Aqr Global Equity Fund Market Value
| AQGIX Fund | USD 12.13 0.11 0.92% |
| Symbol | Aqr |
Aqr Global 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Aqr Global's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Aqr Global.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Aqr Global on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding Aqr Global Equity or generate 0.0% return on investment in Aqr Global over 720 days. Aqr Global is related to or competes with Aqr Large, Aqr Large, Aqr International, Aqr International, Aqr International, Aqr Long-short, and Aqr Long-short. The fund seeks to outperform, after expenses, the MSCI World Index while seeking to control its tracking error relative ... More
Aqr Global Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Aqr Global's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Aqr Global Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8685 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 3.32 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.31 |
Aqr Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Global's standard deviation. In reality, there are many statistical measures that can use Aqr Global historical prices to predict the future Aqr Global's volatility.| Risk Adjusted Performance | 0.1058 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1224 |
Aqr Global Equity Backtested Returns
At this stage we consider Aqr Mutual Fund to be very steady. Aqr Global Equity secures Sharpe Ratio (or Efficiency) of 0.19, which signifies that the fund had a 0.19% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Aqr Global Equity, which you can use to evaluate the volatility of the entity. Please confirm Aqr Global's Mean Deviation of 0.571, downside deviation of 0.8685, and Risk Adjusted Performance of 0.1058 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. The fund shows a Beta (market volatility) of 0.8, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Aqr Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aqr Global is expected to be smaller as well.
Auto-correlation | 0.71 |
Good predictability
Aqr Global Equity has good predictability. Overlapping area represents the amount of predictability between Aqr Global time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Aqr Global Equity price movement. The serial correlation of 0.71 indicates that around 71.0% of current Aqr Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.55 |
Aqr Global Equity lagged returns against current returns
Autocorrelation, which is Aqr Global mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Aqr Global's mutual fund expected returns. We can calculate the autocorrelation of Aqr Global returns to help us make a trade decision. For example, suppose you find that Aqr Global has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Aqr Global regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Aqr Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Global mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aqr Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Global Lagged Returns
When evaluating Aqr Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Global mutual fund have on its future price. Aqr Global autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Aqr Global autocorrelation shows the relationship between Aqr Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Global Equity.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Aqr Mutual Fund
Aqr Global financial ratios help investors to determine whether Aqr Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Aqr with respect to the benefits of owning Aqr Global security.
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