Correlation Between Multi Manager and Aqr Long-short
Can any of the company-specific risk be diversified away by investing in both Multi Manager and Aqr Long-short 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 Multi Manager and Aqr Long-short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Multi Manager Directional Alternative and Aqr Long Short Equity, you can compare the effects of market volatilities on Multi Manager and Aqr Long-short 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 Multi Manager with a short position of Aqr Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multi Manager and Aqr Long-short.
Diversification Opportunities for Multi Manager and Aqr Long-short
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Multi and Aqr is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Multi Manager Directional Alte and Aqr Long Short Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Long Short and Multi Manager 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 Multi Manager Directional Alternative are associated (or correlated) with Aqr Long-short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Long Short has no effect on the direction of Multi Manager i.e., Multi Manager and Aqr Long-short go up and down completely randomly.
Pair Corralation between Multi Manager and Aqr Long-short
Assuming the 90 days horizon Multi Manager is expected to generate 4.99 times less return on investment than Aqr Long-short. But when comparing it to its historical volatility, Multi Manager Directional Alternative is 2.71 times less risky than Aqr Long-short. It trades about 0.03 of its potential returns per unit of risk. Aqr Long Short Equity is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 1,025 in Aqr Long Short Equity on January 25, 2024 and sell it today you would earn a total of 468.00 from holding Aqr Long Short Equity or generate 45.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Multi Manager Directional Alte vs. Aqr Long Short Equity
Performance |
| Timeline |
| Multi Manager Direct |
| Aqr Long Short |
Multi Manager and Aqr Long-short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Multi Manager and Aqr Long-short
The main advantage of trading using opposite Multi Manager and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multi Manager position performs unexpectedly, Aqr Long-short 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 Long-short will offset losses from the drop in Aqr Long-short's long position.| Multi Manager vs. Columbia Porate Income | Multi Manager vs. Columbia Ultra Short | Multi Manager vs. Columbia Ultra Short | Multi Manager vs. Columbia Treasury Index |
| Aqr Long-short vs. Aqr Large Cap | Aqr Long-short vs. Aqr Large Cap | Aqr Long-short vs. Aqr International Defensive | Aqr Long-short vs. Aqr International Defensive |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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