Aqr Large Correlations

QCERX Fund

USD 19.21 0.16 0.84%

The current 90-days correlation between Aqr Large Cap and Aqr Large Cap is 0.98 (i.e., Almost no 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

Very weak diversification

The correlation between Aqr Large Cap and DJI is 0.51 (i.e., Very weak 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 Your Equity Center 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 metropolitan statistical area.

Moving together with Aqr Mutual Fund

0.93	AMONX	Aqr Large Cap	Pair Corr
0.94	AMOMX	Aqr Large Cap	Pair Corr
0.68	ANDNX	Aqr International	Pair Corr
0.62	ANDIX	Aqr International	Pair Corr
1.0	QMORX	Aqr Large Cap	Pair Corr
0.99	AQGRX	Aqr Global Equity	Pair Corr
0.94	AQGNX	Aqr Global Equity	Pair Corr
0.99	AQGIX	Aqr Global Equity	Pair Corr
0.99	ASMOX	Aqr Small Cap	Pair Corr
0.9	ASMNX	Aqr Small Cap	Pair Corr
0.93	AUEIX	Aqr Large Cap	Pair Corr
0.88	AUENX	Aqr Large Cap	Pair Corr
0.92	QSERX	Aqr Small Cap	Pair Corr

Moving against Aqr Mutual Fund

0.59	QMHNX	Aqr Managed Futures	Pair Corr
0.51	QMHIX	Aqr Managed Futures	Pair Corr
0.51	QMHRX	Aqr Managed Futures	Pair Corr
0.48	QMNNX	Aqr Equity Market	Pair Corr
0.48	QMNIX	Aqr Equity Market	Pair Corr
0.48	QMNRX	Aqr Equity Market	Pair Corr
0.37	QLEIX	Aqr Long Short	Pair Corr
0.59	AQMNX	Aqr Managed Futures	Pair Corr
0.59	AQMIX	Aqr Managed Futures	Pair Corr
0.48	AQMRX	Aqr Managed Futures	Pair Corr
0.38	QNZIX	Aqr Sustainable Long	Pair Corr
0.38	QNZRX	Aqr Sustainable Long	Pair Corr
0.38	QNZNX	Aqr Sustainable Long	Pair Corr
0.33	QRCRX	Aqr Risk Balanced	Pair Corr
0.32	ARCNX	Aqr Risk Balanced	Pair Corr
0.39	QSPNX	Aqr Style Premia	Pair Corr
0.38	QSPIX	Aqr Style Premia	Pair Corr

Related Correlations Analysis

	AMONX	AMOMX	ANDRX	ANDNX	ANDIX	QLENX	QLEIX	QLERX	QMHIX	QMHRX
AMONX		1.0	0.38	0.72	0.41	-0.37	-0.24	-0.37	-0.62	-0.62	AMONX
AMOMX	1.0		0.41	0.72	0.44	-0.36	-0.26	-0.36	-0.61	-0.61	AMOMX
ANDRX	0.38	0.41		0.64	0.96	-0.39	-0.74	-0.38	-0.36	-0.36	ANDRX
ANDNX	0.72	0.72	0.64		0.67	-0.67	-0.51	-0.67	-0.71	-0.71	ANDNX
ANDIX	0.41	0.44	0.96	0.67		-0.36	-0.73	-0.36	-0.34	-0.35	ANDIX
QLENX	-0.37	-0.36	-0.39	-0.67	-0.36		0.69	1.0	0.9	0.9	QLENX
QLEIX	-0.24	-0.26	-0.74	-0.51	-0.73	0.69		0.69	0.63	0.63	QLEIX
QLERX	-0.37	-0.36	-0.38	-0.67	-0.36	1.0	0.69		0.9	0.9	QLERX
QMHIX	-0.62	-0.61	-0.36	-0.71	-0.34	0.9	0.63	0.9		1.0	QMHIX
QMHRX	-0.62	-0.61	-0.36	-0.71	-0.35	0.9	0.63	0.9	1.0		QMHRX
	AMONX	AMOMX	ANDRX	ANDNX	ANDIX	QLENX	QLEIX	QLERX	QMHIX	QMHRX

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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

AMOMX	+ 1.0	AMONX
QLERX	+ 1.0	QLENX
QMHRX	+ 1.0	QMHIX
ANDIX	+ 0.96	ANDRX
QMHIX	+ 0.9	QLENX
QMHRX	+ 0.9	QLENX

High negative correlations

QLEIX	- 0.74	ANDRX
QLEIX	- 0.73	ANDIX
QMHRX	- 0.71	ANDNX
QMHIX	- 0.71	ANDNX
QLERX	- 0.67	ANDNX
QLENX	- 0.67	ANDNX

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
AMONX	0.99	(0.17)	0.00	(0.13)	0.00	0.00	1.64	(1.85)	15.43
AMOMX	0.99	(0.14)	0.00	(0.11)	0.00	0.00	1.64	(1.85)	15.49
ANDRX	0.48	(0.10)	0.00	6.74	0.00	0.00	0.90	(1.11)	3.43
ANDNX	0.46	(0.09)	0.00	(0.39)	0.00	0.00	0.86	(1.13)	3.42
ANDIX	0.47	(0.10)	0.00	(1.73)	0.00	0.00	0.85	(1.17)	3.35
QLENX	0.41	0.12	0.22	0.90	0.17	(0.50)	0.83	(0.63)	2.89
QLEIX	0.40	0.12	0.20	(5.58)	0.18	(0.50)	0.87	(0.61)	2.75
QLERX	0.42	0.12	0.21	0.91	0.17	(0.50)	0.80	(0.66)	2.85
QMHIX	0.61	0.10	0.09	(2.81)	0.76	(0.64)	1.30	(1.05)	3.92
QMHRX	0.61	0.11	0.09	(2.09)	0.80	(0.63)	1.28	(1.24)	3.83

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