Aqr Managed Correlations

Mutual Funds . USA . 
Fund . Aqr Managed Futures
QMHNX Fund  USD 8.17  0.10  1.21%   
The current 90-days correlation between Aqr Managed Futures and Aqr Managed Futures is 0.99 (i.e., No risk reduction). The correlation of Aqr Managed 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 Managed Correlation With Market

Very weak diversification

The correlation between Aqr Managed Futures and DJI is 0.48 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures 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 Managed Futures. 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 together with Aqr Mutual Fund

  1.0QMHIX Aqr Managed FuturesPairCorr
  1.0QMHRX Aqr Managed FuturesPairCorr
  0.99AQMRX Aqr Managed FuturesPairCorr
  0.99AQMNX Aqr Managed FuturesPairCorr
  0.99AQMIX Aqr Managed FuturesPairCorr
  0.72AQRRX Aqr Risk ParityPairCorr
  0.7AQRNX Aqr Risk ParityPairCorr
  0.7AQRIX Aqr Risk ParityPairCorr
  0.82QNZIX Aqr Sustainable LongPairCorr
  0.81QNZRX Aqr Sustainable LongPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Managed 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 Managed'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
AQMRX  0.41 (0.02)(0.17) 0.05  0.56 
(0.39)
 0.81 
(0.81)
 2.54 
PQTAX  0.48 (0.07) 0.00 (0.13) 0.00 
 0.00 
 0.82 
(1.09)
 2.35 
PQTNX  0.49 (0.07) 0.00 (0.13) 0.00 
 0.00 
 0.81 
(1.07)
 2.31 
AHLPX  0.49 (0.08) 0.00 (0.10) 0.00 
 0.00 
 1.03 
(0.92)
 3.44 
AMFNX  0.41 (0.08) 0.00 (0.10) 0.00 
 0.00 
 0.79 
(1.01)
 2.28 
ABYCX  0.39 (0.07) 0.00 (0.12) 0.00 
 0.00 
 0.67 
(0.86)
 2.07 
ABYAX  0.40 (0.07) 0.00 (0.11) 0.00 
 0.00 
 0.65 
(0.82)
 2.15 
ABYIX  0.40 (0.07) 0.00 (0.10) 0.00 
 0.00 
 0.72 
(0.82)
 2.13 
AMFAX  0.41 (0.08) 0.00 (0.11) 0.00 
 0.00 
 0.79 
(0.92)
 2.43 
ASFYX  0.42 (0.08) 0.00 (0.10) 0.00 
 0.00 
 0.70 
(0.90)
 2.29 

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