Qs Defensive Correlations

LMLRX Fund

USD 13.16 0.04 0.30%

The current 90-days correlation between Qs Defensive Growth and Vanguard Wellesley Income is 0.92 (i.e., Almost no 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

Almost no diversification

The correlation between Qs Defensive Growth and DJI is 0.94 (i.e., Almost no 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

0.92	SAGCX	Clearbridge Aggressive	Pair Corr
0.9	LGASX	Clearbridge Small Cap	Pair Corr
0.99	SCGCX	Qs Moderate Growth	Pair Corr
0.98	SCHCX	Qs Growth Fund	Pair Corr
0.74	SDSIX	Western Asset Global	Pair Corr
0.98	LLLRX	Qs Growth Fund	Pair Corr
0.92	LLMRX	Qs Moderate Growth	Pair Corr
0.94	LMBMX	Qs Small Capitalization	Pair Corr
0.96	LMISX	Qs Large Cap	Pair Corr
0.96	LMTIX	Qs Large Cap	Pair Corr
0.96	LMUSX	Qs Large Cap	Pair Corr
0.82	LMVRX	Clearbridge Value Trust	Pair Corr
0.89	LMVTX	Clearbridge Value Trust	Pair Corr
0.82	LBDRX	Legg Mason Bw	Pair Corr
0.88	LBGCX	Clearbridge Mid Cap	Pair Corr
0.97	LBRIX	Clearbridge Dividend	Pair Corr
0.93	LCSSX	Clearbridge Select	Pair Corr
0.84	LWSIX	Western Asset Global	Pair Corr
0.91	VWINX	Vanguard Wellesley Income	Pair Corr
0.78	VWIAX	Vanguard Wellesley Income	Pair Corr
0.86	BKMIX	Blackrock Multi Asset	Pair Corr
0.8	HBLTX	Hartford Balanced	Pair Corr
0.92	HBLRX	Hartford Balanced	Pair Corr
0.92	HBLSX	Hartford Balanced	Pair Corr
0.92	HBLVX	Hartford Balanced	Pair Corr
0.92	HBLYX	Hartford Balanced	Pair Corr
0.92	HBLCX	Hartford Balanced	Pair Corr
0.8	HBLIX	Hartford Balanced	Pair Corr
0.83	PFN	Pimco Income Strategy	Pair Corr
0.93	CIF	Mfs Intermediate High	Pair Corr
0.65	NXJ	Nuveen New Jersey	Pair Corr
0.92	XPPRX	Voya Prime Rate	Pair Corr
0.81	PCF	Putnam High Income	Pair Corr

Moving against LMLRX Mutual Fund

0.5

SAEXX

State Street Institu

Pair Corr

Related Correlations Analysis

	VWINX	VWIAX	BKMIX	HBLTX	HBLRX	HBLSX	HBLVX	HBLYX	HBLCX	HBLIX
VWINX		0.87	0.81	0.89	0.99	0.99	1.0	1.0	0.99	0.89	VWINX
VWIAX	0.87		0.89	0.99	0.87	0.87	0.87	0.87	0.87	0.99	VWIAX
BKMIX	0.81	0.89		0.88	0.8	0.8	0.81	0.81	0.79	0.88	BKMIX
HBLTX	0.89	0.99	0.88		0.89	0.89	0.89	0.89	0.89	1.0	HBLTX
HBLRX	0.99	0.87	0.8	0.89		1.0	1.0	1.0	1.0	0.89	HBLRX
HBLSX	0.99	0.87	0.8	0.89	1.0		1.0	1.0	1.0	0.89	HBLSX
HBLVX	1.0	0.87	0.81	0.89	1.0	1.0		1.0	1.0	0.89	HBLVX
HBLYX	1.0	0.87	0.81	0.89	1.0	1.0	1.0		1.0	0.89	HBLYX
HBLCX	0.99	0.87	0.79	0.89	1.0	1.0	1.0	1.0		0.89	HBLCX
HBLIX	0.89	0.99	0.88	1.0	0.89	0.89	0.89	0.89	0.89		HBLIX
	VWINX	VWIAX	BKMIX	HBLTX	HBLRX	HBLSX	HBLVX	HBLYX	HBLCX	HBLIX

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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
VWINX	0.40	0.02	0.09	0.00	0.60	(0.43)	0.75	(1.02)	3.83
VWIAX	0.40	0.00	0.10	(0.11)	0.62	(0.41)	0.72	(1.03)	3.83
BKMIX	0.39	0.02	0.12	(0.60)	0.55	(0.43)	0.81	(0.91)	3.28
HBLTX	0.45	0.00	0.09	(0.13)	0.69	(0.48)	0.85	(1.14)	4.03
HBLRX	0.45	0.02	0.08	(0.01)	0.69	(0.48)	0.86	(1.14)	3.90
HBLSX	0.44	0.02	0.08	(0.01)	0.68	(0.48)	0.86	(1.21)	3.96
HBLVX	0.44	0.02	0.08	(0.01)	0.69	(0.46)	0.85	(1.20)	3.86
HBLYX	0.45	0.02	0.08	0.00	0.71	(0.46)	0.90	(1.20)	4.00
HBLCX	0.45	0.02	0.07	(0.02)	0.69	(0.48)	0.87	(1.17)	3.92
HBLIX	0.45	0.00	0.09	(0.11)	0.69	(0.48)	0.84	(1.15)	3.92

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