Qs Large Correlations

LMTIX Fund

USD 22.90 0.04 0.17%

The current 90-days correlation between Qs Large Cap and Dreyfus Large Cap is 0.69 (i.e., Poor 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 0.79 (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

0.62	SBCLX	Qs Defensive Growth	Pair Corr
0.8	SCBCX	Qs Servative Growth	Pair Corr
0.88	SCGCX	Qs Moderate Growth	Pair Corr
0.87	LLMRX	Qs Moderate Growth	Pair Corr
0.98	LMBMX	Qs Small Capitalization	Pair Corr
1.0	LMISX	Qs Large Cap	Pair Corr
0.96	LMPLX	Clearbridge Large Cap	Pair Corr
1.0	LMUSX	Qs Large Cap	Pair Corr
0.91	LSIFX	Clearbridge Aggressive	Pair Corr
0.88	VTSAX	Vanguard Total Stock	Pair Corr
0.86	VFIAX	Vanguard 500 Index	Pair Corr
0.88	VTSMX	Vanguard Total Stock	Pair Corr
0.95	VITSX	Vanguard Total Stock	Pair Corr
0.95	VSMPX	Vanguard Total Stock	Pair Corr
0.95	VSTSX	Vanguard Total Stock	Pair Corr
0.86	VFINX	Vanguard 500 Index	Pair Corr
0.94	VFFSX	Vanguard 500 Index	Pair Corr
0.96	VINIX	Vanguard Institutional	Pair Corr
0.96	VIIIX	Vanguard Institutional	Pair Corr
0.8	CISGX	Touchstone Sands Capital	Pair Corr

Moving against LMTIX Mutual Fund

0.52	SHDLX	Western Asset Short	Pair Corr
0.52	RGIVX	Rare Global Infrastr	Pair Corr
0.49	LBORX	Legg Mason Bw	Pair Corr
0.46	WACIX	Western Asset E	Pair Corr
0.4	LGFEX	Qs International Equity	Pair Corr
0.32	SDSIX	Western Asset Global	Pair Corr
0.65	LWSTX	Western Asset Short	Pair Corr
0.57	UGPIX	Ultrachina Profund	Pair Corr
0.57	UGPSX	Ultrachina Profund	Pair Corr
0.51	PDINX	Putnam Diversified Income	Pair Corr
0.41	PMPIX	Precious Metals Ultr Steady Growth	Pair Corr

Related Correlations Analysis

	DLQIX	AMFFX	TRCPX	FCLKX	AMONX	FLRAX	MKFOX	LTFOX	MTCGX
DLQIX		0.52	0.2	0.48	0.82	0.93	0.48	0.31	0.65	DLQIX
AMFFX	0.52		0.86	0.53	0.69	0.54	0.33	0.83	0.24	AMFFX
TRCPX	0.2	0.86		0.64	0.46	0.29	0.34	0.96	0.06	TRCPX
FCLKX	0.48	0.53	0.64		0.73	0.62	0.8	0.79	0.6	FCLKX
AMONX	0.82	0.69	0.46	0.73		0.93	0.78	0.62	0.76	AMONX
FLRAX	0.93	0.54	0.29	0.62	0.93		0.74	0.46	0.79	FLRAX
MKFOX	0.48	0.33	0.34	0.8	0.78	0.74		0.58	0.79	MKFOX
LTFOX	0.31	0.83	0.96	0.79	0.62	0.46	0.58		0.27	LTFOX
MTCGX	0.65	0.24	0.06	0.6	0.76	0.79	0.79	0.27		MTCGX
	DLQIX	AMFFX	TRCPX	FCLKX	AMONX	FLRAX	MKFOX	LTFOX	MTCGX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
DLQIX	1.25	(0.29)	(0.23)	1.34	(2.33)	21.92
AMFFX	0.63	(0.10)	0.51	1.09	(1.46)	5.17
TRCPX	0.65	(0.04)	0.32	1.21	(1.53)	3.55
FCLKX	0.83	(0.01)	(0.08)	1.58	(2.15)	5.00
AMONX	1.29	(0.33)	1.23	1.66	(3.28)	13.32
FLRAX	1.01	(0.28)	(1.07)	1.29	(2.33)	11.14
MKFOX	1.23	(0.23)	0.55	1.79	(3.46)	6.73
LTFOX	0.68	(0.07)	0.41	1.42	(1.60)	3.58
MTCGX	1.38	(0.20)	(0.25)	2.12	(3.15)	11.01

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