AQR International Backtesting

ANDRX -- USA Fund  

USD 12.51  0.04  0.32%

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

October 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
November 18, 2018
0.00
If you would invest  0.00  in AQR International on October 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, Vanguard Total, Vanguard Total, Vanguard Total, Oakmark International, and Vanguard FTSE. The fund pursues a defensive investment style, seeking to provide downside protection with upside potential through acti...

AQR International Upside/Downside Indicators

Information Ratio0.06
Maximum Drawdown2.4
Value At Risk1.20
Potential Upside1.04
  

AQR International Market Premium Indicators

Risk Adjusted Performance0.06
Jensen Alpha0.04501
Total Risk Alpha0.045185
Treynor Ratio0.07

AQR International Backtested Returns

Macroaxis considers AQR International to be not too volatile. AQR International secures Sharpe Ratio (or Efficiency) of -0.0717 which signifies that AQR International had -0.0717% 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 0.6153 and Risk Adjusted Performance of 0.06 to double-check risk estimate we provide. The organization shows Beta (market volatility) of 0.5861 which signifies that as returns on market increase, AQR International returns are expected to increase less than the market. However during bear market, the loss on holding AQR International will be expected to be smaller as well.. 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 0.44 
correlation synergy

Average predictability

AQR International Defensive Style R6 has average predictability. Overlapping area represents the amount of predictability between AQR International time series from October 19, 2018 to November 3, 2018 and November 3, 2018 to November 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 0.44 indicates that just about 44.0% of current AQR International price fluctuation can be explain by its past prices.
Correlation Coefficient0.44
Spearman Rank Test0.03
Residual Average0.0
Price Variance0.01

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 

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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
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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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