AQR International Backtesting

ANDRX -- USA Fund  

USD 12.66  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

December 25, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
February 23, 2019
0.00
If you would invest  0.00  in AQR International on December 25, 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 60 days. AQR International is related to or competes with Vanguard FTSE, MFS International, MFS International, MFS International, MFS International, MFS International, and MFS International. The fund pursues a defensive investment style, seeking to provide downside protection with upside potential through acti...

AQR International Upside/Downside Indicators

Downside Deviation1.07
Information Ratio(0.19)
Maximum Drawdown3.36
Value At Risk(0.96)
Potential Upside1.05
  

AQR International Market Premium Indicators

Risk Adjusted Performance0.1637
Jensen Alpha0.0852
Total Risk Alpha(0.041923)
Sortino Ratio(0.15)
Treynor Ratio(1.96)

AQR International Backtested Returns

Macroaxis considers AQR International not too volatile given 2 months investment horizon. AQR International secures Sharpe Ratio (or Efficiency) of 0.3582 which signifies that the fund had 0.3582% of return per unit of risk over the last 2 months. Our philosophy in foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for AQR International Defensive Style R6 which you can use to evaluate future volatility of the entity. Please makes use of AQR International Risk Adjusted Performance of 0.1637 and Mean Deviation of 0.581 to double-check if our risk estimates are consistent with your expectations. The organization shows Beta (market volatility) of -0.0387 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. Although it is extremely important to respect AQR International historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing AQR International technical indicators you can now evaluate if the expected return of 0.2301% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.66 
correlation synergy

Good predictability

AQR International Defensive Style R6 has good predictability. Overlapping area represents the amount of predictability between AQR International time series from December 25, 2018 to January 24, 2019 and January 24, 2019 to February 23, 2019. 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 0.66 indicates that around 66.0% of current AQR International price fluctuation can be explain by its past prices.
Correlation Coefficient0.66
Spearman Rank Test0.62
Residual Average0.0
Price Variance0.02

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 FTSE All. 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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