Correlation Between Aqr Managed and Aqr Risk

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

Diversification Opportunities for Aqr Managed and Aqr Risk

0.08

Correlation Coefficient

Aqr Managed  Aqr Risk

Significant diversification

The 3 months correlation between Aqr and Aqr is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Aqr Risk Balanced Modities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Risk Balanced 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 Aqr Risk. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Risk Balanced has no effect on the direction of Aqr Managed i.e., Aqr Managed and Aqr Risk go up and down completely randomly.

Pair Corralation between Aqr Managed and Aqr Risk

Assuming the 90 days horizon Aqr Managed is expected to generate 1.32 times less return on investment than Aqr Risk. In addition to that, Aqr Managed is 1.02 times more volatile than Aqr Risk Balanced Modities. It trades about 0.08 of its total potential returns per unit of risk. Aqr Risk Balanced Modities is currently generating about 0.11 per unit of volatility. If you would invest  851.00  in Aqr Risk Balanced Modities on September 12, 2024 and sell it today you would earn a total of  44.00  from holding Aqr Risk Balanced Modities or generate 5.17% return on investment over 90 days.

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

Aqr Managed Futures  vs.  Aqr Risk Balanced Modities

Aqr Managed Futures

Risk-Adjusted Performance

6 of 100

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.

Aqr Risk Balanced

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Risk Balanced Modities are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Aqr Risk 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 Aqr Risk

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

The idea behind Aqr Managed Futures and Aqr Risk Balanced Modities 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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.