Aqr Global Macro Fund Market Value
| QGMRX Fund | USD 9.40 0.05 0.53% |
| 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.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Aqr Global on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Aqr Global Macro or generate 0.0% return on investment in Aqr Global over 30 days. Aqr Global is related to or competes with Hennessy, Fidelity Advisor, Dreyfus Natural, and Icon Natural. The fund invests globally across a wide range of asset classes, including equities, fixed income, currencies and commodi... 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 Macro upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.32) | |||
| Maximum Drawdown | 2.24 | |||
| Value At Risk | (0.74) | |||
| Potential Upside | 0.7455 |
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 | (0.04) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.1) | |||
| Treynor Ratio | (0.11) |
Aqr Global Macro Backtested Returns
Aqr Global Macro secures Sharpe Ratio (or Efficiency) of -0.0304, which signifies that the fund had a -0.0304% return per unit of risk over the last 3 months. Aqr Global Macro exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Aqr Global's Mean Deviation of 0.3369, standard deviation of 0.4533, and Risk Adjusted Performance of (0.04) to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.25, which signifies not very significant fluctuations relative to the market. 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 | 0.54 |
Modest predictability
Aqr Global Macro has modest predictability. Overlapping area represents the amount of predictability between Aqr Global time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 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 Macro price movement. The serial correlation of 0.54 indicates that about 54.0% of current Aqr Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Aqr Global Macro 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 Macro.
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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