Correlation Between Aqr Managed and Invesco Energy

Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Invesco Energy 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 Invesco Energy 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 Invesco Energy Fund, you can compare the effects of market volatilities on Aqr Managed and Invesco Energy 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 Invesco Energy. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Invesco Energy.

Diversification Opportunities for Aqr Managed and Invesco Energy

-0.21

Correlation Coefficient

Aqr Managed  Invesco Energy

Very good diversification

The 3 months correlation between Aqr and Invesco is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Invesco Energy Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Energy 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 Invesco Energy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Energy has no effect on the direction of Aqr Managed i.e., Aqr Managed and Invesco Energy go up and down completely randomly.

Pair Corralation between Aqr Managed and Invesco Energy

Assuming the 90 days horizon Aqr Managed is expected to generate 5.63 times less return on investment than Invesco Energy. In addition to that, Aqr Managed is 1.15 times more volatile than Invesco Energy Fund. It trades about 0.17 of its total potential returns per unit of risk. Invesco Energy Fund is currently generating about 1.07 per unit of volatility. If you would invest  2,293  in Invesco Energy Fund on October 23, 2024 and sell it today you would earn a total of  245.00  from holding Invesco Energy Fund or generate 10.68% return on investment over 90 days.

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

Aqr Managed Futures  vs.  Invesco Energy Fund

Aqr Managed Futures

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Managed Futures are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Aqr Managed may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Invesco Energy

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco Energy Fund are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Invesco Energy is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Aqr Managed and Invesco Energy

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

The idea behind Aqr Managed Futures and Invesco Energy Fund 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.