Correlation Between Vulcan Value and Aqr Managed

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

By analyzing existing cross correlation between Vulcan Value Partners and Aqr Managed Futures, you can compare the effects of market volatilities on Vulcan Value and Aqr 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 Vulcan Value with a short position of Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vulcan Value and Aqr Managed.

Diversification Opportunities for Vulcan Value and Aqr Managed

0.64

Correlation Coefficient

Vulcan Value  Aqr Managed

Poor diversification

The 3 months correlation between Vulcan and Aqr is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Vulcan Value Partners and Aqr Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Managed Futures and Vulcan Value 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 Vulcan Value Partners are associated (or correlated) with Aqr Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Managed Futures has no effect on the direction of Vulcan Value i.e., Vulcan Value and Aqr Managed go up and down completely randomly.

Pair Corralation between Vulcan Value and Aqr Managed

Assuming the 90 days horizon Vulcan Value is expected to generate 1.01 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Vulcan Value Partners is 1.59 times less risky than Aqr Managed. It trades about 0.34 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  817.00  in Aqr Managed Futures on September 16, 2024 and sell it today you would earn a total of  32.00  from holding Aqr Managed Futures or generate 3.92% return on investment over 90 days.

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

Vulcan Value Partners  vs.  Aqr Managed Futures

Vulcan Value Partners

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Vulcan Value Partners are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong essential indicators, Vulcan Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aqr Managed Futures

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Managed Futures are ranked lower than 5 (%) 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.

Pair Trading with Vulcan Value and Aqr Managed

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

The idea behind Vulcan Value Partners and Aqr Managed Futures 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.