Aqr Long-short Correlations

QLERX Fund

USD 17.07 0.08 0.47%

The current 90-days correlation between Aqr Long Short and Aqr Large Cap is 0.56 (i.e., Very weak diversification). The correlation of Aqr Long-short 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 Long-short Correlation With Market

Poor diversification

The correlation between Aqr Long Short Equity and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity 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 Long Short Equity. 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

0.86	AMONX	Aqr Large Cap	Pair Corr
0.86	AMOMX	Aqr Large Cap	Pair Corr
1.0	QLENX	Aqr Long Short	Pair Corr
1.0	QLEIX	Aqr Long Short	Pair Corr
0.96	QMNNX	Aqr Equity Market	Pair Corr
0.96	QMNIX	Aqr Equity Market	Pair Corr
0.96	QMNRX	Aqr Equity Market	Pair Corr
0.86	QMORX	Aqr Large Cap	Pair Corr
0.84	AQGRX	Aqr Global Equity	Pair Corr
0.84	AQGNX	Aqr Global Equity	Pair Corr
0.84	AQGIX	Aqr Global Equity	Pair Corr
0.78	QNZIX	Aqr Sustainable Long	Pair Corr
0.79	QNZRX	Aqr Sustainable Long	Pair Corr
0.78	QNZNX	Aqr Sustainable Long	Pair Corr
0.88	ASMOX	Aqr Small Cap	Pair Corr
0.88	ASMNX	Aqr Small Cap	Pair Corr
0.81	AUEIX	Aqr Large Cap	Pair Corr
0.81	AUENX	Aqr Large Cap	Pair Corr
0.87	QSERX	Aqr Small Cap	Pair Corr

Moving against Aqr Mutual Fund

0.8	ANDRX	Aqr International	Pair Corr
0.8	ANDNX	Aqr International	Pair Corr
0.8	ANDIX	Aqr International	Pair Corr
0.48	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.48	AIMOX	Aqr International	Pair Corr
0.48	AIONX	Aqr International	Pair Corr
0.46	QGMIX	Aqr Global Macro	Pair Corr
0.45	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.44	QDARX	Aqr Diversified Arbitrage	Pair Corr

Related Correlations Analysis

	AMONX	AMOMX	ANDRX	ANDNX	QLENX	QLERX	QMHIX	QMHRX	QMHNX
AMONX		1.0	-0.66	-0.67	0.86	0.86	0.47	0.48	0.46	AMONX
AMOMX	1.0		-0.66	-0.67	0.86	0.86	0.47	0.48	0.46	AMOMX
ANDRX	-0.66	-0.66		1.0	-0.8	-0.8	-0.07	-0.07	-0.06	ANDRX
ANDNX	-0.67	-0.67	1.0		-0.8	-0.8	-0.07	-0.07	-0.07	ANDNX
QLENX	0.86	0.86	-0.8	-0.8		1.0	0.47	0.47	0.46	QLENX
QLERX	0.86	0.86	-0.8	-0.8	1.0		0.46	0.47	0.46	QLERX
QMHIX	0.47	0.47	-0.07	-0.07	0.47	0.46		1.0	1.0	QMHIX
QMHRX	0.48	0.48	-0.07	-0.07	0.47	0.47	1.0		1.0	QMHRX
QMHNX	0.46	0.46	-0.06	-0.07	0.46	0.46	1.0	1.0		QMHNX
	AMONX	AMOMX	ANDRX	ANDNX	QLENX	QLERX	QMHIX	QMHRX	QMHNX

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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
ANDNX	+ 1.0	ANDRX
QLERX	+ 1.0	QLENX
QMHRX	+ 1.0	QMHIX
QMHNX	+ 1.0	QMHIX
QMHNX	+ 1.0	QMHRX

High negative correlations

QLERX	- 0.8	ANDNX
QLENX	- 0.8	ANDNX
QLERX	- 0.8	ANDRX
QLENX	- 0.8	ANDRX
ANDNX	- 0.67	AMOMX
ANDNX	- 0.67	AMONX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Long-short 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 Long-short'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	0.71	0.03	0.03	0.15	0.85	(0.76)	1.63	(1.30)	4.55
AMOMX	0.71	0.03	0.03	0.15	0.84	(0.76)	1.67	(1.30)	4.55
ANDRX	0.54	(0.11)	0.00	(0.16)	0.00	0.00	1.22	(1.08)	3.04
ANDNX	0.53	(0.11)	0.00	(0.16)	0.00	0.00	1.24	(1.11)	2.99
QLENX	0.32	0.05	(0.05)	0.28	0.15	(0.39)	0.76	(0.57)	2.17
QLERX	0.31	0.06	(0.05)	0.28	0.11	(0.37)	0.75	(0.61)	2.22
QMHIX	0.54	0.00	(0.07)	0.13	0.59	(0.58)	1.21	(0.99)	2.72
QMHRX	0.55	0.00	(0.07)	0.13	0.62	(0.57)	1.21	(0.99)	2.71
QMHNX	0.55	0.00	(0.07)	0.13	0.64	(0.55)	1.21	(0.98)	2.85

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