Correlation Between Aqr Managed and Inflation Protected

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

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

Diversification Opportunities for Aqr Managed and Inflation Protected

0.65

Correlation Coefficient

Aqr Managed  Inflation Protected

Poor diversification

The 3 months correlation between Aqr and Inflation is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Inflation Protected Bond Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Inflation Protected and Aqr Managed 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 Managed Futures are associated (or correlated) with Inflation Protected. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Inflation Protected has no effect on the direction of Aqr Managed i.e., Aqr Managed and Inflation Protected go up and down completely randomly.

Pair Corralation between Aqr Managed and Inflation Protected

Assuming the 90 days horizon Aqr Managed Futures is expected to generate 1.43 times more return on investment than Inflation Protected. However, Aqr Managed is 1.43 times more volatile than Inflation Protected Bond Fund. It trades about 0.09 of its potential returns per unit of risk. Inflation Protected Bond Fund is currently generating about 0.12 per unit of risk. If you would invest  848.00  in Aqr Managed Futures on September 12, 2024 and sell it today you would earn a total of  26.00  from holding Aqr Managed Futures or generate 3.07% return on investment over 90 days.

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

Aqr Managed Futures  vs.  Inflation Protected Bond Fund

Aqr Managed Futures

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Managed Futures are ranked lower than 7 (%) 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.

Inflation Protected

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Inflation Protected Bond Fund are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Inflation Protected 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 Managed and Inflation Protected

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

The idea behind Aqr Managed Futures and Inflation Protected Bond Fund 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.