Aqr Long Short Equity Fund Market Value
| QLENX Fund | USD 14.93 0.10 0.67% |
| Symbol | Aqr |
Aqr Long-short '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 Long-short'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 Long-short.
| 05/05/2022 |
| 04/24/2024 |
If you would invest 0.00 in Aqr Long-short on May 5, 2022 and sell it all today you would earn a total of 0.00 from holding Aqr Long Short Equity or generate 0.0% return on investment in Aqr Long-short over 720 days. Aqr Long-short is related to or competes with Aqr Large, Aqr Large, Aqr International, Aqr International, Aqr Managed, Aqr Managed, and Aqr Managed. Under normal market conditions, the fund pursues its investment objective by investing at least 80 percent of its net as... More
Aqr Long-short 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 Long-short'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 Long Short Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4118 | |||
| Information Ratio | 0.1479 | |||
| Maximum Drawdown | 2.18 | |||
| Value At Risk | (0.59) | |||
| Potential Upside | 1.02 |
Aqr Long-short Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aqr Long-short's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aqr Long-short's standard deviation. In reality, there are many statistical measures that can use Aqr Long-short historical prices to predict the future Aqr Long-short's volatility.| Risk Adjusted Performance | 0.2094 | |||
| Jensen Alpha | 0.1374 | |||
| Total Risk Alpha | 0.0879 | |||
| Sortino Ratio | 0.1618 | |||
| Treynor Ratio | 1.36 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aqr Long-short'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 Long Short Backtested Returns
We consider Aqr Long-short very steady. Aqr Long Short secures Sharpe Ratio (or Efficiency) of 0.34, which signifies that the fund had a 0.34% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Aqr Long Short Equity, which you can use to evaluate the volatility of the entity. Please confirm Aqr Long-short's Coefficient Of Variation of 289.02, mean deviation of 0.3497, and Risk Adjusted Performance of 0.2094 to double-check if the risk estimate we provide is consistent with the expected return of 0.15%. The fund shows a Beta (market volatility) of 0.11, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Aqr Long-short's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aqr Long-short is expected to be smaller as well.
Auto-correlation | 0.47 |
Average predictability
Aqr Long Short Equity has average predictability. Overlapping area represents the amount of predictability between Aqr Long-short time series from 5th of May 2022 to 30th of April 2023 and 30th of April 2023 to 24th 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 Long Short price movement. The serial correlation of 0.47 indicates that about 47.0% of current Aqr Long-short price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 1.44 |
Aqr Long Short lagged returns against current returns
Autocorrelation, which is Aqr Long-short 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 Long-short's mutual fund expected returns. We can calculate the autocorrelation of Aqr Long-short returns to help us make a trade decision. For example, suppose you find that Aqr Long-short 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 Long-short 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 Long-short mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aqr Long-short 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 Long-short mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aqr Long-short Lagged Returns
When evaluating Aqr Long-short's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aqr Long-short mutual fund have on its future price. Aqr Long-short 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 Long-short autocorrelation shows the relationship between Aqr Long-short mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aqr Long Short Equity.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Aqr Long-short in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Aqr Long-short's short interest history, or implied volatility extrapolated from Aqr Long-short options trading.
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Check out Aqr Long-short Correlation, Aqr Long-short Volatility and Aqr Long-short Alpha and Beta module to complement your research on Aqr Long-short. You can also try the Stocks Directory module to find actively traded stocks across global markets.
Aqr Long-short 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.