Correlation Between Aqr Sustainable and Gmo Usonian

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

By analyzing existing cross correlation between Aqr Sustainable Long Short and Gmo Usonian Japan Value, you can compare the effects of market volatilities on Aqr Sustainable and Gmo Usonian 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 Sustainable with a short position of Gmo Usonian. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Sustainable and Gmo Usonian.

Diversification Opportunities for Aqr Sustainable and Gmo Usonian

0.31

Correlation Coefficient

Aqr Sustainable  Gmo Usonian

Weak diversification

The 3 months correlation between Aqr and Gmo is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Sustainable Long Short and Gmo Usonian Japan Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Usonian Japan and Aqr Sustainable 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 Sustainable Long Short are associated (or correlated) with Gmo Usonian. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Usonian Japan has no effect on the direction of Aqr Sustainable i.e., Aqr Sustainable and Gmo Usonian go up and down completely randomly.

Pair Corralation between Aqr Sustainable and Gmo Usonian

Assuming the 90 days horizon Aqr Sustainable Long Short is expected to under-perform the Gmo Usonian. In addition to that, Aqr Sustainable is 4.62 times more volatile than Gmo Usonian Japan Value. It trades about -0.2 of its total potential returns per unit of risk. Gmo Usonian Japan Value is currently generating about -0.28 per unit of volatility. If you would invest  2,062  in Gmo Usonian Japan Value on October 9, 2024 and sell it today you would lose (83.00) from holding Gmo Usonian Japan Value or give up 4.03% of portfolio value over 90 days.

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

Aqr Sustainable Long Short  vs.  Gmo Usonian Japan Value

Aqr Sustainable Long

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Sustainable Long Short has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Gmo Usonian Japan

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gmo Usonian Japan Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Gmo Usonian 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 Sustainable and Gmo Usonian

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

The idea behind Aqr Sustainable Long Short and Gmo Usonian Japan Value 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.