Aqr Diversified Correlations

Mutual Funds . USA . 
Fund . Aqr Diversified Arbitrage
QDARX Fund  USD 12.96  0.02  0.15%   
The current 90-days correlation between Aqr Diversified Arbitrage and Aqr Large Cap is -0.12 (i.e., Good 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

Very good diversification

The correlation between Aqr Diversified Arbitrage and DJI is -0.23 (i.e., Very good 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 Your Equity Center 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 employment.

Moving together with AQR Mutual Fund

  0.79AMONX Aqr Large CapPairCorr
  0.8AMOMX Aqr Large CapPairCorr
  0.86QLENX Aqr Long ShortPairCorr
  0.86QLEIX Aqr Long ShortPairCorr
  0.86QLERX Aqr Long ShortPairCorr
  0.86QMHIX Aqr Managed FuturesPairCorr
  0.86QMHRX Aqr Managed FuturesPairCorr
  0.86QMHNX Aqr Managed FuturesPairCorr
  0.88QMNNX Aqr Equity MarketPairCorr
  0.88QMNIX Aqr Equity MarketPairCorr
  0.88QMNRX Aqr Equity MarketPairCorr
  0.8QMORX Aqr Large CapPairCorr
  0.85AQGRX Aqr Global EquityPairCorr
  0.85AQGNX Aqr Global EquityPairCorr
  0.85AQGIX Aqr Global EquityPairCorr
  0.86AQMRX Aqr Managed FuturesPairCorr
  0.86AQMNX Aqr Managed FuturesPairCorr
  0.86AQMIX Aqr Managed FuturesPairCorr
  0.86AQRRX Aqr Risk ParityPairCorr
  0.86AQRNX Aqr Risk ParityPairCorr
  0.85AQRIX Aqr Risk ParityPairCorr
  0.85QNZIX Aqr Sustainable LongPairCorr
  0.83ARCNX Aqr Risk BalancedPairCorr
  0.83ARCIX Aqr Risk BalancedPairCorr
  0.84QNZRX Aqr Sustainable LongPairCorr
  0.84QNZNX Aqr Sustainable LongPairCorr
  0.88ASMOX Aqr Small Cap Steady GrowthPairCorr
  0.89ASMNX Aqr Small Cap Steady GrowthPairCorr
  0.72AUEIX Aqr Large CapPairCorr
  0.77AUENX Aqr Large CapPairCorr
  0.83QRCRX Aqr Risk BalancedPairCorr
  1.0ADANX Aqr Diversified ArbitragePairCorr
  1.0ADAIX Aqr Diversified ArbitragePairCorr
  0.81QRPRX Aqr Alternative RiskPairCorr
  0.81QRPNX Aqr Alternative RiskPairCorr
  0.81QRPIX Aqr Alternative RiskPairCorr
  0.83QSERX Aqr Small CapPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
AMONX  0.49  0.10  0.06 (0.32) 0.54 
(0.59)
 1.16 
(0.78)
 4.43 
AMOMX  0.49  0.10  0.06 (0.33) 0.54 
(0.59)
 1.20 
(0.78)
 4.46 
ANDRX  0.45 (0.02)(0.06) 0.01  0.59 
(0.45)
 0.90 
(0.98)
 2.55 
ANDNX  0.45  0.01 (0.06) 0.16  0.59 
(0.44)
 0.86 
(0.94)
 2.51 
ANDIX  0.45  0.01 (0.06) 0.16  0.57 
(0.47)
 0.84 
(0.91)
 2.49 
QLENX  0.30  0.10  0.12 (0.66) 0.07 
(0.37)
 0.72 
(0.41)
 2.34 
QLEIX  0.30  0.10  0.12 (0.68) 0.07 
(0.37)
 0.71 
(0.40)
 2.29 
QLERX  0.30  0.10  0.12 (0.68) 0.00 
(0.36)
 0.70 
(0.40)
 2.32 
QMHIX  0.47  0.16  0.12 (0.40) 0.56 
(0.52)
 1.15 
(0.90)
 3.63 
QMHRX  0.47  0.16  0.11 (0.40) 0.56 
(0.52)
 1.14 
(0.89)
 3.63 

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