Qs Defensive Correlations

SBCPX Fund

USD 13.24 0.04 0.30%

The current 90-days correlation between Qs Defensive Growth and Global Diversified Income is -0.01 (i.e., Good 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

Very weak diversification

The correlation between Qs Defensive Growth and DJI is 0.55 (i.e., Very weak 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 World Market Map 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 american community survey.

Moving together with SBCPX Mutual Fund

0.88	TEBIX	Franklin Mutual Beacon	Pair Corr
0.72	TEDMX	Templeton Developing	Pair Corr
0.7	TEDIX	Franklin Mutual Global	Pair Corr
0.7	TEDSX	Franklin Mutual Global	Pair Corr
0.69	TEDRX	Franklin Mutual Global	Pair Corr
0.83	TEFRX	Templeton Foreign	Pair Corr
0.78	TEFTX	Templeton Foreign	Pair Corr
0.84	TEGBX	Templeton Global Bond	Pair Corr
0.89	TEGRX	Templeton Growth	Pair Corr
0.78	TEMFX	Templeton Foreign	Pair Corr
0.64	TEMGX	Templeton Global Smaller	Pair Corr
0.82	TEMEX	Franklin Mutual Beacon	Pair Corr
0.74	TEMIX	Franklin Mutual European	Pair Corr
0.68	TEMWX	Templeton World	Pair Corr
0.65	TEMTX	Franklin Mutual Shares	Pair Corr
0.87	TEMQX	Mutual Quest	Pair Corr
0.67	FQCTX	Franklin Necticut Tax	Pair Corr
0.69	SAGYX	Clearbridge Aggressive	Pair Corr
0.71	FQCHX	Franklin Templeton Smacs	Pair Corr
0.67	FQEMX	Franklin Templeton Smacs	Pair Corr
0.87	TEQIX	Franklin Mutual Quest	Pair Corr
0.95	TEPLX	Templeton Growth	Pair Corr
0.7	TESGX	Templeton Global Smaller	Pair Corr
0.89	LGGAX	Clearbridge International	Pair Corr
0.74	TEURX	Franklin Mutual European	Pair Corr
0.89	LGIEX	Qs International Equity	Pair Corr
0.69	SAPYX	Clearbridge Appreciation	Pair Corr
0.73	SASMX	Clearbridge Small Cap	Pair Corr
0.74	FQNCX	Franklin North Carolina	Pair Corr
0.67	FQMDX	Franklin Maryland Tax	Pair Corr
0.76	WAARX	Western Asset Total	Pair Corr

Related Correlations Analysis

	PGBAX	LIXRX	FZABX	ELDFX	PLKTX	ACDOX	PRDAX	BDVFX
PGBAX		0.82	0.72	0.5	0.72	0.65	0.71	0.55	PGBAX
LIXRX	0.82		0.84	0.51	0.94	0.72	0.88	0.59	LIXRX
FZABX	0.72	0.84		0.71	0.87	0.89	0.92	0.8	FZABX
ELDFX	0.5	0.51	0.71		0.69	0.75	0.57	0.84	ELDFX
PLKTX	0.72	0.94	0.87	0.69		0.75	0.88	0.72	PLKTX
ACDOX	0.65	0.72	0.89	0.75	0.75		0.81	0.9	ACDOX
PRDAX	0.71	0.88	0.92	0.57	0.88	0.81		0.7	PRDAX
BDVFX	0.55	0.59	0.8	0.84	0.72	0.9	0.7		BDVFX
	PGBAX	LIXRX	FZABX	ELDFX	PLKTX	ACDOX	PRDAX	BDVFX

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Risk-Adjusted Indicators

There is a big difference between SBCPX 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
PGBAX	0.14	0.01	0.12	(0.52)	0.00	(0.19)	0.34	(0.25)	0.93
LIXRX	0.28	0.02	0.05	0.07	0.35	(0.31)	0.55	(0.49)	1.91
FZABX	0.71	(0.02)	0.00	(2.94)	0.00	0.00	1.22	(1.37)	5.18
ELDFX	0.44	(0.05)	0.00	(6.86)	0.00	0.00	0.92	(1.18)	5.08
PLKTX	0.53	0.01	0.01	0.01	0.85	(0.48)	1.06	(1.34)	3.50
ACDOX	0.23	(0.01)	0.00	0.23	0.00	0.00	0.45	(0.55)	1.45
PRDAX	0.43	(0.05)	0.00	(35.04)	0.00	0.00	0.96	(0.87)	2.39
BDVFX	0.25	(0.03)	0.00	(1.54)	0.00	0.00	0.53	(0.64)	1.58

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Qs Defensive Correlations

Qs Defensive Correlation With Market

Very weak diversification

Moving together with SBCPX Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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