Correlation Between Quantitative Longshort and Ab Select
Can any of the company-specific risk be diversified away by investing in both Quantitative Longshort and Ab Select 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 Quantitative Longshort and Ab Select into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Quantitative Longshort Equity and Ab Select Longshort, you can compare the effects of market volatilities on Quantitative Longshort and Ab Select 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 Quantitative Longshort with a short position of Ab Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Quantitative Longshort and Ab Select.
Diversification Opportunities for Quantitative Longshort and Ab Select
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Quantitative and ASCLX is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative Longshort Equity and Ab Select Longshort in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Select Longshort and Quantitative Longshort 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 Quantitative Longshort Equity are associated (or correlated) with Ab Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Select Longshort has no effect on the direction of Quantitative Longshort i.e., Quantitative Longshort and Ab Select go up and down completely randomly.
Pair Corralation between Quantitative Longshort and Ab Select
Assuming the 90 days horizon Quantitative Longshort Equity is expected to generate 0.59 times more return on investment than Ab Select. However, Quantitative Longshort Equity is 1.7 times less risky than Ab Select. It trades about -0.18 of its potential returns per unit of risk. Ab Select Longshort is currently generating about -0.19 per unit of risk. If you would invest 1,382 in Quantitative Longshort Equity on February 2, 2024 and sell it today you would lose (18.00) from holding Quantitative Longshort Equity or give up 1.3% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Quantitative Longshort Equity vs. Ab Select Longshort
Performance |
Timeline |
Quantitative Longshort |
Ab Select Longshort |
Quantitative Longshort and Ab Select Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Quantitative Longshort and Ab Select
The main advantage of trading using opposite Quantitative Longshort and Ab Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Quantitative Longshort position performs unexpectedly, Ab Select 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 Ab Select will offset losses from the drop in Ab Select's long position.Quantitative Longshort vs. Aqr Long Short Equity | Quantitative Longshort vs. Diamond Hill Long Short | Quantitative Longshort vs. Ab Select Longshort |
Ab Select vs. Aqr Long Short Equity | Ab Select vs. Diamond Hill Long Short | Ab Select vs. Ab Select Longshort |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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