Aqr Style Correlations

QSPIX Fund

USD 8.42 0.02 0.24%

The current 90-days correlation between Aqr Style Premia and Ep Emerging Markets is 0.19 (i.e., Average diversification). The correlation of Aqr Style 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 Style Correlation With Market

Significant diversification

The correlation between Aqr Style Premia and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Style Premia 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 Style Premia. 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

0.88	BIMBX	Blackrock Alternative	Pair Corr
0.87	BAMBX	Blackrock Alternative	Pair Corr
0.86	BMBCX	Blackrock Alternative	Pair Corr
0.88	BKMBX	Blackrock Systematic	Pair Corr
1.0	QSPRX	Aqr Style Premia	Pair Corr
0.88	NHS	Neuberger Berman High	Pair Corr
0.94	JNJ	Johnson Johnson	Pair Corr
0.76	VZ	Verizon Communications	Pair Corr
0.68	MCD	McDonalds	Pair Corr
0.63	IBM	International Business	Pair Corr
0.74	T	ATT Inc Earnings Call This Week	Pair Corr

Moving against Aqr Mutual Fund

0.54	AA	Alcoa Corp	Pair Corr
0.52	AXP	American Express	Pair Corr
0.55	MSFT	Microsoft	Pair Corr
0.45	MRK	Merck Company	Pair Corr
0.44	DIS	Walt Disney	Pair Corr
0.42	BAC	Bank of America	Pair Corr
0.38	HD	Home Depot	Pair Corr

Related Correlations Analysis

	EPASX	XJMMX	SEDAX	FEMDX	TEOJX	DBELX
EPASX		0.66	0.83	0.71	0.95	0.93	EPASX
XJMMX	0.66		0.86	0.81	0.69	0.79	XJMMX
SEDAX	0.83	0.86		0.95	0.88	0.95	SEDAX
FEMDX	0.71	0.81	0.95		0.81	0.84	FEMDX
TEOJX	0.95	0.69	0.88	0.81		0.94	TEOJX
DBELX	0.93	0.79	0.95	0.84	0.94		DBELX
	EPASX	XJMMX	SEDAX	FEMDX	TEOJX	DBELX

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Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Style 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 Style'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
EPASX	0.54	0.02	0.10	0.02	0.67	(0.57)	1.02	(1.17)	3.67
XJMMX	0.19	0.00	0.18	(0.25)	0.22	(0.26)	0.46	(0.46)	0.92
SEDAX	0.25	0.03	0.27	0.33	0.19	(0.33)	0.59	(0.36)	1.19
FEMDX	0.15	0.02	0.42	0.29	0.00	(0.20)	0.42	(0.26)	1.11
TEOJX	0.78	0.10	0.14	0.19	0.92	(0.85)	1.54	(1.53)	5.83
DBELX	0.33	0.03	0.24	0.25	0.28	(0.44)	0.71	(0.58)	1.78

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