idea behind Aqr Managed Futures and Aa Pimco Tr pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.