Can any of the company-specific risk be diversified away by investing in both Aqr Diversified and Calamos Market 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 Diversified and Calamos Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aqr Diversified Arbitrage and Calamos Market Neutral, you can compare the effects of market volatilities on Aqr Diversified and Calamos Market 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 Diversified with a short position of Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Diversified and Calamos Market.
Diversification Opportunities for Aqr Diversified and Calamos Market
The 3 months correlation between Aqr and Calamos is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and Calamos Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Market Neutral and Aqr Diversified 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 Diversified Arbitrage are associated (or correlated) with Calamos Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Market Neutral has no effect on the direction of Aqr Diversified i.e., Aqr Diversified and Calamos Market go up and down completely randomly.
Pair Corralation between Aqr Diversified and Calamos Market
Assuming the 90 days horizon Aqr Diversified is expected to generate 2.0 times less return on investment than Calamos Market. In addition to that, Aqr Diversified is 1.23 times more volatile than Calamos Market Neutral. It trades about 0.05 of its total potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.13 per unit of volatility. If you would invest 1,287 in Calamos Market Neutral on March 6, 2024 and sell it today you would earn a total of 189.00 from holding Calamos Market Neutral or generate 14.69% return on investment over 90 days.
Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Diversified Arbitrage are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Aqr Diversified is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.