Correlation Between Aqr Managed and Abr Dynamic

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

By analyzing existing cross correlation between Aqr Managed Futures and Abr Dynamic Blend, you can compare the effects of market volatilities on Aqr Managed and Abr Dynamic 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 Managed with a short position of Abr Dynamic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Abr Dynamic.

Diversification Opportunities for Aqr Managed and Abr Dynamic

-0.58

Correlation Coefficient

Aqr Managed  Abr Dynamic

Excellent diversification

The 3 months correlation between Aqr and Abr is -0.58. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Abr Dynamic Blend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Abr Dynamic Blend and Aqr Managed 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 Managed Futures are associated (or correlated) with Abr Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Abr Dynamic Blend has no effect on the direction of Aqr Managed i.e., Aqr Managed and Abr Dynamic go up and down completely randomly.

Pair Corralation between Aqr Managed and Abr Dynamic

Assuming the 90 days horizon Aqr Managed Futures is expected to generate 1.58 times more return on investment than Abr Dynamic. However, Aqr Managed is 1.58 times more volatile than Abr Dynamic Blend. It trades about 0.08 of its potential returns per unit of risk. Abr Dynamic Blend is currently generating about -0.17 per unit of risk. If you would invest  845.00  in Aqr Managed Futures on December 18, 2024 and sell it today you would earn a total of  36.00  from holding Aqr Managed Futures or generate 4.26% return on investment over 90 days.

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

Aqr Managed Futures  vs.  Abr Dynamic Blend

Aqr Managed Futures

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Managed Futures are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Aqr Managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Abr Dynamic Blend

Risk-Adjusted Performance

Very Weak

Over the last 90 days Abr Dynamic Blend 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 Aqr Managed and Abr Dynamic

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

The idea behind Aqr Managed Futures and Abr Dynamic Blend 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 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.