Aqr Managed Correlations

AQMRX Fund

USD 8.81 0.10 1.15%

The current 90-days correlation between Aqr Managed Futures and Lord Abbett Health is 0.07 (i.e., Significant diversification). The correlation of Aqr Managed 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 Managed Correlation With Market

Good diversification

The correlation between Aqr Managed Futures and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures 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 Managed Futures. 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	QMHIX	Aqr Managed Futures	Pair Corr
1.0	QMHRX	Aqr Managed Futures	Pair Corr
1.0	AQMNX	Aqr Managed Futures	Pair Corr
1.0	AQMIX	Aqr Managed Futures	Pair Corr
0.66	AQRRX	Aqr Risk Parity	Pair Corr
0.64	AQRNX	Aqr Risk Parity	Pair Corr
0.64	AQRIX	Aqr Risk Parity	Pair Corr
0.91	QNZIX	Aqr Sustainable Long	Pair Corr
0.76	ARCNX	Aqr Risk Balanced	Pair Corr
0.76	ARCIX	Aqr Risk Balanced	Pair Corr
0.83	QRPNX	Aqr Alternative Risk	Pair Corr
0.8	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.89	QGMIX	Aqr Global Macro	Pair Corr
0.67	UGPIX	Ultrachina Profund Steady Growth	Pair Corr
0.67	UGPSX	Ultrachina Profund Steady Growth	Pair Corr
0.74	PYLMX	Payden Limited Maturity	Pair Corr
0.61	JAACX	Alternative Asset	Pair Corr
0.75	TAAQX	Transam Short Term	Pair Corr

Moving against Aqr Mutual Fund

0.66	QSERX	Aqr Small Cap	Pair Corr
0.53	AMONX	Aqr Large Cap	Pair Corr
0.53	AMOMX	Aqr Large Cap	Pair Corr
0.35	JHBCX	Jhancock Blue Chip	Pair Corr

Related Correlations Analysis

	LHCCX	LYFAX	BHSRX	HCPIX	LOGSX	BGHDX	HHCZX
LHCCX		0.87	0.76	0.63	0.81	0.13	0.42	LHCCX
LYFAX	0.87		0.87	0.88	0.82	0.02	0.53	LYFAX
BHSRX	0.76	0.87		0.86	0.85	-0.21	0.52	BHSRX
HCPIX	0.63	0.88	0.86		0.62	-0.07	0.66	HCPIX
LOGSX	0.81	0.82	0.85	0.62		-0.15	0.37	LOGSX
BGHDX	0.13	0.02	-0.21	-0.07	-0.15		0.01	BGHDX
HHCZX	0.42	0.53	0.52	0.66	0.37	0.01		HHCZX
	LHCCX	LYFAX	BHSRX	HCPIX	LOGSX	BGHDX	HHCZX

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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

HCPIX	+ 0.88	LYFAX
LYFAX	+ 0.87	LHCCX
BHSRX	+ 0.87	LYFAX
HCPIX	+ 0.86	BHSRX
LOGSX	+ 0.85	BHSRX
LOGSX	+ 0.82	LYFAX

High negative correlations

BGHDX	- 0.21	BHSRX
BGHDX	- 0.15	LOGSX
BGHDX	- 0.07	HCPIX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Managed 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 Managed'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
LHCCX	0.75	(0.01)	0.00	0.06	1.05	(0.71)	1.50	(1.44)	4.79
LYFAX	0.58	0.04	0.06	(0.73)	0.72	(0.58)	1.12	(1.18)	2.95
BHSRX	0.65	(0.01)	0.00	(0.03)	0.00	0.00	1.21	(1.25)	6.63
HCPIX	0.96	0.10	0.09	0.13	0.98	(1.08)	1.88	(1.86)	4.85
LOGSX	0.63	(0.02)	0.00	(0.30)	0.00	0.00	1.18	(1.09)	4.09
BGHDX	0.45	0.07	0.03	(0.56)	0.84	(1.57)	1.27	(0.85)	8.70
HHCZX	0.14	(0.01)	0.00	(0.10)	0.00	0.00	0.30	(0.30)	0.91

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