Aqr International Correlations

ANDIX Fund

USD 15.29 0.02 0.13%

The current 90-days correlation between Aqr International and Nexpoint Real Estate is -0.11 (i.e., Good diversification). The correlation of Aqr International 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 International Correlation With Market

Poor diversification

The correlation between Aqr International Defensive and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr International Defensive 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 International Defensive. 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 gross domestic product.

Moving together with Aqr Mutual Fund

1.0	ANDRX	Aqr International	Pair Corr
1.0	ANDNX	Aqr International	Pair Corr
0.83	QLEIX	Aqr Long Short	Pair Corr
0.83	QLERX	Aqr Long Short	Pair Corr
0.69	QMHRX	Aqr Managed Futures	Pair Corr
0.69	QMHNX	Aqr Managed Futures	Pair Corr
0.61	QMNIX	Aqr Equity Market	Pair Corr
0.61	QMNRX	Aqr Equity Market	Pair Corr
0.68	AQMNX	Aqr Managed Futures	Pair Corr
0.64	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.67	QRPRX	Aqr Alternative Risk	Pair Corr

Related Correlations Analysis

	NRSCX	SRPIX	SEIRX	FREAX	MRESX	VREQX	VGSIX	FORFX
NRSCX		-0.4	0.54	0.5	0.56	0.54	0.54	0.47	NRSCX
SRPIX	-0.4		-0.87	-0.86	-0.85	-0.86	-0.86	0.06	SRPIX
SEIRX	0.54	-0.87		1.0	1.0	1.0	1.0	0.03	SEIRX
FREAX	0.5	-0.86	1.0		0.99	1.0	1.0	-0.02	FREAX
MRESX	0.56	-0.85	1.0	0.99		1.0	1.0	0.09	MRESX
VREQX	0.54	-0.86	1.0	1.0	1.0		1.0	0.04	VREQX
VGSIX	0.54	-0.86	1.0	1.0	1.0	1.0		0.06	VGSIX
FORFX	0.47	0.06	0.03	-0.02	0.09	0.04	0.06		FORFX
	NRSCX	SRPIX	SEIRX	FREAX	MRESX	VREQX	VGSIX	FORFX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

FREAX	+ 1.0	SEIRX
MRESX	+ 1.0	SEIRX
VREQX	+ 1.0	SEIRX
VGSIX	+ 1.0	SEIRX
VREQX	+ 1.0	FREAX
VGSIX	+ 1.0	FREAX

High negative correlations

SEIRX	- 0.87	SRPIX
VGSIX	- 0.86	SRPIX
VREQX	- 0.86	SRPIX
FREAX	- 0.86	SRPIX
MRESX	- 0.85	SRPIX
SRPIX	- 0.4	NRSCX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr International 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 International'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
NRSCX	0.21	(0.02)	0.00	0.24	0.00	0.00	0.44	(0.56)	1.50
SRPIX	1.08	(0.12)	0.14	(0.03)	1.36	(1.31)	2.50	(1.98)	10.28
SEIRX	1.07	(0.04)	0.12	0.03	1.53	(1.07)	1.91	(2.45)	8.05
FREAX	1.05	(0.04)	0.11	0.03	1.52	(1.05)	1.84	(2.51)	8.45
MRESX	1.06	(0.03)	0.12	(0.05)	1.46	(1.11)	1.70	(2.48)	8.09
VREQX	1.04	(0.04)	0.11	0.01	1.47	(1.08)	1.76	(2.72)	7.73
VGSIX	1.07	(0.03)	0.11	(0.04)	1.61	(1.00)	2.03	(2.64)	8.34
FORFX	0.06	0.01	0.00	(1.36)	0.00	0.00	0.11	(0.10)	0.52

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