Correlation Between Franklin Mutual and Aqr Sustainable

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

By analyzing existing cross correlation between Franklin Mutual Global and Aqr Sustainable Long Short, you can compare the effects of market volatilities on Franklin Mutual and Aqr Sustainable 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 Franklin Mutual with a short position of Aqr Sustainable. Check out your portfolio center. Please also check ongoing floating volatility patterns of Franklin Mutual and Aqr Sustainable.

Diversification Opportunities for Franklin Mutual and Aqr Sustainable

0.82

Correlation Coefficient

Franklin Mutual  Aqr Sustainable

Very poor diversification

The 3 months correlation between Franklin and Aqr is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Franklin Mutual Global and Aqr Sustainable Long Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Sustainable Long and Franklin Mutual 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 Franklin Mutual Global are associated (or correlated) with Aqr Sustainable. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Sustainable Long has no effect on the direction of Franklin Mutual i.e., Franklin Mutual and Aqr Sustainable go up and down completely randomly.

Pair Corralation between Franklin Mutual and Aqr Sustainable

Assuming the 90 days horizon Franklin Mutual Global is expected to generate 0.61 times more return on investment than Aqr Sustainable. However, Franklin Mutual Global is 1.64 times less risky than Aqr Sustainable. It trades about -0.32 of its potential returns per unit of risk. Aqr Sustainable Long Short is currently generating about -0.2 per unit of risk. If you would invest  3,302  in Franklin Mutual Global on October 9, 2024 and sell it today you would lose (413.00) from holding Franklin Mutual Global or give up 12.51% of portfolio value over 90 days.

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

Franklin Mutual Global  vs.  Aqr Sustainable Long Short

Franklin Mutual Global

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Franklin Mutual Global has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Aqr Sustainable Long

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Sustainable Long Short has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward 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 Franklin Mutual and Aqr Sustainable

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

The idea behind Franklin Mutual Global and Aqr Sustainable Long Short 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.