Clearbridge Small Correlations

Mutual Funds . USA . 
Fund . Clearbridge Small Cap
LMOIX Fund  USD 41.17  0.23  0.56%   
The current 90-days correlation between Clearbridge Small Cap and Clearbridge Aggressive Growth is 0.9 (i.e., Almost no diversification). The correlation of Clearbridge Small 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.

Clearbridge Small Correlation With Market

Very poor diversification

The correlation between Clearbridge Small Cap and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Small 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 Clearbridge Small 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 Clearbridge Mutual Fund

  0.99SAGCX Clearbridge AggressivePairCorr
  0.95LGASX Clearbridge Small CapPairCorr
  0.93LGFEX Qs International EquityPairCorr
  0.99SAPCX Clearbridge AppreciationPairCorr
  0.7LGOCX Legg Mason BwPairCorr
  0.8WAASX Western Asset TotalPairCorr
  0.99LGSCX Qs Small CapitalizationPairCorr
  0.64WACIX Western Asset EPairCorr
  0.7WACSX Western Asset EPairCorr
  0.67WABCX Western Asset EPairCorr
  0.67WABRX Western Asset EPairCorr
  0.76WABSX Western Asset IntermPairCorr
  0.91WAGIX Western Asset GlobalPairCorr
  0.79SSTLX Western Asset ShortPairCorr
  0.67WAFCX Western Asset InflationPairCorr
  0.7WAFSX Western Asset InflationPairCorr
  0.67WAFRX Western Asset InflationPairCorr
  0.98SBCLX Qs Defensive GrowthPairCorr
  0.95WAHSX Western Asset HighPairCorr
  0.69WAPIX Western Asset EPairCorr
  0.67WAPSX Western Asset EPairCorr
  0.63WAPRX Western Asset EPairCorr
  0.96SBICX Clearbridge InternationalPairCorr
  0.82SBILX Western Asset PoratePairCorr
  0.8WARIX Western Asset TotalPairCorr
  0.7WATCX Western Asset IntermPairCorr
  0.74WATRX Western Asset IntermPairCorr
  0.68WATPX Western Asset InflationPairCorr
  0.99SBMLX Clearbridge Mid CapPairCorr
  0.97SBPLX Clearbridge DividendPairCorr
  0.77WAUCX Western Asset TotalPairCorr
  0.79WAURX Western Asset TotalPairCorr
  0.99SBSDX Qs Sp 500PairCorr
  0.95WAYRX Western Asset HighPairCorr
  0.99SCBCX Qs Servative GrowthPairCorr
  0.99SCGCX Qs Moderate GrowthPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Clearbridge Mutual Fund performing well and Clearbridge Small 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 Clearbridge Small'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SAGCX  0.87  0.15  0.15  0.27  0.73 
(1.04)
 2.54 
(1.61)
 6.37 
LGASX  0.90  0.08  0.08  0.21  0.89 
(1.06)
 2.06 
(1.61)
 6.79 
LGFEX  0.55  0.11  0.04  0.42  0.49 
(0.59)
 1.21 
(1.10)
 3.22 
SAPCX  0.59  0.09  0.08  0.24  0.54 
(0.69)
 1.76 
(1.02)
 3.79 
LGOCX  0.33  0.04 (0.25)(0.54) 0.29 
(0.42)
 0.81 
(0.59)
 1.90 
SSMMX  0.17 (0.01)(0.48)(0.14) 0.22 
(0.21)
 0.42 
(0.35)
 1.19 
WAASX  0.16  0.02 (0.44) 1.05  0.00 
(0.20)
 0.33 
(0.33)
 0.88 
LGSCX  0.83  0.13  0.12  0.26  0.80 
(0.94)
 2.47 
(1.71)
 5.59 
WACIX  0.28  0.01 (0.31) 0.22  0.28 
(0.30)
 0.55 
(0.55)
 1.33 
WACSX  0.27  0.01 (0.30) 0.27  0.25 
(0.31)
 0.48 
(0.48)
 1.26 

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