AQR International Risk Analysis And Volatility Evaluation

ANDRX -- USA Fund  

USD 13.30  0.01  0.08%

We consider AQR International not too volatile. AQR International secures Sharpe Ratio (or Efficiency) of 0.0221 which signifies that AQR International had 0.0221% of return per unit of risk over the last 1 month. 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 Mean Deviation of 0.4283 and Risk Adjusted Performance of 0.0212 to double-check if risk estimate we provide are consistent with the epected return of 0.0122%.
Horizon     30 Days    Login   to change

AQR International Market Sensitivity

As returns on market increase, AQR International returns are expected to increase less than the market. However during bear market, the loss on holding AQR International will be expected to be smaller as well.
One Month Beta |Analyze AQR International Demand Trend
Check current 30 days AQR International correlation with market (DOW)
β = 0.3357
AQR International Small BetaAQR International Beta Legend

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 has beta of 0.3357 . This suggests as returns on market go up, AQR International average returns are expected to increase less than the benchmark. However during bear market, the loss on holding AQR International Defensive Style R6 will be expected to be much smaller as well. 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 4520.16. The daily returns are destributed with a variance of 0.3 and standard deviation of 0.55. The mean deviation of AQR International Defensive Style R6 is currently at 0.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.02
β
Beta against DOW=0.34
σ
Overall volatility
=0.55
Ir
Information ratio =0.14

AQR International Return Volatility

AQR International Defensive Style R6 shows 0.5508% volatility of returns over 30 trading days. DOW inherits 0.4208% 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

Slowly supersedes market

Investment Outlook

AQR International Investment Opportunity

AQR International Defensive Style R6 has a volatility of 0.55 and is 1.31 times more volatile than DOW. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use AQR International Defensive Style R6 to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of AQR International to be traded at $13.17 in 30 days. As returns on market increase, AQR International returns are expected to increase less than the market. However during bear market, the loss on holding AQR International will be expected to be smaller as well.

AQR International correlation with market

Modest 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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