Aqr Managed Correlations

AQMIX Fund

USD 9.63 0.04 0.41%

The current 90-days correlation between Aqr Managed Futures and Aqr Diversified Arbitrage is -0.16 (i.e., Good 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

Modest diversification

The correlation between Aqr Managed Futures and DJI is 0.29 (i.e., Modest 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 Trending Equities 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 gross domestic product.

Moving together with Aqr Mutual Fund

0.74	QLEIX	Aqr Long Short	Pair Corr
0.74	QLERX	Aqr Long Short	Pair Corr
0.98	QMHRX	Aqr Managed Futures	Pair Corr
0.98	QMHNX	Aqr Managed Futures	Pair Corr
0.81	QMNNX	Aqr Equity Market	Pair Corr
0.81	QMNIX	Aqr Equity Market	Pair Corr
0.81	QMNRX	Aqr Equity Market	Pair Corr
1.0	AQMRX	Aqr Managed Futures	Pair Corr
1.0	AQMNX	Aqr Managed Futures	Pair Corr
0.7	AQRRX	Aqr Risk Parity	Pair Corr
0.72	AQRNX	Aqr Risk Parity	Pair Corr
0.7	AQRIX	Aqr Risk Parity	Pair Corr
0.75	QNZIX	Aqr Sustainable Long	Pair Corr
0.8	ARCNX	Aqr Risk Balanced	Pair Corr
0.76	ARCIX	Aqr Risk Balanced	Pair Corr
0.91	QNZRX	Aqr Sustainable Long	Pair Corr
0.91	QNZNX	Aqr Sustainable Long	Pair Corr
0.76	QRCRX	Aqr Risk Balanced	Pair Corr
0.8	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.81	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.87	QRPRX	Aqr Alternative Risk	Pair Corr
0.87	QRPNX	Aqr Alternative Risk	Pair Corr
0.86	QRPIX	Aqr Alternative Risk	Pair Corr

Moving against Aqr Mutual Fund

0.58	AUENX	Aqr Large Cap	Pair Corr
0.56	AUEIX	Aqr Large Cap	Pair Corr

Related Correlations Analysis

	ADAIX	NOMIX	EAPCX	OILGX	ABSZX	WGROX	PIRMX	FHAOX	TRRIX
ADAIX		-0.03	0.87	0.26	-0.3	-0.58	0.87	0.58	0.55	ADAIX
NOMIX	-0.03		0.14	-0.08	0.73	0.73	0.17	0.67	0.4	NOMIX
EAPCX	0.87	0.14		0.13	-0.15	-0.48	0.74	0.63	0.44	EAPCX
OILGX	0.26	-0.08	0.13		0.3	-0.07	0.25	0.36	0.64	OILGX
ABSZX	-0.3	0.73	-0.15	0.3		0.71	-0.1	0.35	0.31	ABSZX
WGROX	-0.58	0.73	-0.48	-0.07	0.71		-0.29	0.19	0.09	WGROX
PIRMX	0.87	0.17	0.74	0.25	-0.1	-0.29		0.66	0.68	PIRMX
FHAOX	0.58	0.67	0.63	0.36	0.35	0.19	0.66		0.85	FHAOX
TRRIX	0.55	0.4	0.44	0.64	0.31	0.09	0.68	0.85		TRRIX
	ADAIX	NOMIX	EAPCX	OILGX	ABSZX	WGROX	PIRMX	FHAOX	TRRIX

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

EAPCX	+ 0.87	ADAIX
PIRMX	+ 0.87	ADAIX
TRRIX	+ 0.85	FHAOX
PIRMX	+ 0.74	EAPCX
ABSZX	+ 0.73	NOMIX
WGROX	+ 0.73	NOMIX

High negative correlations

WGROX	- 0.58	ADAIX
WGROX	- 0.48	EAPCX
ABSZX	- 0.3	ADAIX
PIRMX	- 0.29	WGROX
ABSZX	- 0.15	EAPCX
PIRMX	- 0.1	ABSZX

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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ADAIX	0.07	0.02	(0.47)	0.47	0.00	(0.11)	0.16	(0.08)	0.39
NOMIX	0.76	(0.06)	(0.05)	0.01	1.00	(0.76)	1.81	(1.60)	4.17
EAPCX	0.59	0.11	0.07	2.76	0.54	(0.68)	1.45	(1.00)	2.91
OILGX	1.00	(0.18)	0.00	(0.29)	0.00	0.00	1.79	(2.26)	14.72
ABSZX	0.79	(0.14)	0.00	(0.10)	0.00	0.00	1.55	(1.21)	7.88
WGROX	0.88	(0.15)	0.00	(0.05)	0.00	0.00	2.03	(1.91)	4.85
PIRMX	0.27	0.02	(0.09)	0.18	0.22	(0.31)	0.54	(0.44)	1.83
FHAOX	0.52	(0.01)	(0.03)	0.05	0.79	(0.49)	1.04	(1.26)	3.11
TRRIX	0.23	(0.03)	(0.21)	(0.03)	0.31	(0.25)	0.50	(0.49)	1.26

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2025 Macroaxis LLC