Correlation Between Small Capitalization and Aqr Diversified
Can any of the company-specific risk be diversified away by investing in both Small Capitalization and Aqr Diversified 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 Small Capitalization and Aqr Diversified into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Capitalization Portfolio and Aqr Diversified Arbitrage, you can compare the effects of market volatilities on Small Capitalization and Aqr Diversified 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 Small Capitalization with a short position of Aqr Diversified. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Capitalization and Aqr Diversified.
Diversification Opportunities for Small Capitalization and Aqr Diversified
-0.35 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Small and Aqr is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding Small Capitalization Portfolio and Aqr Diversified Arbitrage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Diversified Arbitrage and Small Capitalization 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 Small Capitalization Portfolio are associated (or correlated) with Aqr Diversified. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Diversified Arbitrage has no effect on the direction of Small Capitalization i.e., Small Capitalization and Aqr Diversified go up and down completely randomly.
Pair Corralation between Small Capitalization and Aqr Diversified
Assuming the 90 days horizon Small Capitalization Portfolio is expected to under-perform the Aqr Diversified. In addition to that, Small Capitalization is 18.27 times more volatile than Aqr Diversified Arbitrage. It trades about -0.26 of its total potential returns per unit of risk. Aqr Diversified Arbitrage is currently generating about 0.44 per unit of volatility. If you would invest 1,203 in Aqr Diversified Arbitrage on December 4, 2024 and sell it today you would earn a total of 33.00 from holding Aqr Diversified Arbitrage or generate 2.74% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Small Capitalization Portfolio vs. Aqr Diversified Arbitrage
Performance |
Timeline |
Small Capitalization |
Aqr Diversified Arbitrage |
Small Capitalization and Aqr Diversified Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Small Capitalization and Aqr Diversified
The main advantage of trading using opposite Small Capitalization and Aqr Diversified positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Capitalization position performs unexpectedly, Aqr Diversified 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 Diversified will offset losses from the drop in Aqr Diversified's long position.Small Capitalization vs. Fxybjx | Small Capitalization vs. Fwnhtx | Small Capitalization vs. Iaadx | Small Capitalization vs. Ffcdax |
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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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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