We consider AQR International not too volatile. AQR International secures Sharpe Ratio (or Efficiency) of 0.2654 which signifies that the fund had 0.2654% 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 confirm AQR International Risk Adjusted Performance of 0.0868 and Mean Deviation of 0.6026 to double-check if risk estimate we provide are consistent with the epected return of 0.188%.
|Horizon||30 Days Login to change|
AQR International Market Sensitivity
|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. 2 Months Beta |Analyze AQR International Demand TrendCheck current 30 days AQR International correlation with market (DOW)|
β = -0.0279
AQR International Central Daily Price Deviation
AQR International Technical Analysis
AQR International Projected Return Density Against MarketAssuming 30 trading days horizon, AQR International Defensive Style R6 has beta of -0.0279 . This suggests as returns on benchmark increase, returns on holding AQR International are expected to decrease at a much smaller rate. During bear market, however, AQR International Defensive Style R6 is likely to outperform the market. Moreover, The company has an alpha of 0.0395 implying that it can potentially generate 0.0395% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of AQR International is 376.77. The daily returns are destributed with a variance of 0.5 and standard deviation of 0.71. The mean deviation of AQR International Defensive Style R6 is currently at 0.51. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
|Alpha over DOW||=||0.0395|
|Beta against DOW||=||0.03|
AQR International Return Volatilitythe fund shows 0.7085% volatility of returns over 30 trading days. the entity inherits 1.9131% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 1.91 and is 2.69 times more volatile than AQR International Defensive Style R6. 6% of all equities and portfolios are less risky than AQR International. Compared to the overall equity markets, volatility of historical daily returns of AQR International Defensive Style R6 is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use AQR International Defensive Style R6 to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of AQR International to be traded at $13.85 in 30 days. . 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.
AQR International correlation with market