Aqr Small Cap Fund Market Value
| QSMRX Fund | USD 25.10 0.09 0.36% |
| Symbol | Aqr |
Aqr Small 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Aqr Small's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Aqr Small.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Aqr Small on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Aqr Small Cap or generate 0.0% return on investment in Aqr Small over 30 days. Aqr Small is related to or competes with Icon Financial, Transamerica Financial, Gabelli Global, Davis Financial, Mesirow Financial, and Davis Financial. The fund pursues a momentum investment style by investing primarily in equity or equity-related securities of small-cap ... More
Aqr Small Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Aqr Small's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Aqr Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.26 | |||
| Information Ratio | 0.0357 | |||
| Maximum Drawdown | 7.93 | |||
| Value At Risk | (1.91) | |||
| Potential Upside | 2.3 |
Aqr Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Small's standard deviation. In reality, there are many statistical measures that can use Aqr Small historical prices to predict the future Aqr Small's volatility.| Risk Adjusted Performance | 0.0992 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.0406 | |||
| Treynor Ratio | 0.1026 |
Aqr Small Cap Backtested Returns
Aqr Small appears to be very steady, given 3 months investment horizon. Aqr Small Cap secures Sharpe Ratio (or Efficiency) of 0.17, which signifies that the fund had a 0.17% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Aqr Small Cap, which you can use to evaluate the volatility of the entity. Please makes use of Aqr Small's Mean Deviation of 1.04, risk adjusted performance of 0.0992, and Downside Deviation of 1.26 to double-check if our risk estimates are consistent with your expectations. The fund shows a Beta (market volatility) of 1.62, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Aqr Small will likely underperform.
Auto-correlation | 0.93 |
Excellent predictability
Aqr Small Cap has excellent predictability. Overlapping area represents the amount of predictability between Aqr Small time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Aqr Small Cap price movement. The serial correlation of 0.93 indicates that approximately 93.0% of current Aqr Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.93 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 0.31 |
Aqr Small Cap lagged returns against current returns
Autocorrelation, which is Aqr Small mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Aqr Small's mutual fund expected returns. We can calculate the autocorrelation of Aqr Small returns to help us make a trade decision. For example, suppose you find that Aqr Small has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Aqr Small regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Aqr Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Small mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aqr Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Small Lagged Returns
When evaluating Aqr Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Small mutual fund have on its future price. Aqr Small autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Aqr Small autocorrelation shows the relationship between Aqr Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Small Cap.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Aqr Mutual Fund
Aqr Small financial ratios help investors to determine whether Aqr Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Aqr with respect to the benefits of owning Aqr Small security.
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