Aqr Large Correlations

AMOMX Fund

USD 23.45 0.10 0.43%

The current 90-days correlation between Aqr Large Cap and Putnam Dynamic Asset 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

Almost no diversification

The correlation between Aqr Large Cap and DJI is 0.95 (i.e., Almost no 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 population.

Moving together with Aqr Mutual Fund

0.96	AMONX	Aqr Large Cap	Pair Corr
0.89	ANDRX	Aqr International	Pair Corr
0.89	ANDNX	Aqr International	Pair Corr
0.89	ANDIX	Aqr International	Pair Corr
0.94	QLENX	Aqr Long Short	Pair Corr
0.94	QLEIX	Aqr Long Short	Pair Corr
0.94	QLERX	Aqr Long Short	Pair Corr
0.92	QMNNX	Aqr Equity Market	Pair Corr
0.9	QMNIX	Aqr Equity Market	Pair Corr
0.91	QMNRX	Aqr Equity Market	Pair Corr
1.0	QMORX	Aqr Large Cap	Pair Corr
0.98	AQGRX	Aqr Global Equity	Pair Corr
0.98	AQGNX	Aqr Global Equity	Pair Corr
0.98	AQGIX	Aqr Global Equity	Pair Corr
0.83	AQRRX	Aqr Risk Parity	Pair Corr
0.82	AQRNX	Aqr Risk Parity	Pair Corr
0.83	AQRIX	Aqr Risk Parity	Pair Corr
0.87	QNZIX	Aqr Sustainable Long	Pair Corr
0.87	QNZRX	Aqr Sustainable Long	Pair Corr
0.87	QNZNX	Aqr Sustainable Long	Pair Corr
0.99	ASMOX	Aqr Small Cap	Pair Corr
0.94	ASMNX	Aqr Small Cap	Pair Corr
0.88	AUEIX	Aqr Large Cap	Pair Corr
0.88	AUENX	Aqr Large Cap	Pair Corr
0.89	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.9	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.93	QSERX	Aqr Small Cap	Pair Corr

Related Correlations Analysis

	PAGYX	BRRAY	LBHIX	ABHYX	MSTSX	VIASP	KNO	XTWO	KNF	AMPL
PAGYX		0.6	0.94	-0.04	0.94	0.93	0.99	0.39	0.03	-0.09	PAGYX
BRRAY	0.6		0.66	-0.04	0.6	0.58	0.56	0.53	-0.55	0.18	BRRAY
LBHIX	0.94	0.66		0.14	0.97	0.95	0.91	0.48	-0.14	-0.02	LBHIX
ABHYX	-0.04	-0.04	0.14		0.05	0.03	-0.1	-0.32	0.02	-0.22	ABHYX
MSTSX	0.94	0.6	0.97	0.05		0.93	0.93	0.41	-0.05	-0.08	MSTSX
VIASP	0.93	0.58	0.95	0.03	0.93		0.91	0.55	-0.07	-0.04	VIASP
KNO	0.99	0.56	0.91	-0.1	0.93	0.91		0.41	0.08	-0.07	KNO
XTWO	0.39	0.53	0.48	-0.32	0.41	0.55	0.41		-0.54	0.29	XTWO
KNF	0.03	-0.55	-0.14	0.02	-0.05	-0.07	0.08	-0.54		-0.22	KNF
AMPL	-0.09	0.18	-0.02	-0.22	-0.08	-0.04	-0.07	0.29	-0.22		AMPL
	PAGYX	BRRAY	LBHIX	ABHYX	MSTSX	VIASP	KNO	XTWO	KNF	AMPL

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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

KNO	+ 0.99	PAGYX
MSTSX	+ 0.97	LBHIX
VIASP	+ 0.95	LBHIX
LBHIX	+ 0.94	PAGYX
MSTSX	+ 0.94	PAGYX
VIASP	+ 0.93	PAGYX

High negative correlations

KNF	- 0.55	BRRAY
KNF	- 0.54	XTWO
XTWO	- 0.32	ABHYX
AMPL	- 0.22	KNF
AMPL	- 0.22	ABHYX
KNF	- 0.14	LBHIX

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
PAGYX	0.82	0.06	0.04	0.11	1.39	(0.77)	1.74	(1.50)	9.47
BRRAY	1.07	0.21	0.00	(3.43)	0.00	0.00	0.57	(0.57)	22.37
LBHIX	0.24	0.03	0.00	0.92	0.28	(0.34)	0.72	(0.49)	1.94
ABHYX	0.38	(0.05)	0.00	1.25	0.00	0.00	0.58	(1.52)	4.20
MSTSX	0.82	0.10	0.04	(1.04)	1.27	(0.86)	1.87	(1.54)	10.06
VIASP	0.64	0.12	0.11	1.12	0.67	(0.73)	1.81	(1.03)	4.84
KNO	0.86	0.07	0.04	0.11	1.44	(0.84)	1.52	(1.20)	9.57
XTWO	0.09	0.01	(0.13)	(0.34)	0.00	(0.10)	0.20	(0.22)	0.75
KNF	2.47	(0.27)	0.00	(0.13)	0.00	0.00	4.58	(5.26)	19.80
AMPL	6.18	0.47	0.06	(1.32)	6.09	(8.96)	15.83	(12.71)	47.72

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