Correlation Between Elfun Government and Aqr Style

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

By analyzing existing cross correlation between Elfun Government Money and Aqr Style Premia, you can compare the effects of market volatilities on Elfun Government and Aqr Style 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 Elfun Government with a short position of Aqr Style. Check out your portfolio center. Please also check ongoing floating volatility patterns of Elfun Government and Aqr Style.

Diversification Opportunities for Elfun Government and Aqr Style

0.0

Correlation Coefficient

Elfun Government  Aqr Style

Pay attention - limited upside

The 3 months correlation between Elfun and Aqr is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Elfun Government Money and Aqr Style Premia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Style Premia and Elfun Government 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 Elfun Government Money are associated (or correlated) with Aqr Style. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Style Premia has no effect on the direction of Elfun Government i.e., Elfun Government and Aqr Style go up and down completely randomly.

Pair Corralation between Elfun Government and Aqr Style

Assuming the 90 days horizon Elfun Government Money is expected to generate 17.6 times more return on investment than Aqr Style. However, Elfun Government is 17.6 times more volatile than Aqr Style Premia. It trades about 0.05 of its potential returns per unit of risk. Aqr Style Premia is currently generating about 0.04 per unit of risk. If you would invest  370.00  in Elfun Government Money on October 10, 2024 and sell it today you would lose (270.00) from holding Elfun Government Money or give up 72.97% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	98.02%
Values	Daily Returns

Elfun Government Money  vs.  Aqr Style Premia

Elfun Government Money

Risk-Adjusted Performance

0 of 100

Very Weak

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

Aqr Style Premia

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Elfun Government and Aqr Style

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

The idea behind Elfun Government Money and Aqr Style Premia 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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.