Aqr International Defensive Fund Market Value
ANDNX Fund | USD 14.42 0.03 0.21% |
Symbol | Aqr |
Aqr International '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 International'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 International.
03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Aqr International on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Aqr International Defensive or generate 0.0% return on investment in Aqr International over 30 days. Aqr International is related to or competes with Vanguard Total, Vanguard Developed, and Fidelity International. The fund pursues a defensive investment style, seeking to provide downside protection with upside potential through acti... More
Aqr International 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 International'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 International Defensive upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.6078 | |||
Information Ratio | (0.14) | |||
Maximum Drawdown | 2.61 | |||
Value At Risk | (0.81) | |||
Potential Upside | 0.9831 |
Aqr International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr International's standard deviation. In reality, there are many statistical measures that can use Aqr International historical prices to predict the future Aqr International's volatility.Risk Adjusted Performance | 0.0193 | |||
Jensen Alpha | (0.06) | |||
Total Risk Alpha | (0.07) | |||
Sortino Ratio | (0.13) | |||
Treynor Ratio | 0.0109 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aqr International's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Aqr International Backtested Returns
We consider Aqr International very steady. Aqr International secures Sharpe Ratio (or Efficiency) of 0.0144, which signifies that the fund had a 0.0144% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Aqr International Defensive, which you can use to evaluate the volatility of the entity. Please confirm Aqr International's Mean Deviation of 0.4108, downside deviation of 0.6078, and Risk Adjusted Performance of 0.0193 to double-check if the risk estimate we provide is consistent with the expected return of 0.0084%. The fund shows a Beta (market volatility) of 0.77, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Aqr International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aqr International is expected to be smaller as well.
Auto-correlation | 0.09 |
Virtually no predictability
Aqr International Defensive has virtually no predictability. Overlapping area represents the amount of predictability between Aqr International time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 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 International price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Aqr International price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.09 | |
Spearman Rank Test | 0.17 | |
Residual Average | 0.0 | |
Price Variance | 0.02 |
Aqr International lagged returns against current returns
Autocorrelation, which is Aqr International 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 International's mutual fund expected returns. We can calculate the autocorrelation of Aqr International returns to help us make a trade decision. For example, suppose you find that Aqr International 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 International 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 International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr International 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 International mutual fund over time.
Current vs Lagged Prices |
Timeline |
Aqr International Lagged Returns
When evaluating Aqr International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr International mutual fund have on its future price. Aqr International 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 International autocorrelation shows the relationship between Aqr International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr International Defensive.
Regressed Prices |
Timeline |
Pair Trading with Aqr International
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Aqr International position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Aqr International will appreciate offsetting losses from the drop in the long position's value.Moving together with Aqr Mutual Fund
0.69 | AMONX | Aqr Large Cap | PairCorr |
0.69 | AMOMX | Aqr Large Cap | PairCorr |
1.0 | ANDRX | Aqr International | PairCorr |
The ability to find closely correlated positions to Aqr International could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Aqr International when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Aqr International - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Aqr International Defensive to buy it.
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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Aqr International moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Aqr International moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Aqr International can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Aqr International Correlation, Aqr International Volatility and Aqr International Alpha and Beta module to complement your research on Aqr International. You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Aqr International technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.