Aqr International Correlations

ANDRX Fund

USD 14.77 0.14 0.96%

The current 90-days correlation between Aqr International and T Rowe Price is 0.17 (i.e., Average diversification). The correlation of Aqr International 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 International Correlation With Market

Very weak diversification

The correlation between Aqr International Defensive and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr International Defensive 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 International Defensive. 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

1.0	ANDNX	Aqr International	Pair Corr
1.0	ANDIX	Aqr International	Pair Corr
0.74	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.72	ADAIX	Aqr Diversified Arbitrage	Pair Corr

Moving against Aqr Mutual Fund

0.86	QMNNX	Aqr Equity Market	Pair Corr
0.86	QMNIX	Aqr Equity Market	Pair Corr
0.86	QMNRX	Aqr Equity Market	Pair Corr
0.82	QLEIX	Aqr Long Short	Pair Corr
0.82	QLERX	Aqr Long Short	Pair Corr
0.81	QLENX	Aqr Long Short	Pair Corr
0.7	AMOMX	Aqr Large Cap	Pair Corr
0.7	QMORX	Aqr Large Cap	Pair Corr
0.69	AMONX	Aqr Large Cap	Pair Corr
0.6	AQGRX	Aqr Global Equity	Pair Corr
0.6	AQGNX	Aqr Global Equity	Pair Corr
0.49	QNZIX	Aqr Sustainable Long	Pair Corr
0.65	ASMOX	Aqr Small Cap	Pair Corr
0.65	ASMNX	Aqr Small Cap	Pair Corr
0.65	QSMRX	Aqr Small Cap	Pair Corr
0.64	QSERX	Aqr Small Cap	Pair Corr
0.64	QSMLX	Aqr Small Cap	Pair Corr
0.64	QSMNX	Aqr Small Cap	Pair Corr
0.64	QCERX	Aqr Large Cap	Pair Corr
0.64	QCELX	Aqr Large Cap	Pair Corr
0.57	AUEIX	Aqr Large Cap	Pair Corr
0.57	AUENX	Aqr Large Cap	Pair Corr
0.49	QNZRX	Aqr Sustainable Long	Pair Corr
0.49	QNZNX	Aqr Sustainable Long	Pair Corr
0.49	QSPIX	Aqr Style Premia	Pair Corr
0.49	QSPRX	Aqr Style Premia	Pair Corr
0.47	QSPNX	Aqr Style Premia	Pair Corr

Related Correlations Analysis

	PATFX	IMLXX	PCMNX	PRFHX	GTCAX	OWMBX
PATFX		-0.12	0.93	1.0	-0.02	0.86	PATFX
IMLXX	-0.12		-0.44	-0.08	0.75	-0.57	IMLXX
PCMNX	0.93	-0.44		0.91	-0.31	0.98	PCMNX
PRFHX	1.0	-0.08	0.91		0.02	0.83	PRFHX
GTCAX	-0.02	0.75	-0.31	0.02		-0.42	GTCAX
OWMBX	0.86	-0.57	0.98	0.83	-0.42		OWMBX
	PATFX	IMLXX	PCMNX	PRFHX	GTCAX	OWMBX

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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

PRFHX	+ 1.0	PATFX
OWMBX	+ 0.98	PCMNX
PCMNX	+ 0.93	PATFX
PRFHX	+ 0.91	PCMNX
OWMBX	+ 0.86	PATFX
OWMBX	+ 0.83	PRFHX

High negative correlations

OWMBX	- 0.57	IMLXX
PCMNX	- 0.44	IMLXX
OWMBX	- 0.42	GTCAX
GTCAX	- 0.31	PCMNX
IMLXX	- 0.12	PATFX
PRFHX	- 0.08	IMLXX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr International 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 International'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
PATFX	0.16	0.02	(0.25)	(0.12)	0.21	(0.24)	0.44	(0.35)	1.69
IMLXX	0.03	0.01	0.00	(2.04)	0.00	0.00	0.00	0.00	1.01
PCMNX	0.12	0.01	(0.37)	0.02	0.17	(0.16)	0.25	(0.25)	1.07
PRFHX	0.16	0.03	(0.25)	(0.14)	0.20	(0.23)	0.44	(0.44)	1.61
GTCAX	0.50	0.05	(0.04)	0.23	0.44	(0.56)	1.09	(0.98)	2.92
OWMBX	0.11	0.00	(0.53)	0.12	0.15	(0.16)	0.26	(0.26)	0.87

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