Correlation Between Aqr Managed and Hennessy Cornerstone

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

Diversification Opportunities for Aqr Managed and Hennessy Cornerstone

0.44

Correlation Coefficient

Aqr Managed  Hennessy Cornerstone

Very weak diversification

The 3 months correlation between Aqr and Hennessy is 0.44. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and Hennessy Nerstone Mid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Hennessy Nerstone Mid 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 Hennessy Cornerstone. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hennessy Nerstone Mid has no effect on the direction of Aqr Managed i.e., Aqr Managed and Hennessy Cornerstone go up and down completely randomly.

Pair Corralation between Aqr Managed and Hennessy Cornerstone

Assuming the 90 days horizon Aqr Managed is expected to generate 1.94 times less return on investment than Hennessy Cornerstone. But when comparing it to its historical volatility, Aqr Managed Futures is 1.27 times less risky than Hennessy Cornerstone. It trades about 0.21 of its potential returns per unit of risk. Hennessy Nerstone Mid is currently generating about 0.32 of returns per unit of risk over similar time horizon. If you would invest  2,810  in Hennessy Nerstone Mid on September 5, 2024 and sell it today you would earn a total of  239.00  from holding Hennessy Nerstone Mid or generate 8.51% return on investment over 90 days.

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

Aqr Managed Futures  vs.  Hennessy Nerstone Mid

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.

Hennessy Nerstone Mid

Risk-Adjusted Performance

20 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Hennessy Nerstone Mid are ranked lower than 20 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Hennessy Cornerstone showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Aqr Managed and Hennessy Cornerstone

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

The idea behind Aqr Managed Futures and Hennessy Nerstone Mid 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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.