Aqr Small Correlations

QSERX Fund

USD 17.70 0.04 0.23%

The current 90-days correlation between Aqr Small Cap and Us Government Securities is 0.13 (i.e., Average diversification). The correlation of Aqr Small 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 Small Correlation With Market

Good diversification

The correlation between Aqr Small Cap and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Small Cap 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 Small 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 metropolitan statistical area.

Moving together with Aqr Mutual Fund

0.98	AMONX	Aqr Large Cap	Pair Corr
0.94	AQRRX	Aqr Risk Parity	Pair Corr
0.9	QNZIX	Aqr Sustainable Long	Pair Corr
0.96	QTERX	Aqr Tm Emerging	Pair Corr
0.89	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.88	VSMAX	Vanguard Small Cap	Pair Corr
0.88	VSCIX	Vanguard Small Cap	Pair Corr
0.88	VSCPX	Vanguard Small Cap	Pair Corr
0.88	NAESX	Vanguard Small Cap	Pair Corr
0.88	FSSNX	Fidelity Small Cap	Pair Corr
0.88	DFSTX	Us Small Cap	Pair Corr
0.9	PASVX	T Rowe Price	Pair Corr
0.87	PRVIX	T Rowe Price	Pair Corr
0.87	TRZVX	T Rowe Price	Pair Corr
0.95	PRSVX	T Rowe Price	Pair Corr
0.74	FSMMX	Fs Multi Strategy	Pair Corr
0.85	BTMPX	Ishares Msci Eafe	Pair Corr
0.85	BTMKX	Blackrock International	Pair Corr
0.85	MDIIX	Blackrock Intern Index	Pair Corr
0.84	MFIRX	Ms Global Fixed	Pair Corr
0.81	FGBRX	Templeton Global Bond	Pair Corr
0.88	DIAMX	Diamond Hill Long	Pair Corr
0.84	FCNTX	Fidelity Contrafund	Pair Corr
0.8	PYABX	Payden Absolute Return	Pair Corr
0.87	INPIX	Internet Ultrasector Steady Growth	Pair Corr
0.88	WMGAX	Ivy Mid Cap	Pair Corr
0.86	SCRZX	Small Cap Core	Pair Corr
0.89	GCSUX	Goldman Sachs Small	Pair Corr
0.79	TPCIX	Timothy Israel Mon Steady Growth	Pair Corr
0.87	PGHCX	Virtus High Yield	Pair Corr
0.84	USLUX	Us Global Investors	Pair Corr
0.82	LDMYX	Lord Abbett Emerging	Pair Corr
0.88	IIFAX	Vy Franklin Income	Pair Corr

Related Correlations Analysis

	RGVAX	ELMXX	SNGYX	SWGXX	PYUSX	IVMXX	CGTFX	TWUSX
RGVAX		-0.03	0.73	-0.04	0.6	-0.14	0.83	0.5	RGVAX
ELMXX	-0.03		0.06	0.71	0.2	0.94	-0.17	0.32	ELMXX
SNGYX	0.73	0.06		-0.12	0.91	0.01	0.9	0.83	SNGYX
SWGXX	-0.04	0.71	-0.12		0.0	0.66	-0.27	0.07	SWGXX
PYUSX	0.6	0.2	0.91	0.0		0.15	0.81	0.97	PYUSX
IVMXX	-0.14	0.94	0.01	0.66	0.15		-0.26	0.26	IVMXX
CGTFX	0.83	-0.17	0.9	-0.27	0.81	-0.26		0.7	CGTFX
TWUSX	0.5	0.32	0.83	0.07	0.97	0.26	0.7		TWUSX
	RGVAX	ELMXX	SNGYX	SWGXX	PYUSX	IVMXX	CGTFX	TWUSX

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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

TWUSX	+ 0.97	PYUSX
IVMXX	+ 0.94	ELMXX
PYUSX	+ 0.91	SNGYX
CGTFX	+ 0.9	SNGYX
CGTFX	+ 0.83	RGVAX
TWUSX	+ 0.83	SNGYX

High negative correlations

CGTFX	- 0.27	SWGXX
CGTFX	- 0.26	IVMXX
CGTFX	- 0.17	ELMXX
IVMXX	- 0.14	RGVAX
SWGXX	- 0.12	SNGYX
SWGXX	- 0.04	RGVAX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Small 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 Small'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
RGVAX	0.32	0.02	(0.10)	(0.41)	0.36	(0.33)	0.59	(0.67)	1.84
ELMXX	0.03	0.01	0.00	1.36	0.00	0.00	0.00	0.00	1.01
SNGYX	0.21	0.00	(0.18)	(0.04)	0.25	(0.25)	0.39	(0.49)	1.26
SWGXX	0.03	0.01	0.00	(2.04)	0.00	0.00	0.00	0.00	1.01
PYUSX	0.15	0.01	(0.26)	(0.20)	0.10	(0.20)	0.42	(0.32)	0.85
IVMXX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.01
CGTFX	0.32	0.01	(0.13)	(0.06)	0.39	(0.32)	0.59	(0.67)	1.83
TWUSX	0.11	0.01	(0.33)	(0.17)	0.00	(0.16)	0.22	(0.22)	0.66

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