Correlation Between Aqr Sustainable and Tax-managed

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

Diversification Opportunities for Aqr Sustainable and Tax-managed

0.74

Correlation Coefficient

Aqr Sustainable  Tax-managed

Poor diversification

The 3 months correlation between Aqr and Tax-managed is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Sustainable Long Short and Tax Managed Mid Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Managed Mid 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 Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Managed Mid has no effect on the direction of Aqr Sustainable i.e., Aqr Sustainable and Tax-managed go up and down completely randomly.

Pair Corralation between Aqr Sustainable and Tax-managed

Assuming the 90 days horizon Aqr Sustainable Long Short is expected to generate 1.02 times more return on investment than Tax-managed. However, Aqr Sustainable is 1.02 times more volatile than Tax Managed Mid Small. It trades about 0.05 of its potential returns per unit of risk. Tax Managed Mid Small is currently generating about 0.04 per unit of risk. If you would invest  1,180  in Aqr Sustainable Long Short on October 10, 2024 and sell it today you would earn a total of  152.00  from holding Aqr Sustainable Long Short or generate 12.88% return on investment over 90 days.

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

Aqr Sustainable Long Short  vs.  Tax Managed Mid Small

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.

Tax Managed Mid

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Tax Managed Mid Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Tax-managed 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 Tax-managed

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

The idea behind Aqr Sustainable Long Short and Tax Managed Mid Small 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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..