Correlation Between Aqr International and Artisan Select

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

By analyzing existing cross correlation between Aqr International Defensive and Artisan Select Equity, you can compare the effects of market volatilities on Aqr International and Artisan Select 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 International with a short position of Artisan Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr International and Artisan Select.

Diversification Opportunities for Aqr International and Artisan Select

-0.54

Correlation Coefficient

Aqr International  Artisan Select

Excellent diversification

The 3 months correlation between Aqr and Artisan is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding Aqr International Defensive and Artisan Select Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Artisan Select Equity and Aqr International 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 International Defensive are associated (or correlated) with Artisan Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Artisan Select Equity has no effect on the direction of Aqr International i.e., Aqr International and Artisan Select go up and down completely randomly.

Pair Corralation between Aqr International and Artisan Select

Assuming the 90 days horizon Aqr International Defensive is expected to under-perform the Artisan Select. But the mutual fund apears to be less risky and, when comparing its historical volatility, Aqr International Defensive is 1.05 times less risky than Artisan Select. The mutual fund trades about -0.07 of its potential returns per unit of risk. The Artisan Select Equity is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  1,540  in Artisan Select Equity on September 3, 2024 and sell it today you would earn a total of  96.00  from holding Artisan Select Equity or generate 6.23% return on investment over 90 days.

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

Aqr International Defensive  vs.  Artisan Select Equity

Aqr International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr International Defensive has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Aqr International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Artisan Select Equity

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Artisan Select Equity are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Artisan Select 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 International and Artisan Select

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

The idea behind Aqr International Defensive and Artisan Select Equity 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.