Aqr Diversified Correlations

ADAIX Fund

USD 12.70 0.02 0.16%

The current 90-days correlation between Aqr Diversified Arbitrage and Pimco Energy Tactical is 0.62 (i.e., Poor diversification). The correlation of Aqr Diversified 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 Diversified Correlation With Market

Poor diversification

The correlation between Aqr Diversified Arbitrage and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Diversified Arbitrage and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Aqr Diversified Arbitrage. 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 gross domestic product.

Moving together with Aqr Mutual Fund

0.88	AMONX	Aqr Large Cap	Pair Corr
0.88	AMOMX	Aqr Large Cap	Pair Corr
0.94	ANDRX	Aqr International	Pair Corr
0.94	ANDNX	Aqr International	Pair Corr
0.94	ANDIX	Aqr International	Pair Corr
0.92	QLENX	Aqr Long Short	Pair Corr
0.92	QLEIX	Aqr Long Short	Pair Corr
0.92	QLERX	Aqr Long Short	Pair Corr
0.93	QMNNX	Aqr Equity Market	Pair Corr
0.94	QMNIX	Aqr Equity Market	Pair Corr
0.94	QMNRX	Aqr Equity Market	Pair Corr
0.89	QMORX	Aqr Large Cap	Pair Corr
0.79	AQGRX	Aqr Global Equity	Pair Corr
0.78	AQGNX	Aqr Global Equity	Pair Corr
0.78	AQGIX	Aqr Global Equity	Pair Corr
0.73	AQRRX	Aqr Risk Parity	Pair Corr
0.72	AQRNX	Aqr Risk Parity	Pair Corr
0.73	AQRIX	Aqr Risk Parity	Pair Corr
0.85	ASMOX	Aqr Small Cap	Pair Corr
0.84	ASMNX	Aqr Small Cap	Pair Corr
0.69	AUEIX	Aqr Large Cap	Pair Corr
0.69	AUENX	Aqr Large Cap	Pair Corr
1.0	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.83	QSERX	Aqr Small Cap	Pair Corr

Related Correlations Analysis

	PDX	IGNAX	FIKAX	GRHAX	HNRGX	AIWEX	CAEIX	AAWEX
PDX		0.83	0.89	0.73	0.91	0.8	0.63	0.8	PDX
IGNAX	0.83		0.75	0.96	0.8	0.98	0.93	0.98	IGNAX
FIKAX	0.89	0.75		0.59	0.99	0.7	0.52	0.7	FIKAX
GRHAX	0.73	0.96	0.59		0.65	0.97	0.92	0.97	GRHAX
HNRGX	0.91	0.8	0.99	0.65		0.75	0.57	0.75	HNRGX
AIWEX	0.8	0.98	0.7	0.97	0.75		0.93	1.0	AIWEX
CAEIX	0.63	0.93	0.52	0.92	0.57	0.93		0.93	CAEIX
AAWEX	0.8	0.98	0.7	0.97	0.75	1.0	0.93		AAWEX
	PDX	IGNAX	FIKAX	GRHAX	HNRGX	AIWEX	CAEIX	AAWEX

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Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Diversified 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 Diversified'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
PDX	1.36	0.05	0.02	0.08	2.73	(1.27)	3.02	(4.30)	15.09
IGNAX	1.14	0.10	0.05	0.13	1.85	(1.21)	1.94	(2.35)	11.60
FIKAX	1.47	0.03	0.01	0.05	2.85	(1.41)	2.72	(2.83)	15.27
GRHAX	1.34	0.25	0.10	0.28	2.00	(1.50)	2.67	(2.27)	12.01
HNRGX	1.41	0.03	0.01	0.05	2.84	(1.26)	2.53	(2.87)	14.60
AIWEX	1.30	0.23	0.08	0.24	2.27	(1.35)	2.23	(3.33)	12.24
CAEIX	0.97	0.07	0.04	0.12	1.36	(1.02)	1.88	(2.00)	9.01
AAWEX	1.29	0.22	0.08	0.24	2.32	(1.26)	2.24	(3.34)	12.20

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Aqr Diversified Correlations

Aqr Diversified Correlation With Market

Poor diversification

Moving together with Aqr Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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