Correlation Between The Gabelli and Aqr Diversified

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

By analyzing existing cross correlation between The Gabelli Small and Aqr Diversified Arbitrage, you can compare the effects of market volatilities on The Gabelli and Aqr Diversified 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 The Gabelli with a short position of Aqr Diversified. Check out your portfolio center. Please also check ongoing floating volatility patterns of The Gabelli and Aqr Diversified.

Diversification Opportunities for The Gabelli and Aqr Diversified

-0.61

Correlation Coefficient

The Gabelli  Aqr Diversified

Excellent diversification

The 3 months correlation between The and Aqr is -0.61. Overlapping area represents the amount of risk that can be diversified away by holding The Gabelli Small and Aqr Diversified Arbitrage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Diversified Arbitrage and The Gabelli 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 The Gabelli Small are associated (or correlated) with Aqr Diversified. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Diversified Arbitrage has no effect on the direction of The Gabelli i.e., The Gabelli and Aqr Diversified go up and down completely randomly.

Pair Corralation between The Gabelli and Aqr Diversified

Assuming the 90 days horizon The Gabelli Small is expected to under-perform the Aqr Diversified. In addition to that, The Gabelli is 9.7 times more volatile than Aqr Diversified Arbitrage. It trades about -0.05 of its total potential returns per unit of risk. Aqr Diversified Arbitrage is currently generating about 0.4 per unit of volatility. If you would invest  1,208  in Aqr Diversified Arbitrage on December 27, 2024 and sell it today you would earn a total of  32.00  from holding Aqr Diversified Arbitrage or generate 2.65% return on investment over 90 days.

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

The Gabelli Small  vs.  Aqr Diversified Arbitrage

Gabelli Small

Risk-Adjusted Performance

Very Weak

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

Aqr Diversified Arbitrage

Risk-Adjusted Performance

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Diversified Arbitrage are ranked lower than 31 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Aqr Diversified is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with The Gabelli and Aqr Diversified

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

The idea behind The Gabelli Small and Aqr Diversified Arbitrage 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.

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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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.