Aqr Style Premia Fund Market Value
| QSPIX Fund | USD 8.04 0.01 0.12% |
| Symbol | Aqr |
Aqr Style '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 Style'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 Style.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Aqr Style on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding Aqr Style Premia or generate 0.0% return on investment in Aqr Style over 720 days. Aqr Style 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 pursues its investment objective by aiming to provide exposure to four separate investment styles value, moment... More
Aqr Style 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 Style'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 Style Premia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.25) | |||
| Maximum Drawdown | 2.64 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.9938 |
Aqr Style Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Style's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Style's standard deviation. In reality, there are many statistical measures that can use Aqr Style historical prices to predict the future Aqr Style's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.12) | |||
| Treynor Ratio | (0.16) |
Aqr Style Premia Backtested Returns
Aqr Style Premia secures Sharpe Ratio (or Efficiency) of -0.0202, which signifies that the fund had a -0.0202% return per unit of risk over the last 3 months. Aqr Style Premia exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Aqr Style's Standard Deviation of 0.5814, risk adjusted performance of (0.02), and Mean Deviation of 0.4388 to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Aqr Style's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aqr Style is expected to be smaller as well.
Auto-correlation | 0.28 |
Poor predictability
Aqr Style Premia has poor predictability. Overlapping area represents the amount of predictability between Aqr Style 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 Style Premia price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Aqr Style price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | 0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Aqr Style Premia lagged returns against current returns
Autocorrelation, which is Aqr Style 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 Style's mutual fund expected returns. We can calculate the autocorrelation of Aqr Style returns to help us make a trade decision. For example, suppose you find that Aqr Style 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 Style 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 Style mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Style 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 Style mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Style Lagged Returns
When evaluating Aqr Style's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Style mutual fund have on its future price. Aqr Style 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 Style autocorrelation shows the relationship between Aqr Style mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Style Premia.
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 Style 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 Style security.
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