Correlation Between Aqr Diversified and Sit Government
Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Sit Government 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 Sit Government 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 Sit Government Securities, you can compare the effects of market volatilities on Aqr Diversified and Sit Government 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 Sit Government. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Sit Government.
Diversification Opportunities for Aqr Diversified and Sit Government
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Aqr and Sit is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Sit Government Securities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sit Government Securities 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 Sit Government. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sit Government Securities has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Sit Government go up and down completely randomly.
Pair Corralation between Aqr Diversified and Sit Government
Assuming the 90 days horizon Aqr Diversified Arbitrage is expected to generate 0.46 times more return on investment than Sit Government. However, Aqr Diversified Arbitrage is 2.18 times less risky than Sit Government. It trades about 0.4 of its potential returns per unit of risk. Sit Government Securities is currently generating about 0.17 per unit of risk. If you would invest 1,207 in Aqr Diversified Arbitrage on December 26, 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 Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Aqr Diversified Arbitrage vs. Sit Government Securities
Performance |
Timeline |
Aqr Diversified Arbitrage |
Sit Government Securities |
Aqr Diversified and Sit Government Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Aqr Diversified and Sit Government
The main advantage of trading using opposite Aqr Diversified and Sit Government positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Diversified position performs unexpectedly, Sit Government 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 Sit Government will offset losses from the drop in Sit Government's long position.Aqr Diversified vs. Ab Impact Municipal | Aqr Diversified vs. Morningstar Municipal Bond | Aqr Diversified vs. Federated Municipal Ultrashort | Aqr Diversified vs. Morgan Stanley Government |
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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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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