Aqr Managed Futures Fund Market Value
| AQMRX Fund | USD 8.59 0.03 0.35% |
| Symbol | Aqr |
Aqr Managed '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 Managed'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 Managed.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Aqr Managed on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Aqr Managed Futures or generate 0.0% return on investment in Aqr Managed over 720 days. Aqr Managed is related to or competes with Pimco Trends, Pimco Trends, American Beacon, Asg Managed, Abbey Capital, and Abbey Capital. The adviser allocates the funds assets among four major asset classes More
Aqr Managed 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 Managed'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 Managed Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6115 | |||
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 2.54 | |||
| Value At Risk | (0.81) | |||
| Potential Upside | 0.8065 |
Aqr Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Managed's standard deviation. In reality, there are many statistical measures that can use Aqr Managed historical prices to predict the future Aqr Managed's volatility.| Risk Adjusted Performance | 0.0342 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.18) | |||
| Treynor Ratio | 0.0525 |
Aqr Managed Futures Backtested Returns
At this stage we consider Aqr Mutual Fund to be very steady. Aqr Managed Futures secures Sharpe Ratio (or Efficiency) of 0.0742, which signifies that the fund had a 0.0742% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Aqr Managed Futures, which you can use to evaluate the volatility of the entity. Please confirm Aqr Managed's Risk Adjusted Performance of 0.0342, mean deviation of 0.4114, and Downside Deviation of 0.6115 to double-check if the risk estimate we provide is consistent with the expected return of 0.0381%. The fund shows a Beta (market volatility) of 0.31, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Aqr Managed's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aqr Managed is expected to be smaller as well.
Auto-correlation | -0.25 |
Weak reverse predictability
Aqr Managed Futures has weak reverse predictability. Overlapping area represents the amount of predictability between Aqr Managed time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 Managed Futures price movement. The serial correlation of -0.25 indicates that over 25.0% of current Aqr Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.25 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Aqr Managed Futures lagged returns against current returns
Autocorrelation, which is Aqr Managed 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 Managed's mutual fund expected returns. We can calculate the autocorrelation of Aqr Managed returns to help us make a trade decision. For example, suppose you find that Aqr Managed 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 Managed 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 Managed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Managed 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 Managed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Managed Lagged Returns
When evaluating Aqr Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Managed mutual fund have on its future price. Aqr Managed 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 Managed autocorrelation shows the relationship between Aqr Managed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Managed Futures.
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 Managed 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 Managed security.
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