Aqr Global Correlations

Mutual Funds . USA . 
Fund . Aqr Global Equity
AQGNX Fund  USD 11.05  0.01  0.09%   
The current 90-days correlation between Aqr Global Equity and Franklin Mutual Global is 0.28 (i.e., Modest diversification). The correlation of Aqr Global 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 Global Correlation With Market

Poor diversification

The correlation between Aqr Global Equity and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Global Equity 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 Global Equity. 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

  0.65ANDRX Aqr InternationalPairCorr
  0.65ANDNX Aqr InternationalPairCorr
  0.65ANDIX Aqr InternationalPairCorr
  0.64QLENX Aqr Long ShortPairCorr
  0.64QLERX Aqr Long ShortPairCorr
  1.0AQGRX Aqr Global EquityPairCorr
  1.0AQGIX Aqr Global EquityPairCorr
  0.79AQRRX Aqr Risk ParityPairCorr
  0.79AQRNX Aqr Risk ParityPairCorr
  0.79AQRIX Aqr Risk ParityPairCorr
  0.71QNZIX Aqr Sustainable LongPairCorr
  0.71QNZRX Aqr Sustainable LongPairCorr
  0.71QNZNX Aqr Sustainable LongPairCorr
  0.78AUEIX Aqr Large CapPairCorr
  0.78AUENX Aqr Large CapPairCorr
  0.61QRPRX Aqr Alternative RiskPairCorr
  0.61QRPNX Aqr Alternative RiskPairCorr
  0.61QRPIX Aqr Alternative RiskPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between AQR Mutual Fund performing well and Aqr Global 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 Global'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
TEDRX  0.67  0.00  0.00 (0.06) 0.00 
 0.00 
 1.00 
(1.50)
 7.49 
FMDRX  0.66  0.01  0.00 (0.05) 0.00 
 0.00 
 0.98 
(1.52)
 7.11 
DOXWX  0.82 (0.07) 0.00 (0.17) 0.00 
 0.00 
 1.28 
(1.11)
 13.02 
DODWX  0.83 (0.07) 0.00 (0.17) 0.00 
 0.00 
 1.28 
(1.11)
 13.09 
TRZRX  0.73  0.06  0.08  0.02  0.93 
(0.80)
 1.46 
(1.29)
 3.50 
TEDIX  0.66  0.01  0.00 (0.06) 0.00 
 0.00 
 1.01 
(1.47)
 7.35 
MDISX  0.66  0.01  0.00 (0.05) 0.00 
 0.00 
 1.01 
(1.49)
 7.10 
TEDSX  0.66  0.00  0.00 (0.06) 0.00 
 0.00 
 1.00 
(1.52)
 7.25 
PRAFX  0.73  0.05  0.08  0.02  0.96 
(0.77)
 1.45 
(1.26)
 3.48 
BEGRX  0.63  0.02  0.00 (0.03) 0.00 
 0.00 
 1.18 
(1.58)
 3.24 

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