AQR International Backtesting

ANDRX -- USA Fund  

USD 13.12  0.00  0.00%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of AQR International Defensive Style R6 and determine expected loss or profit from investing in AQR International over given investment horizon. Check also AQR International Hype Analysis, AQR International Correlation, Portfolio Optimization, AQR International Volatility as well as analyze AQR International Alpha and Beta and AQR International Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

AQR International 'What if' Analysis

August 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 18, 2018
0.00
If you would invest  0.00  in AQR International on August 19, 2018 and sell it all today you would earn a total of 0.00 from holding AQR International Defensive Style R6 or generate 0.0% return on investment in AQR International over 30 days. AQR International is related to or competes with Vanguard Total, Vanguard Total, MFS International, MFS International, MFS International, MFS International, and Harbor International. The fund pursues a defensive investment style, seeking to provide downside protection with upside potential through acti...

AQR International Upside/Downside Indicators

Information Ratio0.20
Maximum Drawdown1.98
Value At Risk0.91
Potential Upside0.9804
  

AQR International Market Premium Indicators

Risk Adjusted Performance0.004777
Jensen Alpha0.00821
Total Risk Alpha0.16
Treynor Ratio0.1457

AQR International Backtested Returns

Macroaxis considers AQR International to be not too volatile. AQR International secures Sharpe Ratio (or Efficiency) of -0.0898 which signifies that AQR International had -0.0898% of return per unit of risk over the last 1 month. Macroaxis philosophy in foreseeing risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. AQR International Defensive Style R6 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AQR International Mean Deviation of 0.4781 and Risk Adjusted Performance of 0.004777 to double-check risk estimate we provide. The organization shows Beta (market volatility) of -0.1527 which signifies that as returns on market increase, returns on owning AQR International are expected to decrease at a much smaller rate. During bear market, AQR International is likely to outperform the market.. Even though it is essential to pay attention to AQR International historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. AQR International Defensive Style R6 exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.47 

Average predictability

AQR International Defensive Style R6 has average predictability. Overlapping area represents the amount of predictability between AQR International time series from August 19, 2018 to September 3, 2018 and September 3, 2018 to September 18, 2018. 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 0.47 indicates that about 47.0% of current AQR International price fluctuation can be explain by its past prices.
Correlation Coefficient0.47
Spearman Rank Test0.47
Residual Average0.0
Price Variance0.0

AQR International lagged returns against current returns

 Current and Lagged Values 
      Timeline 

AQR International regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

AQR International Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Portfolio Reporting Now

   

Portfolio Reporting

Create custom reports across your portfolios and generate quick suggestion pitch
All  Next Launch Portfolio Reporting

AQR International Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for AQR International and Vanguard Total Intl. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also AQR International Hype Analysis, AQR International Correlation, Portfolio Optimization, AQR International Volatility as well as analyze AQR International Alpha and Beta and AQR International Performance. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
Search macroaxis.com