Correlation Between Segall Bryant and Aqr Managed

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

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

Diversification Opportunities for Segall Bryant and Aqr Managed

0.3

Correlation Coefficient

Segall Bryant  Aqr Managed

Weak diversification

The 3 months correlation between Segall and Aqr is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Segall Bryant Hamill 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 Segall Bryant 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 Segall Bryant Hamill 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 Segall Bryant i.e., Segall Bryant and Aqr Managed go up and down completely randomly.

Pair Corralation between Segall Bryant and Aqr Managed

Assuming the 90 days horizon Segall Bryant is expected to generate 10.51 times less return on investment than Aqr Managed. But when comparing it to its historical volatility, Segall Bryant Hamill is 6.53 times less risky than Aqr Managed. It trades about 0.06 of its potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.09 of returns per unit of risk over similar time horizon. 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	Very Weak
Accuracy	100.0%
Values	Daily Returns

Segall Bryant Hamill  vs.  Aqr Managed Futures

Segall Bryant Hamill

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Segall Bryant Hamill are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Segall Bryant is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

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.

Pair Trading with Segall Bryant and Aqr Managed

The main advantage of trading using opposite Segall Bryant and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Segall Bryant 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 Segall Bryant Hamill 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.