Aqr Managed Correlations

AQMNX Fund

USD 9.50 0.02 0.21%

The current 90-days correlation between Aqr Managed Futures and Credit Suisse Multialternative is -0.2 (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 0.23 (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 state.

Moving together with Aqr Mutual Fund

0.78	QLENX	Aqr Long Short	Pair Corr
0.66	QLEIX	Aqr Long Short	Pair Corr
0.66	QLERX	Aqr Long Short	Pair Corr
0.84	QMHIX	Aqr Managed Futures	Pair Corr
0.99	QMHRX	Aqr Managed Futures	Pair Corr
0.85	QMHNX	Aqr Managed Futures	Pair Corr
0.7	QMNNX	Aqr Equity Market	Pair Corr
0.7	QMNIX	Aqr Equity Market	Pair Corr
0.72	QMNRX	Aqr Equity Market	Pair Corr
0.86	AQMRX	Aqr Managed Futures	Pair Corr
0.8	AQMIX	Aqr Managed Futures	Pair Corr
0.71	AQRRX	Aqr Risk Parity	Pair Corr
0.63	AQRIX	Aqr Risk Parity	Pair Corr
0.84	QNZIX	Aqr Sustainable Long	Pair Corr
0.67	ARCIX	Aqr Risk Balanced	Pair Corr
0.82	QNZRX	Aqr Sustainable Long	Pair Corr
0.82	QNZNX	Aqr Sustainable Long	Pair Corr
0.66	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.74	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.81	QRPNX	Aqr Alternative Risk	Pair Corr
0.81	QRPIX	Aqr Alternative Risk	Pair Corr
0.74	QTERX	Aqr Tm Emerging	Pair Corr

Moving against Aqr Mutual Fund

0.49	QUERX	Aqr Large Cap	Pair Corr
0.39	AUENX	Aqr Large Cap	Pair Corr
0.38	AUEIX	Aqr Large Cap	Pair Corr

Related Correlations Analysis

	CSQIX	EVOIX	AUNYX	LFTAX	QCILIX	AUNOX	AUNCX	QMHIX
CSQIX		-0.09	-0.34	0.05	0.21	-0.32	-0.36	-0.04	CSQIX
EVOIX	-0.09		0.66	0.88	0.42	0.63	0.56	0.51	EVOIX
AUNYX	-0.34	0.66		0.72	0.32	0.97	0.97	0.7	AUNYX
LFTAX	0.05	0.88	0.72		0.25	0.74	0.63	0.8	LFTAX
QCILIX	0.21	0.42	0.32	0.25		0.25	0.27	-0.13	QCILIX
AUNOX	-0.32	0.63	0.97	0.74	0.25		0.95	0.75	AUNOX
AUNCX	-0.36	0.56	0.97	0.63	0.27	0.95		0.67	AUNCX
QMHIX	-0.04	0.51	0.7	0.8	-0.13	0.75	0.67		QMHIX
	CSQIX	EVOIX	AUNYX	LFTAX	QCILIX	AUNOX	AUNCX	QMHIX

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

AUNOX	+ 0.97	AUNYX
AUNCX	+ 0.97	AUNYX
AUNCX	+ 0.95	AUNOX
LFTAX	+ 0.88	EVOIX
QMHIX	+ 0.8	LFTAX
QMHIX	+ 0.75	AUNOX

High negative correlations

AUNCX	- 0.36	CSQIX
AUNYX	- 0.34	CSQIX
AUNOX	- 0.32	CSQIX
QMHIX	- 0.13	QCILIX
EVOIX	- 0.09	CSQIX
QMHIX	- 0.04	CSQIX

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
CSQIX	0.32	0.00	(0.16)	0.22	0.34	(0.37)	0.86	(0.62)	1.61
EVOIX	0.49	0.08	0.02	0.94	0.54	(0.54)	1.07	(1.05)	3.60
AUNYX	0.09	0.01	(0.53)	0.46	0.00	(0.15)	0.28	(0.09)	0.56
LFTAX	0.35	0.08	0.04	1.32	0.25	(0.41)	0.76	(0.66)	2.76
QCILIX	0.10	(0.01)	(0.54)	(0.12)	0.11	(0.10)	0.18	(0.15)	0.62
AUNOX	0.10	0.01	(0.48)	2.43	0.00	(0.16)	0.28	(0.09)	0.56
AUNCX	0.08	0.01	(0.56)	0.65	0.00	(0.15)	0.18	(0.09)	0.56
QMHIX	0.64	0.11	0.05	6.95	0.85	(0.65)	1.24	(1.31)	4.57

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