Legg Mason Correlations

LBDRX Fund

USD 21.50 0.12 0.56%

The current 90-days correlation between Legg Mason Bw and Guggenheim Managed Futures is 0.69 (i.e., Poor diversification). The correlation of Legg Mason 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.

Legg Mason Correlation With Market

Almost no diversification

The correlation between Legg Mason Bw and DJI is 0.98 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Bw 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 Legg Mason Bw. 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 Legg Mutual Fund

0.89	SAGCX	Clearbridge Aggressive	Pair Corr
0.97	LGASX	Clearbridge Small Cap	Pair Corr
0.82	LGFEX	Qs International Equity	Pair Corr
0.94	SAPCX	Clearbridge Appreciation	Pair Corr
0.63	LGOCX	Legg Mason Bw	Pair Corr
0.77	WAASX	Western Asset Total	Pair Corr
0.69	WABSX	Western Asset Interm	Pair Corr
0.88	WAGIX	Western Asset Global	Pair Corr
0.72	SSTLX	Western Asset Short	Pair Corr
0.94	SBCLX	Qs Defensive Growth	Pair Corr
0.91	WAHSX	Western Asset High	Pair Corr
0.87	SBICX	Clearbridge International	Pair Corr
0.76	SBILX	Western Asset Porate	Pair Corr
0.77	WARIX	Western Asset Total	Pair Corr
0.67	WATCX	Western Asset Interm	Pair Corr
0.94	SBMLX	Clearbridge Mid Cap	Pair Corr
0.92	SBPLX	Clearbridge Dividend	Pair Corr
0.75	WAUCX	Western Asset Total	Pair Corr
0.76	WAURX	Western Asset Total	Pair Corr
0.94	SBSDX	Qs Sp 500	Pair Corr
0.92	WAYRX	Western Asset High	Pair Corr
0.84	SCBCX	Qs Servative Growth	Pair Corr
0.93	SCGCX	Qs Moderate Growth	Pair Corr
0.93	SCHCX	Qs Growth Fund	Pair Corr
0.82	LIESX	Qs International Equity	Pair Corr
0.87	LIORX	Clearbridge International	Pair Corr

Related Correlations Analysis

	RYIFX	SLFYX	ATACX	PFRMX	ABNOX	ABNCX	MXIHX
RYIFX		0.39	0.69	0.92	0.7	0.64	0.71	RYIFX
SLFYX	0.39		0.01	0.54	0.43	0.48	0.46	SLFYX
ATACX	0.69	0.01		0.76	0.62	0.57	0.65	ATACX
PFRMX	0.92	0.54	0.76		0.81	0.77	0.82	PFRMX
ABNOX	0.7	0.43	0.62	0.81		0.99	0.99	ABNOX
ABNCX	0.64	0.48	0.57	0.77	0.99		0.98	ABNCX
MXIHX	0.71	0.46	0.65	0.82	0.99	0.98		MXIHX
	RYIFX	SLFYX	ATACX	PFRMX	ABNOX	ABNCX	MXIHX

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Risk-Adjusted Indicators

There is a big difference between Legg Mutual Fund performing well and Legg Mason 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 Legg Mason'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
RYIFX	0.50	(0.01)	(0.09)	0.07	0.84	(0.50)	0.82	(1.11)	4.42
SLFYX	0.26	(0.04)	0.00	(0.43)	0.00	0.00	0.50	(0.62)	1.97
ATACX	1.01	0.20	0.09	0.65	1.20	(1.06)	2.49	(2.25)	8.56
PFRMX	0.35	0.00	(0.11)	0.12	0.55	(0.38)	0.72	(0.70)	2.23
ABNOX	0.18	0.00	(0.32)	(0.13)	0.22	(0.20)	0.39	(0.49)	1.27
ABNCX	0.18	0.00	(0.34)	(0.06)	0.23	(0.19)	0.30	(0.40)	1.29
MXIHX	0.20	0.00	(0.29)	0.01	0.25	(0.23)	0.33	(0.44)	1.30

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Legg Mason Correlations

Legg Mason Correlation With Market

Almost no diversification

Moving together with Legg Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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