Aqr Large Cap Fund Market Value
QCELX Fund | USD 18.42 0.16 0.88% |
Symbol | Aqr |
Aqr Large '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 Large'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 Large.
10/31/2022 |
| 04/23/2024 |
If you would invest 0.00 in Aqr Large on October 31, 2022 and sell it all today you would earn a total of 0.00 from holding Aqr Large Cap or generate 0.0% return on investment in Aqr Large over 540 days. Aqr Large is related to or competes with Aqr International, Mfs Research, Aqr Managed, and Champlain Mid. The fund pursues its investment objective by investing, under normal market conditions, at least 80 percent of its net a... More
Aqr Large 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 Large'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 Large Cap upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.76 | |||
Information Ratio | 0.0294 | |||
Maximum Drawdown | 3.49 | |||
Value At Risk | (1.27) | |||
Potential Upside | 1.25 |
Aqr Large Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Large's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Large's standard deviation. In reality, there are many statistical measures that can use Aqr Large historical prices to predict the future Aqr Large's volatility.Risk Adjusted Performance | 0.0908 | |||
Jensen Alpha | 0.0184 | |||
Total Risk Alpha | 0.0019 | |||
Sortino Ratio | 0.0302 | |||
Treynor Ratio | 0.0966 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aqr Large'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 Large Cap Backtested Returns
We consider Aqr Large very steady. Aqr Large Cap secures Sharpe Ratio (or Efficiency) of 0.11, which signifies that the fund had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Aqr Large Cap, which you can use to evaluate the volatility of the entity. Please confirm Aqr Large's Mean Deviation of 0.6187, downside deviation of 0.76, and Risk Adjusted Performance of 0.0908 to double-check if the risk estimate we provide is consistent with the expected return of 0.0844%. The fund shows a Beta (market volatility) of 1.06, which signifies a somewhat significant risk relative to the market. Aqr Large returns are very sensitive to returns on the market. As the market goes up or down, Aqr Large is expected to follow.
Auto-correlation | 0.66 |
Good predictability
Aqr Large Cap has good predictability. Overlapping area represents the amount of predictability between Aqr Large time series from 31st of October 2022 to 28th of July 2023 and 28th of July 2023 to 23rd 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 Large Cap price movement. The serial correlation of 0.66 indicates that around 66.0% of current Aqr Large price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.66 | |
Spearman Rank Test | 0.6 | |
Residual Average | 0.0 | |
Price Variance | 1.79 |
Aqr Large Cap lagged returns against current returns
Autocorrelation, which is Aqr Large 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 Large's mutual fund expected returns. We can calculate the autocorrelation of Aqr Large returns to help us make a trade decision. For example, suppose you find that Aqr Large 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 Large 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 Large mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Large 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 Large mutual fund over time.
Current vs Lagged Prices |
Timeline |
Aqr Large Lagged Returns
When evaluating Aqr Large's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Large mutual fund have on its future price. Aqr Large 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 Large autocorrelation shows the relationship between Aqr Large mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Large Cap.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Aqr Large in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Aqr Large's short interest history, or implied volatility extrapolated from Aqr Large options trading.
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Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Aqr Large Cap using complex mathematical models and algorithms, but make them easy to understand. There is no real person involved in your portfolio analysis. We perform a number of calculations to compute absolute and relative portfolio volatility, correlation between your assets, value at risk, expected return as well as over 100 different fundamental and technical indicators.Build Optimal Portfolios
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Check out Aqr Large Correlation, Aqr Large Volatility and Aqr Large Alpha and Beta module to complement your research on Aqr Large. You can also try the Commodity Directory module to find actively traded commodities issued by global exchanges.
Aqr Large 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.