Aqr Style Correlations

QSPNX Fund

USD 8.31 0.01 0.12%

The current 90-days correlation between Aqr Style Premia and Invesco Energy Fund is 0.16 (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

Good diversification

The correlation between Aqr Style Premia 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 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 board of governors.

Moving together with Aqr Mutual Fund

0.69	ANDRX	Aqr International	Pair Corr
0.91	ANDNX	Aqr International	Pair Corr
0.69	ANDIX	Aqr International	Pair Corr
0.95	QLENX	Aqr Long Short	Pair Corr
0.95	QLEIX	Aqr Long Short	Pair Corr
0.95	QLERX	Aqr Long Short	Pair Corr
0.9	QMHIX	Aqr Managed Futures	Pair Corr
0.98	QMNNX	Aqr Equity Market	Pair Corr
0.85	AQMRX	Aqr Managed Futures	Pair Corr
0.85	AQMNX	Aqr Managed Futures	Pair Corr
0.85	AQMIX	Aqr Managed Futures	Pair Corr
0.68	AQRRX	Aqr Risk Parity	Pair Corr
0.68	AQRNX	Aqr Risk Parity	Pair Corr
0.68	AQRIX	Aqr Risk Parity	Pair Corr
0.66	QNZIX	Aqr Sustainable Long	Pair Corr
0.81	ARCNX	Aqr Risk Balanced	Pair Corr
0.81	ARCIX	Aqr Risk Balanced	Pair Corr
0.66	QNZRX	Aqr Sustainable Long	Pair Corr
0.65	QNZNX	Aqr Sustainable Long	Pair Corr
0.97	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.97	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.65	QRPRX	Aqr Alternative Risk	Pair Corr
0.98	QRPNX	Aqr Alternative Risk	Pair Corr
0.71	QRPIX	Aqr Alternative Risk	Pair Corr

Moving against Aqr Mutual Fund

0.44	AMONX	Aqr Large Cap	Pair Corr
0.43	AMOMX	Aqr Large Cap	Pair Corr
0.44	ASMOX	Aqr Small Cap	Pair Corr
0.38	ASMNX	Aqr Small Cap	Pair Corr
0.63	QSMRX	Aqr Small Cap	Pair Corr
0.61	QSERX	Aqr Small Cap	Pair Corr
0.61	QSMLX	Aqr Small Cap	Pair Corr
0.61	QSMNX	Aqr Small Cap	Pair Corr
0.47	QCELX	Aqr Large Cap	Pair Corr

Related Correlations Analysis

	IENYX	BACCX	HNRGX	TMCLX	SEPIX	XEMOX	VLPIX	SMAPX
IENYX		0.98	0.99	0.91	0.97	0.85	0.77	0.9	IENYX
BACCX	0.98		0.97	0.9	0.93	0.79	0.76	0.9	BACCX
HNRGX	0.99	0.97		0.93	0.95	0.84	0.81	0.93	HNRGX
TMCLX	0.91	0.9	0.93		0.89	0.87	0.85	0.99	TMCLX
SEPIX	0.97	0.93	0.95	0.89		0.86	0.78	0.87	SEPIX
XEMOX	0.85	0.79	0.84	0.87	0.86		0.89	0.84	XEMOX
VLPIX	0.77	0.76	0.81	0.85	0.78	0.89		0.85	VLPIX
SMAPX	0.9	0.9	0.93	0.99	0.87	0.84	0.85		SMAPX
	IENYX	BACCX	HNRGX	TMCLX	SEPIX	XEMOX	VLPIX	SMAPX

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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
IENYX	0.88	0.09	0.09	0.11	1.28	(0.81)	1.53	(2.22)	5.62
BACCX	0.85	0.10	0.10	0.12	1.26	(0.81)	1.49	(2.08)	5.48
HNRGX	0.91	0.09	0.08	0.09	1.40	(0.83)	1.80	(2.30)	5.81
TMCLX	1.04	0.09	0.08	0.08	1.33	(1.10)	1.88	(2.24)	6.34
SEPIX	0.75	0.05	0.07	0.02	1.04	(0.77)	1.44	(1.79)	4.34
XEMOX	1.15	0.09	0.10	(0.99)	1.47	(1.22)	2.29	(2.24)	6.66
VLPIX	1.01	0.04	0.08	(0.47)	1.35	(1.07)	1.74	(2.10)	6.15
SMAPX	1.11	0.11	0.09	0.12	1.50	(1.19)	2.13	(2.32)	7.93

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