Correlation Between Aqr Sustainable and Massmutual Premier

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

Diversification Opportunities for Aqr Sustainable and Massmutual Premier

0.47

Correlation Coefficient

Aqr Sustainable  Massmutual Premier

Very weak diversification

The 3 months correlation between Aqr and Massmutual is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Sustainable Long Short and Massmutual Premier Internation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Premier 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 Massmutual Premier. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Premier has no effect on the direction of Aqr Sustainable i.e., Aqr Sustainable and Massmutual Premier go up and down completely randomly.

Pair Corralation between Aqr Sustainable and Massmutual Premier

Assuming the 90 days horizon Aqr Sustainable Long Short is expected to under-perform the Massmutual Premier. In addition to that, Aqr Sustainable is 2.41 times more volatile than Massmutual Premier International. It trades about -0.2 of its total potential returns per unit of risk. Massmutual Premier International is currently generating about -0.32 per unit of volatility. If you would invest  794.00  in Massmutual Premier International on October 9, 2024 and sell it today you would lose (67.00) from holding Massmutual Premier International or give up 8.44% of portfolio value over 90 days.

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

Aqr Sustainable Long Short  vs.  Massmutual Premier Internation

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.

Massmutual Premier

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Massmutual Premier International has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Aqr Sustainable and Massmutual Premier

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

The idea behind Aqr Sustainable Long Short and Massmutual Premier International 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.