Qs Moderate Correlations

SCGRX Fund

USD 16.92 0.08 0.48%

The current 90-days correlation between Qs Moderate Growth and Catalystmillburn Hedge Strategy is 0.17 (i.e., Average diversification). The correlation of Qs Moderate 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 Moderate Correlation With Market

Modest diversification

The correlation between Qs Moderate Growth and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Qs Moderate 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 Moderate 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 SCGRX Mutual Fund

0.69	TEBIX	Franklin Mutual Beacon	Pair Corr
0.61	TEGRX	Templeton Growth	Pair Corr
0.63	TEMGX	Templeton Global Smaller	Pair Corr
0.7	TEMEX	Franklin Mutual Beacon	Pair Corr
0.79	TEMWX	Templeton World	Pair Corr
0.71	TEMTX	Franklin Mutual Shares	Pair Corr
0.7	TEMQX	Mutual Quest	Pair Corr
0.71	SAIFX	Clearbridge Large Cap	Pair Corr
0.66	SAGYX	Clearbridge Aggressive	Pair Corr
0.69	TEQIX	Franklin Mutual Quest	Pair Corr
0.61	TEPLX	Templeton Growth	Pair Corr
0.79	TWDAX	Templeton World	Pair Corr
0.72	TESIX	Franklin Mutual Shares	Pair Corr
0.62	TESGX	Templeton Global Smaller	Pair Corr
0.72	TESRX	Franklin Mutual Shares	Pair Corr
0.78	TEWTX	Templeton World	Pair Corr
0.67	SAPYX	Clearbridge Appreciation	Pair Corr
0.78	SASMX	Clearbridge Small Cap	Pair Corr
0.64	WAARX	Western Asset Total	Pair Corr

Related Correlations Analysis

	MBXAX	IGIEX	SYMAX	WFEMX	RYCCX	SEKRX	EGLNX
MBXAX		0.01	0.7	0.46	0.79	-0.44	0.79	MBXAX
IGIEX	0.01		0.15	0.41	0.11	0.63	-0.2	IGIEX
SYMAX	0.7	0.15		0.22	0.69	-0.44	0.79	SYMAX
WFEMX	0.46	0.41	0.22		0.61	0.32	0.18	WFEMX
RYCCX	0.79	0.11	0.69	0.61		-0.25	0.71	RYCCX
SEKRX	-0.44	0.63	-0.44	0.32	-0.25		-0.69	SEKRX
EGLNX	0.79	-0.2	0.79	0.18	0.71	-0.69		EGLNX
	MBXAX	IGIEX	SYMAX	WFEMX	RYCCX	SEKRX	EGLNX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

RYCCX	+ 0.79	MBXAX
EGLNX	+ 0.79	MBXAX
EGLNX	+ 0.79	SYMAX
EGLNX	+ 0.71	RYCCX
SYMAX	+ 0.7	MBXAX
RYCCX	+ 0.69	SYMAX

High negative correlations

EGLNX	- 0.69	SEKRX
SEKRX	- 0.44	SYMAX
SEKRX	- 0.44	MBXAX
SEKRX	- 0.25	RYCCX
EGLNX	- 0.2	IGIEX

Risk-Adjusted Indicators

There is a big difference between SCGRX Mutual Fund performing well and Qs Moderate 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 Moderate'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
MBXAX	0.37	0.05	0.04	0.69	0.61	(0.38)	0.73	(0.69)	5.19
IGIEX	0.25	(0.06)	0.00	(1.02)	0.00	0.00	0.48	(0.71)	2.16
SYMAX	0.47	(0.02)	0.00	(0.22)	0.00	0.00	0.97	(1.04)	2.78
WFEMX	0.63	(0.02)	0.00	(0.17)	0.00	0.00	1.42	(1.13)	4.98
RYCCX	1.73	0.12	0.04	0.50	2.76	(1.68)	3.08	(4.84)	13.87
SEKRX	0.64	(0.09)	0.00	(0.46)	0.00	0.00	1.57	(1.47)	4.23
EGLNX	0.83	0.17	0.13	0.55	1.03	(0.91)	1.86	(1.70)	5.83

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC