Aqr Large Correlations

QCENX Fund

USD 18.31 0.04 0.22%

The current 90-days correlation between Aqr Large Cap and Us Government Securities is 0.01 (i.e., Significant 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 Your Equity Center 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

0.99	QMORX	Aqr Large Cap	Pair Corr
0.62	AQGNX	Aqr Global Equity	Pair Corr
0.61	AQGIX	Aqr Global Equity	Pair Corr
0.97	ASMOX	Aqr Small Cap	Pair Corr
0.9	ASMNX	Aqr Small Cap	Pair Corr
0.78	AUEIX	Aqr Large Cap	Pair Corr
0.78	AUENX	Aqr Large Cap	Pair Corr

Moving against Aqr Mutual Fund

0.51	QMNNX	Aqr Equity Market	Pair Corr
0.51	QMNIX	Aqr Equity Market	Pair Corr
0.51	QMNRX	Aqr Equity Market	Pair Corr
0.49	QMHRX	Aqr Managed Futures	Pair Corr
0.49	QMHNX	Aqr Managed Futures	Pair Corr
0.33	QLEIX	Aqr Long Short	Pair Corr
0.6	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.49	QSPRX	Aqr Style Premia	Pair Corr
0.36	QRPRX	Aqr Alternative Risk	Pair Corr
0.36	QRPIX	Aqr Alternative Risk	Pair Corr

Related Correlations Analysis

	USGFX	VSBIX	PYUSX	SIGVX	FHNFX	TWARX
USGFX		0.98	0.98	0.95	1.0	0.97	USGFX
VSBIX	0.98		0.98	0.96	0.97	0.98	VSBIX
PYUSX	0.98	0.98		0.94	0.97	0.97	PYUSX
SIGVX	0.95	0.96	0.94		0.94	0.99	SIGVX
FHNFX	1.0	0.97	0.97	0.94		0.96	FHNFX
TWARX	0.97	0.98	0.97	0.99	0.96		TWARX
	USGFX	VSBIX	PYUSX	SIGVX	FHNFX	TWARX

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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
USGFX	0.25	0.05	0.43	1.48	0.04	(0.31)	0.60	(0.42)	1.55
VSBIX	0.07	0.00	1.04	0.00	0.00	(0.09)	0.16	(0.12)	0.33
PYUSX	0.13	0.02	0.58	1.24	0.00	(0.18)	0.32	(0.21)	0.74
SIGVX	0.06	0.02	0.79	1.07	0.00	(0.18)	0.31	(0.10)	0.61
FHNFX	0.22	0.04	0.38	1.49	0.09	(0.26)	0.56	(0.43)	1.23
TWARX	0.09	0.02	0.71	10.90	0.00	(0.15)	0.33	(0.11)	0.56

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