Qs Large Correlations

LMTIX Fund

USD 27.94 0.13 0.47%

The current 90-days correlation between Qs Large Cap and Pace Municipal Fixed is -0.02 (i.e., Good diversification). The correlation of Qs Large 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 Large Correlation With Market

Poor diversification

The correlation between Qs Large Cap and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Qs Large Cap 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 Large Cap. 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 gross domestic product.

Moving together with LMTIX Mutual Fund

0.87	SAGCX	Clearbridge Aggressive	Pair Corr
0.84	LGASX	Clearbridge Small Cap	Pair Corr
0.94	LGFEX	Qs International Equity	Pair Corr
0.89	SAPCX	Clearbridge Appreciation	Pair Corr
0.85	WAASX	Western Asset Total	Pair Corr
0.96	LGSCX	Qs Small Capitalization	Pair Corr
0.62	WAGIX	Western Asset Global	Pair Corr
0.78	SSTLX	Western Asset Short	Pair Corr
0.76	WAHSX	Western Asset High	Pair Corr
0.9	SBICX	Clearbridge International	Pair Corr
0.86	WARIX	Western Asset Total	Pair Corr
0.82	SBMLX	Clearbridge Mid Cap	Pair Corr
0.83	SBPLX	Clearbridge Dividend	Pair Corr
0.86	WAUCX	Western Asset Total	Pair Corr
0.86	WAURX	Western Asset Total	Pair Corr
0.87	SBSDX	Qs Sp 500	Pair Corr
0.72	WAYRX	Western Asset High	Pair Corr

Moving against LMTIX Mutual Fund

0.54	WAFCX	Western Asset Inflation	Pair Corr
0.47	WAFRX	Western Asset Inflation	Pair Corr
0.43	WAFSX	Western Asset Inflation	Pair Corr
0.42	WATPX	Western Asset Inflation	Pair Corr

Related Correlations Analysis

	PCMNX	0P000070L2	PRINX	PTRMX	JAFLX	TTRBX
PCMNX		0.74	0.85	0.95	0.68	0.69	PCMNX
0P000070L2	0.74		0.41	0.57	0.35	0.71	0P000070L2
PRINX	0.85	0.41		0.91	0.58	0.49	PRINX
PTRMX	0.95	0.57	0.91		0.66	0.58	PTRMX
JAFLX	0.68	0.35	0.58	0.66		0.77	JAFLX
TTRBX	0.69	0.71	0.49	0.58	0.77		TTRBX
	PCMNX	0P000070L2	PRINX	PTRMX	JAFLX	TTRBX

Risk-Adjusted Indicators

There is a big difference between LMTIX Mutual Fund performing well and Qs Large 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 Large'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
PCMNX	0.06	0.00	(0.43)	0.00	0.00	(0.10)	0.16	(0.08)	0.33
0P000070L2	0.03	0.00	0.00	0.67	0.00	0.00	0.00	0.00	0.40
PRINX	0.07	0.01	(0.38)	(1.49)	0.00	(0.13)	0.18	(0.09)	0.71
PTRMX	0.08	0.02	(0.43)	1.14	0.00	(0.10)	0.18	(0.13)	0.49
JAFLX	0.13	0.01	(0.33)	0.42	0.07	(0.16)	0.20	(0.30)	0.91
TTRBX	0.09	0.00	(0.52)	(0.02)	0.04	(0.12)	0.20	(0.20)	0.50

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