Correlation Between Aqr Diversified and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Goldman Sachs 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 Diversified and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Diversified Arbitrage and Goldman Sachs Short, you can compare the effects of market volatilities on Aqr Diversified and Goldman Sachs 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 Diversified with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Goldman Sachs.
Diversification Opportunities for Aqr Diversified and Goldman Sachs
-0.09 | Correlation Coefficient |
Good diversification
The 3 months correlation between Aqr and Goldman is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Goldman Sachs Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Short and Aqr Diversified 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 Diversified Arbitrage are associated (or correlated) with Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Goldman Sachs Short has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Goldman Sachs go up and down completely randomly.
Pair Corralation between Aqr Diversified and Goldman Sachs
Assuming the 90 days horizon Aqr Diversified is expected to generate 1.13 times less return on investment than Goldman Sachs. But when comparing it to its historical volatility, Aqr Diversified Arbitrage is 1.25 times less risky than Goldman Sachs. It trades about 0.18 of its potential returns per unit of risk. Goldman Sachs Short is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 905.00 in Goldman Sachs Short on October 27, 2024 and sell it today you would earn a total of 67.00 from holding Goldman Sachs Short or generate 7.4% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Aqr Diversified Arbitrage vs. Goldman Sachs Short
Performance |
Timeline |
Aqr Diversified Arbitrage |
Goldman Sachs Short |
Aqr Diversified and Goldman Sachs Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Aqr Diversified and Goldman Sachs
The main advantage of trading using opposite Aqr Diversified and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Goldman Sachs 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 Goldman Sachs will offset losses from the drop in Goldman Sachs' long position.Aqr Diversified vs. Ab All Market | Aqr Diversified vs. Aqr Sustainable Long Short | Aqr Diversified vs. Artisan Developing World | Aqr Diversified vs. Inverse Emerging Markets |
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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 Transaction History module to view history of all your transactions and understand their impact on performance.
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