Correlation Between Aqr Managed and Goldman Sachs

Can any of the company-specific risk be diversified away by investing in both Aqr Managed and Goldman Sachs 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 Goldman Sachs 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 Goldman Sachs Balanced, you can compare the effects of market volatilities on Aqr Managed and Goldman Sachs 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 Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Managed and Goldman Sachs.

Diversification Opportunities for Aqr Managed and Goldman Sachs

0.78

Correlation Coefficient

Aqr Managed  Goldman Sachs

Poor diversification

The 3 months correlation between Aqr and Goldman is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Goldman Sachs Balanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Balanced 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 Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Goldman Sachs Balanced has no effect on the direction of Aqr Managed i.e., Aqr Managed and Goldman Sachs go up and down completely randomly.

Pair Corralation between Aqr Managed and Goldman Sachs

Assuming the 90 days horizon Aqr Managed Futures is expected to generate 2.2 times more return on investment than Goldman Sachs. However, Aqr Managed is 2.2 times more volatile than Goldman Sachs Balanced. It trades about 0.11 of its potential returns per unit of risk. Goldman Sachs Balanced is currently generating about 0.07 per unit of risk. If you would invest  807.00  in Aqr Managed Futures on September 18, 2024 and sell it today you would earn a total of  42.00  from holding Aqr Managed Futures or generate 5.2% 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.  Goldman Sachs Balanced

Aqr Managed Futures

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Managed Futures are ranked lower than 8 (%) 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.

Goldman Sachs Balanced

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Goldman Sachs Balanced are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Goldman Sachs 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 Goldman Sachs

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

The idea behind Aqr Managed Futures and Goldman Sachs Balanced 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.