Aqr International Correlations

QICRX Fund

USD 14.00 0.21 1.52%

The current 90-days correlation between Aqr International Multi and Legg Mason Partners is 0.51 (i.e., Very weak diversification). The correlation of Aqr International 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 International Correlation With Market

Very weak diversification

The correlation between Aqr International Multi Style and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr International Multi Style 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 International Multi Style. 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 metropolitan statistical area.

Moving together with Aqr Mutual Fund

0.87	ANDRX	Aqr International	Pair Corr
0.87	ANDNX	Aqr International	Pair Corr
0.87	ANDIX	Aqr International	Pair Corr
0.76	ADANX	Aqr Diversified Arbitrage	Pair Corr
0.75	ADAIX	Aqr Diversified Arbitrage	Pair Corr

Moving against Aqr Mutual Fund

0.69	QMNIX	Aqr Equity Market	Pair Corr
0.68	QMNNX	Aqr Equity Market	Pair Corr
0.68	QMNRX	Aqr Equity Market	Pair Corr
0.55	QLENX	Aqr Long Short	Pair Corr
0.55	QLEIX	Aqr Long Short	Pair Corr
0.55	QLERX	Aqr Long Short	Pair Corr
0.32	AMONX	Aqr Large Cap	Pair Corr
0.32	AMOMX	Aqr Large Cap	Pair Corr
0.32	QMORX	Aqr Large Cap	Pair Corr
0.31	AUEIX	Aqr Large Cap	Pair Corr
0.31	AUENX	Aqr Large Cap	Pair Corr
0.41	QSPIX	Aqr Style Premia	Pair Corr
0.41	QSPRX	Aqr Style Premia	Pair Corr
0.4	QSPNX	Aqr Style Premia	Pair Corr

Related Correlations Analysis

	QLMSTX	QUAIX	TQAAX	QUAKX	JISGX	HSCYX	RTOUX
QLMSTX		0.97	0.98	0.96	0.98	0.99	0.99	QLMSTX
QUAIX	0.97		0.98	1.0	0.94	0.98	0.97	QUAIX
TQAAX	0.98	0.98		0.98	0.97	0.99	0.99	TQAAX
QUAKX	0.96	1.0	0.98		0.94	0.98	0.97	QUAKX
JISGX	0.98	0.94	0.97	0.94		0.98	0.98	JISGX
HSCYX	0.99	0.98	0.99	0.98	0.98		1.0	HSCYX
RTOUX	0.99	0.97	0.99	0.97	0.98	1.0		RTOUX
	QLMSTX	QUAIX	TQAAX	QUAKX	JISGX	HSCYX	RTOUX

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Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr International 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 International'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
QLMSTX	0.88	0.01	0.04	0.12	0.96	(0.93)	1.93	(1.65)	6.85
QUAIX	0.94	0.02	0.05	0.13	1.03	(1.00)	1.92	(2.14)	6.76
TQAAX	0.82	(0.03)	0.00	0.09	0.98	(0.85)	1.75	(1.51)	6.10
QUAKX	0.94	0.02	0.05	0.13	1.03	(0.97)	1.92	(2.15)	6.77
JISGX	0.90	(0.02)	0.02	0.10	1.04	(0.97)	1.91	(1.76)	6.72
HSCYX	0.88	(0.03)	0.01	0.09	0.97	(0.95)	1.77	(1.57)	6.60
RTOUX	0.80	(0.03)	0.01	0.09	0.84	(0.88)	1.78	(1.45)	6.26

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