Aqr Large Correlations

AMONX Fund

USD 19.38 0.04 0.21%

The current 90-days correlation between Aqr Large Cap and Artisan International Explorer is 0.61 (i.e., Poor diversification). The correlation of Aqr Large is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Aqr Large Correlation With Market

Good diversification

The correlation between Aqr Large Cap and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Large Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Aqr Large Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with Aqr Mutual Fund

0.95	AMOMX	Aqr Large Cap	Pair Corr
1.0	QMORX	Aqr Large Cap	Pair Corr
0.74	AQGRX	Aqr Global Equity	Pair Corr
0.72	AQGNX	Aqr Global Equity	Pair Corr
0.72	AQGIX	Aqr Global Equity	Pair Corr
0.76	AQRRX	Aqr Risk Parity	Pair Corr
0.78	AQRNX	Aqr Risk Parity	Pair Corr
0.76	AQRIX	Aqr Risk Parity	Pair Corr
0.68	QNZIX	Aqr Sustainable Long	Pair Corr
0.68	QNZRX	Aqr Sustainable Long	Pair Corr
0.68	QNZNX	Aqr Sustainable Long	Pair Corr
0.94	ASMOX	Aqr Small Cap	Pair Corr
0.98	ASMNX	Aqr Small Cap	Pair Corr
0.7	AUEIX	Aqr Large Cap	Pair Corr
0.7	AUENX	Aqr Large Cap	Pair Corr
0.98	QSERX	Aqr Small Cap	Pair Corr

Moving against Aqr Mutual Fund

0.74	QMNIX	Aqr Equity Market	Pair Corr
0.74	QMNRX	Aqr Equity Market	Pair Corr
0.73	QMNNX	Aqr Equity Market	Pair Corr
0.81	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.8	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.34	QSPNX	Aqr Style Premia	Pair Corr
0.34	QSPIX	Aqr Style Premia	Pair Corr
0.34	QSPRX	Aqr Style Premia	Pair Corr

Related Correlations Analysis

	ARDBX	EMDIX	PIEFX	TEGCX	TBLDX	SEDAX
ARDBX		0.73	0.74	0.46	0.22	0.83	ARDBX
EMDIX	0.73		0.84	0.69	0.63	0.89	EMDIX
PIEFX	0.74	0.84		0.86	0.69	0.86	PIEFX
TEGCX	0.46	0.69	0.86		0.89	0.62	TEGCX
TBLDX	0.22	0.63	0.69	0.89		0.48	TBLDX
SEDAX	0.83	0.89	0.86	0.62	0.48		SEDAX
	ARDBX	EMDIX	PIEFX	TEGCX	TBLDX	SEDAX

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Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Large Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Aqr Large's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ARDBX	0.84	0.10	0.23	(1.81)	1.12	(0.89)	2.03	(1.70)	6.72
EMDIX	0.28	0.02	0.36	0.28	0.45	(0.31)	0.52	(0.65)	2.45
PIEFX	1.27	0.16	0.11	0.04	1.83	(1.24)	2.36	(2.60)	9.39
TEGCX	1.12	0.13	0.12	0.00	1.51	(1.13)	1.88	(1.94)	8.00
TBLDX	0.54	0.03	0.00	(0.12)	0.00	0.00	0.73	(1.10)	5.30
SEDAX	0.31	0.03	0.40	(12.87)	0.39	(0.39)	0.70	(0.46)	2.37

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