Correlation Between Scharf Fund and Aqr International

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

By analyzing existing cross correlation between Scharf Fund Retail and Aqr International Defensive, you can compare the effects of market volatilities on Scharf Fund and Aqr International 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 Scharf Fund with a short position of Aqr International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Scharf Fund and Aqr International.

Diversification Opportunities for Scharf Fund and Aqr International

0.63

Correlation Coefficient

Scharf Fund  Aqr International

Poor diversification

The 3 months correlation between Scharf and Aqr is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Scharf Fund Retail and Aqr International Defensive in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr International and Scharf Fund 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 Scharf Fund Retail are associated (or correlated) with Aqr International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr International has no effect on the direction of Scharf Fund i.e., Scharf Fund and Aqr International go up and down completely randomly.

Pair Corralation between Scharf Fund and Aqr International

Assuming the 90 days horizon Scharf Fund Retail is expected to under-perform the Aqr International. In addition to that, Scharf Fund is 1.76 times more volatile than Aqr International Defensive. It trades about -0.34 of its total potential returns per unit of risk. Aqr International Defensive is currently generating about -0.39 per unit of volatility. If you would invest  1,547  in Aqr International Defensive on October 9, 2024 and sell it today you would lose (85.00) from holding Aqr International Defensive or give up 5.49% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	95.0%
Values	Daily Returns

Scharf Fund Retail  vs.  Aqr International Defensive

Scharf Fund Retail

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Scharf Fund Retail has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Aqr International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr International Defensive has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Scharf Fund and Aqr International

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

The idea behind Scharf Fund Retail and Aqr International Defensive 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.