Correlation Between Nuveen Small and Aqr Managed

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

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

Diversification Opportunities for Nuveen Small and Aqr Managed

0.55

Correlation Coefficient

Nuveen Small  Aqr Managed

Very weak diversification

The 3 months correlation between Nuveen and Aqr is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Small Cap 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 Nuveen Small 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 Nuveen Small Cap 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 Nuveen Small i.e., Nuveen Small and Aqr Managed go up and down completely randomly.

Pair Corralation between Nuveen Small and Aqr Managed

Assuming the 90 days horizon Nuveen Small Cap is expected to generate 1.57 times more return on investment than Aqr Managed. However, Nuveen Small is 1.57 times more volatile than Aqr Managed Futures. It trades about 0.19 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.08 per unit of risk. If you would invest  2,459  in Nuveen Small Cap on September 12, 2024 and sell it today you would earn a total of  376.00  from holding Nuveen Small Cap or generate 15.29% return on investment over 90 days.

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

Nuveen Small Cap  vs.  Aqr Managed Futures

Nuveen Small Cap

Risk-Adjusted Performance

15 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Nuveen Small Cap are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Nuveen Small showed solid returns over the last few months and may actually be approaching a breakup point.

Aqr Managed Futures

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Managed Futures are ranked lower than 6 (%) 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 Nuveen Small and Aqr Managed

The main advantage of trading using opposite Nuveen Small and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen Small 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 Nuveen Small Cap 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.