Aqr Large Correlations

AUEIX Fund

USD 21.76 0.01 0.05%

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

Good diversification

The correlation between Aqr Large Cap and DJI is -0.01 (i.e., Good 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 gross domestic product.

Moving together with Aqr Mutual Fund

0.66	CSJZX	Cohen Steers Realty	Pair Corr
0.66	CSRSX	Cohen Steers Realty	Pair Corr

Moving against Aqr Mutual Fund

0.33	ERH	Allspring Utilities And	Pair Corr
0.57	CAT	Caterpillar	Pair Corr
0.57	DD	Dupont De Nemours	Pair Corr
0.46	AXP	American Express	Pair Corr
0.46	MMM	3M Company	Pair Corr
0.43	XOM	Exxon Mobil Corp	Pair Corr
0.42	BAC	Bank of America	Pair Corr

Related Correlations Analysis

	CHTTX	PKSAX	RYCOX	PRASX	PIRMX	HSVRX	NOMIX	SSDQX	OILGX
CHTTX		0.74	-0.19	-0.38	-0.13	0.67	0.8	0.0	-0.22	CHTTX
PKSAX	0.74		-0.46	-0.45	-0.58	0.32	0.66	-0.34	-0.46	PKSAX
RYCOX	-0.19	-0.46		0.85	0.57	0.49	0.22	0.95	0.99	RYCOX
PRASX	-0.38	-0.45	0.85		0.37	0.22	0.07	0.85	0.85	PRASX
PIRMX	-0.13	-0.58	0.57	0.37		0.24	-0.06	0.58	0.55	PIRMX
HSVRX	0.67	0.32	0.49	0.22	0.24		0.87	0.6	0.45	HSVRX
NOMIX	0.8	0.66	0.22	0.07	-0.06	0.87		0.39	0.19	NOMIX
SSDQX	0.0	-0.34	0.95	0.85	0.58	0.6	0.39		0.93	SSDQX
OILGX	-0.22	-0.46	0.99	0.85	0.55	0.45	0.19	0.93		OILGX
	CHTTX	PKSAX	RYCOX	PRASX	PIRMX	HSVRX	NOMIX	SSDQX	OILGX

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

OILGX	+ 0.99	RYCOX
SSDQX	+ 0.95	RYCOX
OILGX	+ 0.93	SSDQX
NOMIX	+ 0.87	HSVRX
PRASX	+ 0.85	RYCOX
SSDQX	+ 0.85	PRASX

High negative correlations

PIRMX	- 0.58	PKSAX
OILGX	- 0.46	PKSAX
RYCOX	- 0.46	PKSAX
PRASX	- 0.45	PKSAX
PRASX	- 0.38	CHTTX
SSDQX	- 0.34	PKSAX

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
CHTTX	0.66	(0.04)	(0.06)	0.02	0.79	(0.69)	1.91	(1.38)	3.91
PKSAX	0.71	(0.15)	0.00	(0.09)	0.00	0.00	1.71	(1.57)	3.74
RYCOX	0.76	0.04	0.04	0.11	1.11	(0.75)	1.82	(2.05)	4.69
PRASX	0.78	0.06	0.04	0.14	0.96	(0.84)	1.41	(1.32)	5.20
PIRMX	0.26	0.04	(0.08)	(7.54)	0.18	(0.31)	0.54	(0.43)	1.83
HSVRX	0.80	(0.03)	(0.02)	0.04	1.04	(0.85)	2.07	(1.60)	5.53
NOMIX	0.73	(0.05)	(0.05)	0.02	0.97	(0.73)	1.60	(1.60)	4.44
SSDQX	0.45	0.02	0.00	0.09	0.62	(0.46)	1.01	(0.98)	3.02
OILGX	0.78	0.03	0.02	0.09	1.11	(0.77)	1.79	(1.95)	4.75

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