Correlation Between Aqr Managed and Pzena Mid
Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Pzena Mid 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 Pzena Mid 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 Pzena Mid Cap, you can compare the effects of market volatilities on Aqr Managed and Pzena Mid 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 Pzena Mid. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Pzena Mid.
Diversification Opportunities for Aqr Managed and Pzena Mid
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between AQR and Pzena is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Pzena Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pzena Mid Cap 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 Pzena Mid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pzena Mid Cap has no effect on the direction of Aqr Managed i.e., Aqr Managed and Pzena Mid go up and down completely randomly.
Pair Corralation between Aqr Managed and Pzena Mid
Assuming the 90 days horizon Aqr Managed Futures is expected to generate 0.7 times more return on investment than Pzena Mid. However, Aqr Managed Futures is 1.42 times less risky than Pzena Mid. It trades about 0.05 of its potential returns per unit of risk. Pzena Mid Cap is currently generating about 0.0 per unit of risk. If you would invest 716.00 in Aqr Managed Futures on December 4, 2024 and sell it today you would earn a total of 180.00 from holding Aqr Managed Futures or generate 25.14% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 99.8% |
Values | Daily Returns |
Aqr Managed Futures vs. Pzena Mid Cap
Performance |
Timeline |
Aqr Managed Futures |
Pzena Mid Cap |
Aqr Managed and Pzena Mid Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Aqr Managed and Pzena Mid
The main advantage of trading using opposite Aqr Managed and Pzena Mid positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed position performs unexpectedly, Pzena Mid 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 Pzena Mid will offset losses from the drop in Pzena Mid's long position.Aqr Managed vs. Touchstone Large Cap | Aqr Managed vs. Profunds Large Cap Growth | Aqr Managed vs. Guidemark Large Cap | Aqr Managed vs. Dodge Cox Stock |
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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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