Aqr Managed Correlations

QMHRX Fund

USD 8.53 0.06 0.71%

The current 90-days correlation between Aqr Managed Futures and Cmg Ultra Short is 0.23 (i.e., Modest diversification). The correlation of Aqr Managed 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 Managed Correlation With Market

Good diversification

The correlation between Aqr Managed Futures and DJI is -0.08 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures 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 Managed Futures. 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

0.89	QLENX	Aqr Long Short	Pair Corr
0.89	QLEIX	Aqr Long Short	Pair Corr
0.89	QLERX	Aqr Long Short	Pair Corr
1.0	QMHIX	Aqr Managed Futures	Pair Corr
0.96	QMHNX	Aqr Managed Futures	Pair Corr
0.91	QMNNX	Aqr Equity Market	Pair Corr
0.91	QMNIX	Aqr Equity Market	Pair Corr
0.9	QMNRX	Aqr Equity Market	Pair Corr
0.96	AQMRX	Aqr Managed Futures	Pair Corr
1.0	AQMNX	Aqr Managed Futures	Pair Corr
1.0	AQMIX	Aqr Managed Futures	Pair Corr
0.93	QNZIX	Aqr Sustainable Long	Pair Corr
0.94	QNZRX	Aqr Sustainable Long	Pair Corr
0.94	QNZNX	Aqr Sustainable Long	Pair Corr
0.61	QRPRX	Aqr Alternative Risk	Pair Corr
0.61	QRPIX	Aqr Alternative Risk	Pair Corr

Moving against Aqr Mutual Fund

0.71	ANDNX	Aqr International	Pair Corr
0.71	ANDIX	Aqr International	Pair Corr
0.69	ANDRX	Aqr International	Pair Corr
0.6	AMOMX	Aqr Large Cap	Pair Corr
0.6	QMORX	Aqr Large Cap	Pair Corr
0.6	AQGRX	Aqr Global Equity	Pair Corr
0.57	AMONX	Aqr Large Cap	Pair Corr
0.57	AQGNX	Aqr Global Equity	Pair Corr
0.77	AUEIX	Aqr Large Cap	Pair Corr
0.77	AUENX	Aqr Large Cap	Pair Corr
0.71	ASMOX	Aqr Small Cap	Pair Corr
0.68	ASMNX	Aqr Small Cap	Pair Corr
0.61	AQGIX	Aqr Global Equity	Pair Corr
0.74	QTENX	Aqr Tm Emerging	Pair Corr
0.73	QTELX	Aqr Tm Emerging	Pair Corr
0.72	QTERX	Aqr Tm Emerging	Pair Corr
0.67	QSMRX	Aqr Small Cap	Pair Corr
0.62	QCELX	Aqr Large Cap	Pair Corr
0.61	QCERX	Aqr Large Cap	Pair Corr

Related Correlations Analysis

	CMGUX	TAAQX	FUEMX	TASTX	RSDIX	ATOAX	CWFIX
CMGUX		0.86	0.97	0.86	0.87	0.99	0.82	CMGUX
TAAQX	0.86		0.89	1.0	0.91	0.83	0.79	TAAQX
FUEMX	0.97	0.89		0.89	0.92	0.95	0.88	FUEMX
TASTX	0.86	1.0	0.89		0.91	0.83	0.79	TASTX
RSDIX	0.87	0.91	0.92	0.91		0.83	0.81	RSDIX
ATOAX	0.99	0.83	0.95	0.83	0.83		0.8	ATOAX
CWFIX	0.82	0.79	0.88	0.79	0.81	0.8		CWFIX
	CMGUX	TAAQX	FUEMX	TASTX	RSDIX	ATOAX	CWFIX

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Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Managed 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 Managed'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CMGUX	0.05	0.01	0.00	(1.35)	0.00	0.11	0.00	0.55
TAAQX	0.08	0.00	0.03	0.04	(0.17)	0.21	(0.10)	0.62
FUEMX	0.05	0.00	0.06	1.24	(0.19)	0.30	(0.10)	0.50
TASTX	0.08	0.00	0.03	0.04	(0.18)	0.21	(0.10)	0.62
RSDIX	0.09	0.00	0.04	(0.06)	(0.18)	0.21	(0.10)	0.72
ATOAX	0.03	0.00	0.00	(0.30)	0.00	0.10	0.00	0.40
CWFIX	0.08	0.01	0.08	0.56	(0.13)	0.21	(0.11)	0.42

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