Aqr Equity Market Fund Market Value
| QMNRX Fund | USD 9.75 0.05 0.52% |
| Symbol | Aqr |
Aqr Equity '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 Equity'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 Equity.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Aqr Equity on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Aqr Equity Market or generate 0.0% return on investment in Aqr Equity over 30 days. Aqr Equity is related to or competes with Aqr Large, Aqr Large, Aqr International, Aqr International, Aqr International, Aqr Long, and Aqr Long. The fund is designed to be market- or beta-neutral, which means that the fund seeks to achieve returns that are not clos... More
Aqr Equity 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 Equity'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 Equity Market upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4523 | |||
| Information Ratio | 0.185 | |||
| Maximum Drawdown | 2.04 | |||
| Value At Risk | (0.45) | |||
| Potential Upside | 0.8919 |
Aqr Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Equity's standard deviation. In reality, there are many statistical measures that can use Aqr Equity historical prices to predict the future Aqr Equity's volatility.| Risk Adjusted Performance | 0.2109 | |||
| Jensen Alpha | 0.1483 | |||
| Total Risk Alpha | 0.0963 | |||
| Sortino Ratio | 0.1712 | |||
| Treynor Ratio | (0.65) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aqr Equity'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 Equity Market Backtested Returns
We consider Aqr Equity very steady. Aqr Equity Market secures Sharpe Ratio (or Efficiency) of 0.32, which signifies that the fund had a 0.32% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Aqr Equity Market, which you can use to evaluate the volatility of the entity. Please confirm Aqr Equity's Coefficient Of Variation of 286.58, mean deviation of 0.3189, and Risk Adjusted Performance of 0.2109 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. The fund shows a Beta (market volatility) of -0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Aqr Equity are expected to decrease at a much lower rate. During the bear market, Aqr Equity is likely to outperform the market.
Auto-correlation | 0.13 |
Insignificant predictability
Aqr Equity Market has insignificant predictability. Overlapping area represents the amount of predictability between Aqr Equity time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Equity Market price movement. The serial correlation of 0.13 indicates that less than 13.0% of current Aqr Equity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.13 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Aqr Equity Market lagged returns against current returns
Autocorrelation, which is Aqr Equity 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 Equity's mutual fund expected returns. We can calculate the autocorrelation of Aqr Equity returns to help us make a trade decision. For example, suppose you find that Aqr Equity 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 Equity 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 Equity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Equity 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 Equity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Equity Lagged Returns
When evaluating Aqr Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Equity mutual fund have on its future price. Aqr Equity 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 Equity autocorrelation shows the relationship between Aqr Equity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Equity Market.
Regressed Prices |
| Timeline |
Becoming a Better Investor with Macroaxis
Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Aqr Equity Market 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 Equity Correlation, Aqr Equity Volatility and Aqr Equity Alpha and Beta module to complement your research on Aqr Equity. You can also try the Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
Aqr Equity 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.