Aqr Equity Correlations

QMNIX Fund

USD 10.40 0.05 0.48%

The current 90-days correlation between Aqr Equity Market and Inverse Government Long is 0.28 (i.e., Modest diversification). The correlation of Aqr Equity 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 Equity Correlation With Market

Modest diversification

The correlation between Aqr Equity Market and DJI is 0.25 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Equity Market 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 Equity Market. 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 gross domestic product.

Moving together with Aqr Mutual Fund

0.74	AMONX	Aqr Large Cap	Pair Corr
0.75	AMOMX	Aqr Large Cap	Pair Corr
0.97	QLENX	Aqr Long Short	Pair Corr
0.97	QLEIX	Aqr Long Short	Pair Corr
0.97	QLERX	Aqr Long Short	Pair Corr
1.0	QMNNX	Aqr Equity Market	Pair Corr
1.0	QMNRX	Aqr Equity Market	Pair Corr
0.71	AQGNX	Aqr Global Equity	Pair Corr
0.66	QNZIX	Aqr Sustainable Long	Pair Corr
0.78	ASMOX	Aqr Small Cap	Pair Corr
0.78	ASMNX	Aqr Small Cap	Pair Corr
0.74	AUEIX	Aqr Large Cap	Pair Corr
0.73	AUENX	Aqr Large Cap	Pair Corr
0.81	QSERX	Aqr Small Cap	Pair Corr
0.78	QSMRX	Aqr Small Cap	Pair Corr
0.81	QSMLX	Aqr Small Cap	Pair Corr
0.81	QSMNX	Aqr Small Cap	Pair Corr
0.71	QSPNX	Aqr Style Premia	Pair Corr
0.72	QSPRX	Aqr Style Premia	Pair Corr

Moving against Aqr Mutual Fund

0.86	ANDRX	Aqr International	Pair Corr
0.86	ANDNX	Aqr International	Pair Corr
0.86	ANDIX	Aqr International	Pair Corr
0.72	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.71	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.7	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.37	QTENX	Aqr Tm Emerging	Pair Corr
0.36	QTELX	Aqr Tm Emerging	Pair Corr

Related Correlations Analysis

	RYAQX	GSOSX	FRQXX	ICAXX	UIGSX	DIPXX	LCCXX	TWACX
RYAQX		-0.98	0.84	0.0	-0.97	0.82	0.0	-0.9	RYAQX
GSOSX	-0.98		-0.79	0.0	1.0	-0.76	0.0	0.95	GSOSX
FRQXX	0.84	-0.79		0.0	-0.75	0.97	0.0	-0.65	FRQXX
ICAXX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	ICAXX
UIGSX	-0.97	1.0	-0.75	0.0		-0.72	0.0	0.96	UIGSX
DIPXX	0.82	-0.76	0.97	0.0	-0.72		0.0	-0.62	DIPXX
LCCXX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	LCCXX
TWACX	-0.9	0.95	-0.65	0.0	0.96	-0.62	0.0		TWACX
	RYAQX	GSOSX	FRQXX	ICAXX	UIGSX	DIPXX	LCCXX	TWACX

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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

UIGSX	+ 1.0	GSOSX
DIPXX	+ 0.97	FRQXX
TWACX	+ 0.96	UIGSX
TWACX	+ 0.95	GSOSX
FRQXX	+ 0.84	RYAQX
DIPXX	+ 0.82	RYAQX

High negative correlations

GSOSX	- 0.98	RYAQX
UIGSX	- 0.97	RYAQX
TWACX	- 0.9	RYAQX
FRQXX	- 0.79	GSOSX
DIPXX	- 0.76	GSOSX
UIGSX	- 0.75	FRQXX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Equity 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 Equity'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
RYAQX	0.61	0.05	(0.05)	0.37	0.64	(0.72)	1.52	(1.27)	5.23
GSOSX	0.22	(0.02)	0.00	0.39	0.00	0.00	0.46	(0.69)	1.40
FRQXX	0.03	0.01	0.00	(2.04)	0.00	0.00	0.00	0.00	1.01
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
UIGSX	0.18	(0.01)	0.00	0.31	0.00	0.00	0.34	(0.45)	1.03
DIPXX	0.03	0.00	0.00	1.06	0.00	0.00	0.00	0.00	1.01
LCCXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
TWACX	0.08	(0.01)	(0.86)	0.43	0.10	(0.14)	0.11	(0.11)	0.78

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