Qs Defensive Correlations
| SBCLX Fund | USD 14.39 0.08 0.56% |
The current 90-days correlation between Qs Defensive Growth and Alpine High Yield is 0.42 (i.e., Very weak 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.
SBCLX |
Moving together with SBCLX Mutual Fund
| 0.72 | SAGCX | Clearbridge Aggressive | PairCorr |
| 0.62 | LGASX | Clearbridge Small Cap | PairCorr |
| 0.79 | SAPCX | Clearbridge Appreciation | PairCorr |
| 0.62 | SBMLX | Clearbridge Mid Cap | PairCorr |
| 0.74 | SBSDX | Qs Sp 500 | PairCorr |
| 0.95 | SCBCX | Qs Servative Growth | PairCorr |
| 0.68 | SCGCX | Qs Moderate Growth | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Risk-Adjusted Indicators
There is a big difference between SBCLX 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AHYMX | 0.12 | 0.00 | 0.29 | (0.08) | 0.13 | 0.22 | 0.76 | |||
| SGYAX | 0.16 | 0.02 | 0.30 | 0.09 | 0.10 | 0.56 | 1.57 | |||
| BXHCX | 0.13 | 0.00 | 0.26 | (0.03) | 0.14 | 0.37 | 1.00 | |||
| PHDTX | 0.12 | 0.00 | 0.27 | (0.02) | 0.13 | 0.22 | 0.79 | |||
| ARCIX | 0.55 | 0.11 | 0.22 | (1.92) | 0.53 | 1.22 | 4.94 | |||
| GHVIX | 0.16 | 0.01 | 0.31 | 0.04 | 0.16 | 0.30 | 1.01 | |||
| MWHIX | 0.12 | 0.01 | 0.36 | 0.02 | 0.06 | 0.54 | 0.87 |