Aqr Global Correlations

QGMNX Fund

USD 9.27 0.04 0.43%

The current 90-days correlation between Aqr Global Macro and Catalystmillburn Hedge Strategy is 0.43 (i.e., Very weak diversification). The correlation of Aqr Global 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 Global Correlation With Market

Very weak diversification

The correlation between Aqr Global Macro and DJI is 0.43 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Global Macro 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 Global Macro. 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 board of governors.

Moving against Aqr Mutual Fund

0.41	AMONX	Aqr Large Cap	Pair Corr
0.41	AMOMX	Aqr Large Cap	Pair Corr
0.41	QMORX	Aqr Large Cap	Pair Corr
0.39	AQGRX	Aqr Global Equity	Pair Corr
0.39	AQGNX	Aqr Global Equity	Pair Corr
0.39	AQGIX	Aqr Global Equity	Pair Corr
0.37	QLEIX	Aqr Long Short	Pair Corr
0.37	QLERX	Aqr Long Short	Pair Corr
0.36	QLENX	Aqr Long Short	Pair Corr
0.33	QMNNX	Aqr Equity Market	Pair Corr
0.33	QMNIX	Aqr Equity Market	Pair Corr
0.33	QMNRX	Aqr Equity Market	Pair Corr
0.38	ARCNX	Aqr Risk Balanced	Pair Corr
0.38	QRCRX	Aqr Risk Balanced	Pair Corr
0.36	QCERX	Aqr Large Cap	Pair Corr
0.36	QCELX	Aqr Large Cap	Pair Corr
0.36	QCENX	Aqr Large Cap	Pair Corr
0.31	ASMOX	Aqr Small Cap	Pair Corr
0.31	ASMNX	Aqr Small Cap	Pair Corr
0.31	QSMRX	Aqr Small Cap	Pair Corr

Related Correlations Analysis

	MBXFX	MBXIX	MBXAX	MBXCX	PCBAX	PCBSX	PBAIX	BRBCX
MBXFX		1.0	1.0	1.0	0.96	0.96	0.96	0.96	MBXFX
MBXIX	1.0		1.0	1.0	0.96	0.96	0.96	0.96	MBXIX
MBXAX	1.0	1.0		1.0	0.96	0.96	0.96	0.96	MBXAX
MBXCX	1.0	1.0	1.0		0.96	0.96	0.96	0.96	MBXCX
PCBAX	0.96	0.96	0.96	0.96		1.0	1.0	1.0	PCBAX
PCBSX	0.96	0.96	0.96	0.96	1.0		1.0	1.0	PCBSX
PBAIX	0.96	0.96	0.96	0.96	1.0	1.0		1.0	PBAIX
BRBCX	0.96	0.96	0.96	0.96	1.0	1.0	1.0		BRBCX
	MBXFX	MBXIX	MBXAX	MBXCX	PCBAX	PCBSX	PBAIX	BRBCX

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Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Global 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 Global'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
MBXFX	0.33	0.01	(0.11)	0.15	0.35	(0.37)	0.66	(0.63)	2.79
MBXIX	0.35	0.01	(0.11)	0.15	0.34	(0.38)	0.69	(0.62)	2.78
MBXAX	0.35	0.01	(0.11)	0.14	0.34	(0.38)	0.69	(0.62)	2.78
MBXCX	0.34	0.01	(0.11)	0.14	0.36	(0.37)	0.69	(0.62)	2.77
PCBAX	0.35	0.03	(0.11)	0.21	0.26	(0.41)	0.80	(0.63)	1.93
PCBSX	0.35	0.03	(0.11)	0.21	0.26	(0.42)	0.79	(0.63)	2.07
PBAIX	0.36	0.03	(0.10)	0.21	0.25	(0.42)	0.82	(0.65)	1.90
BRBCX	0.36	0.03	(0.11)	0.20	0.27	(0.41)	0.80	(0.61)	1.94

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Aqr Global Correlations

Aqr Global Correlation With Market

Very weak diversification

Moving against Aqr Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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