Aqr Large Correlations

AUEIX Fund

USD 26.60 0.01 0.04%

The current 90-days correlation between Aqr Large Cap and Aqr International Defensive is 0.39 (i.e., Weak diversification). The correlation of Aqr Large 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 Large Correlation With Market

Very poor diversification

The correlation between Aqr Large Cap and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Large Cap 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 Large Cap. 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

0.89	AMONX	Aqr Large Cap	Pair Corr
0.83	QLENX	Aqr Long Short	Pair Corr
0.83	QLEIX	Aqr Long Short	Pair Corr
0.72	QMNIX	Aqr Equity Market	Pair Corr
0.73	QMNRX	Aqr Equity Market	Pair Corr
0.84	QNZIX	Aqr Sustainable Long	Pair Corr
1.0	AUENX	Aqr Large Cap	Pair Corr
0.91	QCERX	Aqr Large Cap	Pair Corr
0.91	QCENX	Aqr Large Cap	Pair Corr
1.0	QUERX	Aqr Large Cap	Pair Corr
0.7	QDSIX	Aqr Diversifying Str	Pair Corr
0.91	VTSAX	Vanguard Total Stock	Pair Corr
0.9	VFIAX	Vanguard 500 Index	Pair Corr
0.91	VTSMX	Vanguard Total Stock	Pair Corr
0.91	VITSX	Vanguard Total Stock	Pair Corr
0.91	VSMPX	Vanguard Total Stock	Pair Corr
0.91	VSTSX	Vanguard Total Stock	Pair Corr
0.9	VFINX	Vanguard 500 Index	Pair Corr
0.9	VFFSX	Vanguard 500 Index	Pair Corr
0.9	VINIX	Vanguard Institutional	Pair Corr
0.9	VIIIX	Vanguard Institutional	Pair Corr

Moving against Aqr Mutual Fund

0.58	ANDIX	Aqr International	Pair Corr
0.36	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.33	ADAIX	Aqr Diversified Arbitrage	Pair Corr
0.61	GAAGX	Gmo Alternative Allo	Pair Corr
0.59	GAAKX	Gmo Alternative Allo	Pair Corr
0.32	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.54	GPBFX	Gmo E Plus	Pair Corr
0.32	GPMFX	Guidepath Managed Futures	Pair Corr

Related Correlations Analysis

	ANDIX	MRFIX	AUENX	AQMIX	CIPIX
ANDIX		-0.67	-0.57	-0.14	-0.68	ANDIX
MRFIX	-0.67		0.9	0.51	0.94	MRFIX
AUENX	-0.57	0.9		0.52	0.94	AUENX
AQMIX	-0.14	0.51	0.52		0.5	AQMIX
CIPIX	-0.68	0.94	0.94	0.5		CIPIX
	ANDIX	MRFIX	AUENX	AQMIX	CIPIX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

CIPIX	+ 0.94	MRFIX
CIPIX	+ 0.94	AUENX
AUENX	+ 0.9	MRFIX
AQMIX	+ 0.52	AUENX
AQMIX	+ 0.51	MRFIX
CIPIX	+ 0.5	AQMIX

High negative correlations

CIPIX	- 0.68	ANDIX
MRFIX	- 0.67	ANDIX
AUENX	- 0.57	ANDIX
AQMIX	- 0.14	ANDIX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Large 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 Large'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
ANDIX	0.52	(0.12)	0.00	(0.23)	0.00	0.00	1.07	(1.15)	2.84
MRFIX	0.51	0.00	(0.03)	0.12	0.63	(0.53)	1.10	(1.48)	3.71
AUENX	0.44	0.00	(0.08)	0.11	0.45	(0.49)	1.03	(0.90)	2.95
AQMIX	0.41	(0.02)	(0.16)	0.04	0.57	(0.39)	0.81	(0.93)	2.76
CIPIX	0.66	0.02	0.01	0.14	0.70	(0.70)	1.23	(1.27)	4.04

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