Qs Defensive Correlations

LMLRX Fund

USD 13.37 0.01 0.07%

The current 90-days correlation between Qs Defensive Growth and Vanguard Lifestrategy Moderate is 0.88 (i.e., Very poor diversification). The correlation of Qs Defensive 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Qs Defensive Correlation With Market

Poor diversification

The correlation between Qs Defensive Growth and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Qs Defensive Growth and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Qs Defensive Growth. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with LMLRX Mutual Fund

0.68	SAGCX	Clearbridge Aggressive	Pair Corr
0.65	LGASX	Clearbridge Small Cap	Pair Corr
0.71	SAPCX	Clearbridge Appreciation	Pair Corr
0.71	LGSCX	Qs Small Capitalization	Pair Corr
0.97	SBCLX	Qs Defensive Growth	Pair Corr
0.72	WAHSX	Western Asset High	Pair Corr
0.73	SBMLX	Clearbridge Mid Cap	Pair Corr
0.68	SBPLX	Clearbridge Dividend	Pair Corr
0.7	SBSDX	Qs Sp 500	Pair Corr
0.74	WAYRX	Western Asset High	Pair Corr
0.91	SCBCX	Qs Servative Growth	Pair Corr
0.81	SCGCX	Qs Moderate Growth	Pair Corr

Related Correlations Analysis

	VSMGX	VASIX	VASGX	VEXPX
VSMGX		0.37	0.98	0.74	VSMGX
VASIX	0.37		0.16	-0.13	VASIX
VASGX	0.98	0.16		0.82	VASGX
VEXPX	0.74	-0.13	0.82		VEXPX
	VSMGX	VASIX	VASGX	VEXPX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

VASGX	+ 0.98	VSMGX
VEXPX	+ 0.82	VASGX
VEXPX	+ 0.74	VSMGX
VASIX	+ 0.37	VSMGX
VASGX	+ 0.16	VASIX

High negative correlations

VEXPX

- 0.13

VASIX

Risk-Adjusted Indicators

There is a big difference between LMLRX Mutual Fund performing well and Qs Defensive Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Qs Defensive's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VSMGX	0.34	(0.02)	(0.19)	0.08	0.37	(0.34)	0.74	(0.71)	1.99
VASIX	0.20	(0.01)	(0.45)	0.06	0.20	(0.23)	0.44	(0.32)	1.15
VASGX	0.43	(0.02)	(0.13)	0.09	0.52	(0.44)	0.94	(0.81)	2.61
VEXPX	0.73	(0.02)	0.00	0.11	0.83	(0.77)	1.61	(1.54)	5.78

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