Aqr Small Correlations

QSERX Fund

USD 16.14 0.10 0.62%

The current 90-days correlation between Aqr Small Cap and Tiaa Cref Large Cap Value is 0.01 (i.e., Significant diversification). The correlation of Aqr Small 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 Small Correlation With Market

Poor diversification

The correlation between Aqr Small Cap 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 Small 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 Small 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 metropolitan statistical area.

Moving together with Aqr Mutual Fund

0.89	AMONX	Aqr Large Cap	Pair Corr
0.95	AMOMX	Aqr Large Cap	Pair Corr
1.0	QSMRX	Aqr Small Cap	Pair Corr
1.0	QSMLX	Aqr Small Cap	Pair Corr
1.0	QSMNX	Aqr Small Cap	Pair Corr
0.97	QCELX	Aqr Large Cap	Pair Corr
0.79	VSMAX	Vanguard Small Cap	Pair Corr
0.83	VSCIX	Vanguard Small Cap	Pair Corr
0.79	VSCPX	Vanguard Small Cap	Pair Corr
0.83	NAESX	Vanguard Small Cap	Pair Corr
0.83	FSSNX	Fidelity Small Cap	Pair Corr
0.86	DFSTX	Us Small Cap	Pair Corr
0.91	PASVX	T Rowe Price	Pair Corr
0.9	PRVIX	T Rowe Price	Pair Corr
0.9	TRZVX	T Rowe Price	Pair Corr
0.89	PRSVX	T Rowe Price	Pair Corr
0.67	VTSAX	Vanguard Total Stock	Pair Corr
0.63	VFIAX	Vanguard 500 Index	Pair Corr
0.67	VTSMX	Vanguard Total Stock	Pair Corr
0.74	VSMPX	Vanguard Total Stock	Pair Corr
0.74	VSTSX	Vanguard Total Stock	Pair Corr
0.74	VITSX	Vanguard Total Stock	Pair Corr
0.63	VFINX	Vanguard 500 Index	Pair Corr

Moving against Aqr Mutual Fund

0.69	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.64	QGMIX	Aqr Global Macro	Pair Corr
0.61	QSPNX	Aqr Style Premia	Pair Corr
0.59	QMHIX	Aqr Managed Futures	Pair Corr
0.53	AQMNX	Aqr Managed Futures	Pair Corr
0.53	AQMIX	Aqr Managed Futures	Pair Corr
0.66	RYUHX	Inverse Sp 500 Potential Growth	Pair Corr
0.38	IIBAX	Voya Intermediate Bond	Pair Corr
0.32	VTIAX	Vanguard Total Inter	Pair Corr
0.31	VGTSX	Vanguard Total Inter	Pair Corr

Related Correlations Analysis

	TRCPX	PAFDX	MSDVX	CBLSX	SMVLX	GMLVX	GVALX
TRCPX		0.82	0.87	0.24	0.41	0.5	0.52	TRCPX
PAFDX	0.82		0.91	0.4	0.38	0.57	0.43	PAFDX
MSDVX	0.87	0.91		0.22	0.22	0.71	0.37	MSDVX
CBLSX	0.24	0.4	0.22		0.35	0.22	0.7	CBLSX
SMVLX	0.41	0.38	0.22	0.35		-0.19	0.35	SMVLX
GMLVX	0.5	0.57	0.71	0.22	-0.19		0.33	GMLVX
GVALX	0.52	0.43	0.37	0.7	0.35	0.33		GVALX
	TRCPX	PAFDX	MSDVX	CBLSX	SMVLX	GMLVX	GVALX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

MSDVX	+ 0.91	PAFDX
MSDVX	+ 0.87	TRCPX
PAFDX	+ 0.82	TRCPX
GMLVX	+ 0.71	MSDVX
GVALX	+ 0.7	CBLSX
GMLVX	+ 0.57	PAFDX

High negative correlations

GMLVX

- 0.19

SMVLX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Small 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 Small'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
TRCPX	0.65	(0.04)	0.00	0.32	0.00	0.00	1.21	(1.53)	3.55
PAFDX	0.71	(0.03)	0.00	(0.12)	0.00	0.00	1.23	(1.30)	6.65
MSDVX	0.59	0.06	0.10	0.02	0.79	(0.61)	1.18	(1.32)	3.16
CBLSX	1.06	(0.32)	0.00	(0.41)	0.00	0.00	1.17	(1.57)	24.96
SMVLX	0.80	(0.05)	0.00	(0.14)	0.00	0.00	1.31	(1.85)	3.48
GMLVX	0.69	0.06	0.10	0.06	0.90	(0.75)	1.57	(1.62)	5.51
GVALX	0.78	(0.18)	0.00	0.59	0.00	0.00	1.06	(1.22)	10.37

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC