AQR International Risk Analysis And Volatility

ANDRX -- USA Fund  

USD 12.59  0.12  0.96%

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 Trend
Check current 30 days AQR International correlation with market (DOW)
β = -0.0279

AQR International Central Daily Price Deviation

AQR International Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. AQR International Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

AQR International Projected Return Density Against Market

Assuming 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 
      Returns 
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
α
Alpha over DOW
=0.0395
β
Beta against DOW=0.03
σ
Overall volatility
=0.71
Ir
Information ratio =0.04

AQR International Return Volatility

the 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.
 Performance (%) 
      Timeline 

Market Risk Breakdown

AQR International Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

AQR International Investment Opportunity

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

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding AQR International Defensive St and equity matching DJI index in the same portfolio.

AQR International Volatility Indicators

AQR International Defensive Style R6 Current Risk Indicators

Check also Trending Equities. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
Search macroaxis.com