Aqr Managed Futures Fund Market Value
| AQMNX Fund | USD 9.24 0.07 0.76% |
| Symbol | Aqr |
Aqr Managed '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 Managed'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 Managed.
| 03/17/2024 |
| 04/16/2024 |
If you would invest 0.00 in Aqr Managed on March 17, 2024 and sell it all today you would earn a total of 0.00 from holding Aqr Managed Futures or generate 0.0% return on investment in Aqr Managed over 30 days. Aqr Managed is related to or competes with Aqr Large, Aqr Large, Aqr International, Aqr International, Aqr International, Aqr Long-short, and Aqr Long. The adviser allocates the funds assets among four major asset classes More
Aqr Managed 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 Managed'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 Managed Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4784 | |||
| Information Ratio | 0.2108 | |||
| Maximum Drawdown | 2.63 | |||
| Value At Risk | (0.74) | |||
| Potential Upside | 1.17 |
Aqr Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Managed's standard deviation. In reality, there are many statistical measures that can use Aqr Managed historical prices to predict the future Aqr Managed's volatility.| Risk Adjusted Performance | 0.2142 | |||
| Jensen Alpha | 0.1781 | |||
| Total Risk Alpha | 0.126 | |||
| Sortino Ratio | 0.2529 | |||
| Treynor Ratio | 1.17 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aqr Managed'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 Managed Futures Backtested Returns
Aqr Managed appears to be very steady, given 3 months investment horizon. Aqr Managed Futures secures Sharpe Ratio (or Efficiency) of 0.41, which signifies that the fund had a 0.41% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Aqr Managed Futures, which you can use to evaluate the volatility of the entity. Please makes use of Aqr Managed's Coefficient Of Variation of 288.09, mean deviation of 0.4544, and Risk Adjusted Performance of 0.2142 to double-check if our risk estimates are consistent with your expectations. The fund shows a Beta (market volatility) of 0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Aqr Managed's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aqr Managed is expected to be smaller as well.
Auto-correlation | 0.47 |
Average predictability
Aqr Managed Futures has average predictability. Overlapping area represents the amount of predictability between Aqr Managed time series from 17th of March 2024 to 1st of April 2024 and 1st of April 2024 to 16th of April 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 Managed Futures price movement. The serial correlation of 0.47 indicates that about 47.0% of current Aqr Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Aqr Managed Futures lagged returns against current returns
Autocorrelation, which is Aqr Managed 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 Managed's mutual fund expected returns. We can calculate the autocorrelation of Aqr Managed returns to help us make a trade decision. For example, suppose you find that Aqr Managed 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 Managed 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 Managed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Managed 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 Managed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Managed Lagged Returns
When evaluating Aqr Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Managed mutual fund have on its future price. Aqr Managed 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 Managed autocorrelation shows the relationship between Aqr Managed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Managed Futures.
Regressed Prices |
| Timeline |
Pair Trading with Aqr Managed
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Aqr Managed position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Aqr Managed will appreciate offsetting losses from the drop in the long position's value.Moving together with Aqr Mutual Fund
| 0.95 | AMONX | Aqr Large Cap | PairCorr |
| 0.95 | AMOMX | Aqr Large Cap | PairCorr |
| 0.64 | ANDRX | Aqr International | PairCorr |
| 0.63 | ANDNX | Aqr International | PairCorr |
| 0.91 | QLENX | Aqr Long Short | PairCorr |
The ability to find closely correlated positions to Aqr Managed could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Aqr Managed when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Aqr Managed - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Aqr Managed Futures to buy it.
The correlation of Aqr Managed is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Aqr Managed moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Aqr Managed Futures moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Aqr Managed can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Aqr Managed Correlation, Aqr Managed Volatility and Aqr Managed Alpha and Beta module to complement your research on Aqr Managed. You can also try the Global Correlations module to find global opportunities by holding instruments from different markets.
Aqr Managed technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.