Correlation Between Boston Partners and Aqr Long-short

Can any of the company-specific risk be diversified away by investing in both Boston Partners 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 Boston Partners 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 Boston Partners Longshort and Aqr Long Short Equity, you can compare the effects of market volatilities on Boston Partners 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 Boston Partners with a short position of Aqr Long-short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Boston Partners and Aqr Long-short.

Diversification Opportunities for Boston Partners and Aqr Long-short

0.78

Correlation Coefficient

Boston Partners  Aqr Long-short

Poor diversification

The 3 months correlation between Boston and Aqr is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Boston Partners Longshort 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 Boston Partners 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 Boston Partners Longshort 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 Boston Partners i.e., Boston Partners and Aqr Long-short go up and down completely randomly.

Pair Corralation between Boston Partners and Aqr Long-short

Assuming the 90 days horizon Boston Partners Longshort is expected to generate 1.0 times more return on investment than Aqr Long-short. However, Boston Partners is 1.0 times more volatile than Aqr Long Short Equity. It trades about 0.29 of its potential returns per unit of risk. Aqr Long Short Equity is currently generating about 0.24 per unit of risk. If you would invest  1,401  in Boston Partners Longshort on February 15, 2024 and sell it today you would earn a total of  36.00  from holding Boston Partners Longshort or generate 2.57% return on investment over 90 days.

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

Boston Partners Longshort  vs.  Aqr Long Short Equity

Boston Partners Longshort

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Boston Partners Longshort are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Boston Partners is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aqr Long Short

Risk-Adjusted Performance

32 of 100

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Long Short Equity are ranked lower than 32 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Aqr Long-short may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with Boston Partners and Aqr Long-short

The main advantage of trading using opposite Boston Partners and Aqr Long-short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Boston Partners 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.

The idea behind Boston Partners Longshort and Aqr Long Short Equity 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.