AQR International Risk Analysis And Volatility Evaluation

ANDRX -- USA Fund  

USD 12.51  0.04  0.32%

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.
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.
One Month Beta |Analyze AQR International Demand Trend
Check current 30 days AQR International correlation with market (DOW)
β = -0.014

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 seventeen. 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 -0.014 . 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. Additionally, AQR International Defensive Style R6 has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of AQR International is -1394.04. The daily returns are destributed with a variance of 0.59 and standard deviation of 0.77. The mean deviation of AQR International Defensive Style R6 is currently at 0.6. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.04
β
Beta against DOW=0.01
σ
Overall volatility
=0.77
Ir
Information ratio =0.0438

AQR International Return Volatility

AQR International Defensive Style R6 shows 0.7658% volatility of returns over 30 trading days. DOW inherits 1.1955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

AQR International Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Moves indifferently to market move

Investment Outlook

AQR International Investment Opportunity

DOW has a standard deviation of returns of 1.2 and is 1.56 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 normal upward fluctuation. Check odds of AQR International to be traded at $13.14 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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