Aqr Large Correlations

AMONX Fund

USD 20.71 0.34 1.67%

The current 90-days correlation between Aqr Large Cap and Global Diversified Income is 0.25 (i.e., Modest 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

Good diversification

The correlation between Aqr Large Cap and DJI is -0.11 (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 board of governors.

Moving together with Aqr Mutual Fund

0.91	AMOMX	Aqr Large Cap	Pair Corr
0.89	QSERX	Aqr Small Cap	Pair Corr
0.96	GFAFX	Growth Fund	Pair Corr
0.79	IHIFX	Ivy High Income	Pair Corr
0.8	IVHIX	Ivy High Income	Pair Corr

Moving against Aqr Mutual Fund

0.57	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.54	QGMIX	Aqr Global Macro	Pair Corr
0.36	AQMNX	Aqr Managed Futures	Pair Corr

Related Correlations Analysis

	PGBAX	SRDAX	ACDOX	BDVFX	CDBCX	CDEYX
PGBAX		-0.42	0.96	0.87	0.94	0.37	PGBAX
SRDAX	-0.42		-0.54	-0.55	-0.58	0.13	SRDAX
ACDOX	0.96	-0.54		0.92	0.99	0.19	ACDOX
BDVFX	0.87	-0.55	0.92		0.93	0.24	BDVFX
CDBCX	0.94	-0.58	0.99	0.93		0.18	CDBCX
CDEYX	0.37	0.13	0.19	0.24	0.18		CDEYX
	PGBAX	SRDAX	ACDOX	BDVFX	CDBCX	CDEYX

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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

CDBCX	+ 0.99	ACDOX
ACDOX	+ 0.96	PGBAX
CDBCX	+ 0.94	PGBAX
CDBCX	+ 0.93	BDVFX
BDVFX	+ 0.92	ACDOX
BDVFX	+ 0.87	PGBAX

High negative correlations

CDBCX	- 0.58	SRDAX
BDVFX	- 0.55	SRDAX
ACDOX	- 0.54	SRDAX
SRDAX	- 0.42	PGBAX

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
PGBAX	0.14	0.00	0.38	(0.04)	0.12	(0.18)	0.34	(0.25)	0.85
SRDAX	0.16	0.00	0.27	(0.07)	0.17	(0.20)	0.29	(0.37)	0.76
ACDOX	0.25	0.00	0.24	(0.07)	0.26	(0.30)	0.55	(0.44)	1.46
BDVFX	0.26	0.00	0.00	(0.11)	0.00	0.00	0.54	(0.54)	1.59
CDBCX	0.24	0.00	0.22	(0.01)	0.26	(0.30)	0.56	(0.44)	1.34
CDEYX	0.76	(0.14)	0.00	1.60	0.00	0.00	1.27	(1.45)	7.47

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