Legg Mason Correlations

QLMLFX Fund

USD 15.52 0.11 0.70%

The current 90-days correlation between Legg Mason Partners and Vanguard Total Stock is -0.08 (i.e., Good 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

Very poor diversification

The correlation between Legg Mason Partners and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Partners and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Legg Mason Partners. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in inflation.

Moving together with Legg Fund

0.93	VTSAX	Vanguard Total Stock	Pair Corr
0.98	VFIAX	Vanguard 500 Index	Pair Corr
0.99	VTSMX	Vanguard Total Stock	Pair Corr
0.99	VITSX	Vanguard Total Stock	Pair Corr
0.93	VSTSX	Vanguard Total Stock	Pair Corr
0.93	VSMPX	Vanguard Total Stock	Pair Corr
0.98	VFINX	Vanguard 500 Index	Pair Corr
0.92	VFFSX	Vanguard 500 Index	Pair Corr
0.97	VGTSX	Vanguard Total Inter	Pair Corr
0.97	VTIAX	Vanguard Total Inter	Pair Corr
0.86	IDIVX	Integrity Dividend	Pair Corr
0.74	SVPIX	Small Cap Value	Pair Corr
0.94	DDIAX	Delaware Dividend Incme	Pair Corr
0.88	FCFAX	Frost Credit	Pair Corr
0.97	USAAX	Growth Fund Growth	Pair Corr
0.76	FEGOX	First Eagle Gold	Pair Corr
0.82	SEFCX	Sit International Equity	Pair Corr
0.86	RMBGX	Rmb Fund I	Pair Corr
0.9	SEDAX	Siit Emerging Markets	Pair Corr
0.95	DMB	Bny Mellon Municipal	Pair Corr
0.7	FIUIX	Fidelity Telecom And	Pair Corr
0.85	FUMBX	Fidelity Short Term	Pair Corr
0.81	NOINX	Northern International	Pair Corr
0.88	JRAAX	Janus Research	Pair Corr
0.94	FRPAX	Franklin Pennsylvania	Pair Corr
0.87	MAMBX	Mutual Of America	Pair Corr
0.79	OBSOX	Oberweis Small Cap	Pair Corr
0.96	PRGFX	T Rowe Price	Pair Corr
0.82	RYPNX	Royce Opportunity	Pair Corr
0.94	CPXIX	Cohen Steers Prfrd	Pair Corr
0.96	JAMRX	Janus Research	Pair Corr
0.96	HCACX	Hartford Capital	Pair Corr

Related Correlations Analysis

	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX
VTSAX		0.94	0.94	0.94	1.0	1.0	0.94	1.0	0.91	0.91	VTSAX
VFIAX	0.94		1.0	1.0	0.94	0.94	1.0	0.94	0.96	0.96	VFIAX
VTSMX	0.94	1.0		1.0	0.94	0.94	1.0	0.93	0.96	0.96	VTSMX
VITSX	0.94	1.0	1.0		0.94	0.94	1.0	0.93	0.96	0.96	VITSX
VSTSX	1.0	0.94	0.94	0.94		1.0	0.94	1.0	0.91	0.91	VSTSX
VSMPX	1.0	0.94	0.94	0.94	1.0		0.94	1.0	0.91	0.91	VSMPX
VFINX	0.94	1.0	1.0	1.0	0.94	0.94		0.94	0.96	0.96	VFINX
VFFSX	1.0	0.94	0.93	0.93	1.0	1.0	0.94		0.91	0.91	VFFSX
VGTSX	0.91	0.96	0.96	0.96	0.91	0.91	0.96	0.91		1.0	VGTSX
VTIAX	0.91	0.96	0.96	0.96	0.91	0.91	0.96	0.91	1.0		VTIAX
	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX

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Risk-Adjusted Indicators

There is a big difference between Legg Fund performing well and Legg Mason 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
VTSAX	0.52	0.06	0.01	(1.70)	0.73	(0.51)	1.15	(1.16)	4.43
VFIAX	0.52	0.01	0.00	0.05	0.74	(0.51)	1.23	(1.12)	4.22
VTSMX	0.53	0.00	0.00	0.05	0.79	(0.50)	1.15	(1.16)	4.42
VITSX	0.54	0.00	0.00	0.05	0.79	(0.51)	1.14	(1.15)	4.42
VSTSX	0.52	0.06	0.01	(1.71)	0.73	(0.51)	1.15	(1.16)	4.43
VSMPX	0.52	0.06	0.01	(1.70)	0.73	(0.51)	1.15	(1.15)	4.42
VFINX	0.52	0.01	0.00	0.05	0.74	(0.51)	1.23	(1.12)	4.22
VFFSX	0.51	0.06	0.01	(2.12)	0.69	(0.51)	1.23	(1.12)	4.22
VGTSX	0.52	0.02	0.01	0.07	0.66	(0.54)	0.99	(0.99)	3.90
VTIAX	0.52	0.02	0.01	0.07	0.65	(0.54)	0.98	(0.98)	3.86

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Legg Mason Correlations

Legg Mason Correlation With Market

Very poor diversification

Moving together with Legg Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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