Aqr Diversified Arbitrage Fund Market Value
| ADAIX Fund | USD 12.35 0.01 0.08% |
| Symbol | Aqr |
Aqr Diversified '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 Diversified'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 Diversified.
| 10/02/2022 |
| 09/21/2024 |
If you would invest 0.00 in Aqr Diversified on October 2, 2022 and sell it all today you would earn a total of 0.00 from holding Aqr Diversified Arbitrage or generate 0.0% return on investment in Aqr Diversified over 720 days. Aqr Diversified is related to or competes with Aqr Large, Aqr Large, Aqr International, Aqr International, Aqr International, Aqr Long-short, and Aqr Long-short. The fund seeks to outperform, after expenses, the ICE BofA US 3-Month Treasury Bill Index while seeking to control its t... More
Aqr Diversified 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 Diversified'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 Diversified Arbitrage upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1389 | |||
| Information Ratio | (0.69) | |||
| Maximum Drawdown | 0.5795 | |||
| Value At Risk | (0.08) | |||
| Potential Upside | 0.1671 |
Aqr Diversified Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Diversified's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Diversified's standard deviation. In reality, there are many statistical measures that can use Aqr Diversified historical prices to predict the future Aqr Diversified's volatility.| Risk Adjusted Performance | 0.3253 | |||
| Jensen Alpha | 0.0352 | |||
| Total Risk Alpha | 0.0263 | |||
| Sortino Ratio | (0.53) | |||
| Treynor Ratio | 0.7852 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aqr Diversified'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 Diversified Arbitrage Backtested Returns
At this stage we consider Aqr Mutual Fund to be very steady. Aqr Diversified Arbitrage secures Sharpe Ratio (or Efficiency) of 0.46, which signifies that the fund had a 0.46% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Aqr Diversified Arbitrage, which you can use to evaluate the volatility of the entity. Please confirm Aqr Diversified's Coefficient Of Variation of 206.56, risk adjusted performance of 0.3253, and Mean Deviation of 0.0813 to double-check if the risk estimate we provide is consistent with the expected return of 0.0489%. The fund shows a Beta (market volatility) of 0.0525, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Aqr Diversified's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aqr Diversified is expected to be smaller as well.
Auto-correlation | 0.84 |
Very good predictability
Aqr Diversified Arbitrage has very good predictability. Overlapping area represents the amount of predictability between Aqr Diversified time series from 2nd of October 2022 to 27th of September 2023 and 27th of September 2023 to 21st of September 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 Diversified Arbitrage price movement. The serial correlation of 0.84 indicates that around 84.0% of current Aqr Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Aqr Diversified Arbitrage lagged returns against current returns
Autocorrelation, which is Aqr Diversified 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 Diversified's mutual fund expected returns. We can calculate the autocorrelation of Aqr Diversified returns to help us make a trade decision. For example, suppose you find that Aqr Diversified 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 Diversified 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 Diversified mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Diversified 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 Diversified mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Diversified Lagged Returns
When evaluating Aqr Diversified's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Diversified mutual fund have on its future price. Aqr Diversified 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 Diversified autocorrelation shows the relationship between Aqr Diversified mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Diversified Arbitrage.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Aqr Mutual Fund
Aqr Diversified financial ratios help investors to determine whether Aqr Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Aqr with respect to the benefits of owning Aqr Diversified security.
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk |