Correlation Between Aqr Small and Short Duration
Can any of the company-specific risk be diversified away by investing in both Aqr Small and Short Duration 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 Small and Short Duration into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Small Cap and Short Duration Inflation, you can compare the effects of market volatilities on Aqr Small and Short Duration 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 Small with a short position of Short Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Small and Short Duration.
Diversification Opportunities for Aqr Small and Short Duration
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AQR and Short is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Small Cap and Short Duration Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Short Duration Inflation and Aqr 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 Aqr Small Cap are associated (or correlated) with Short Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Short Duration Inflation has no effect on the direction of Aqr Small i.e., Aqr Small and Short Duration go up and down completely randomly.
Pair Corralation between Aqr Small and Short Duration
Assuming the 90 days horizon Aqr Small Cap is expected to generate 7.41 times more return on investment than Short Duration. However, Aqr Small is 7.41 times more volatile than Short Duration Inflation. It trades about 0.22 of its potential returns per unit of risk. Short Duration Inflation is currently generating about 0.1 per unit of risk. If you would invest 1,565 in Aqr Small Cap on April 25, 2025 and sell it today you would earn a total of 233.00 from holding Aqr Small Cap or generate 14.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aqr Small Cap vs. Short Duration Inflation
Performance |
| Timeline |
| Aqr Small Cap |
| Short Duration Inflation |
Aqr Small and Short Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aqr Small and Short Duration
The main advantage of trading using opposite Aqr Small and Short Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Small position performs unexpectedly, Short Duration 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 Short Duration will offset losses from the drop in Short Duration's long position.| Aqr Small vs. Lord Abbett Convertible | Aqr Small vs. Virtus Convertible | Aqr Small vs. Putnam Convertible Securities | Aqr Small vs. Columbia Convertible Securities |
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Check out your portfolio center.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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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