Legg Mason Correlations
| BGGCX Fund | USD 10.69 0.02 0.19% |
The current 90-days correlation between Legg Mason Partners and T Rowe Price is 0.22 (i.e., Modest 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
Modest diversification
The correlation between Legg Mason Partners 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 Legg Mason Partners and DJI in the same portfolio, assuming nothing else is changed.
Legg |
Moving together with Legg Mutual Fund
| 0.85 | VWEAX | Vanguard High Yield | PairCorr |
| 0.73 | VWEHX | Vanguard High Yield | PairCorr |
| 0.74 | BHYSX | Blackrock Hi Yld | PairCorr |
| 0.75 | BHYAX | Blackrock High Yield | PairCorr |
| 0.92 | FAHHX | American Funds American | PairCorr |
| 0.92 | FTAHX | American Funds American | PairCorr |
| 0.71 | AHTFX | American High Income | PairCorr |
| 0.87 | AHTCX | American High Income | PairCorr |
| 0.7 | OSPPX | Oppenheimer Steelpath Mlp | PairCorr |
| 0.7 | SPMPX | Invesco Steelpath Mlp | PairCorr |
Moving against Legg Mutual Fund
| 0.47 | SMPSX | Semiconductor Ultrasector | PairCorr |
| 0.45 | SMPIX | Semiconductor Ultrasector | PairCorr |
| 0.51 | JNJ | Johnson Johnson Earnings Call This Week | PairCorr |
| 0.51 | INTC | Intel Earnings Call This Week | PairCorr |
| 0.47 | HPQ | HP Inc | PairCorr |
| 0.45 | XOM | Exxon Mobil Corp Fiscal Year End 7th of February 2025 | PairCorr |
| 0.37 | DD | Dupont De Nemours Fiscal Year End 4th of February 2025 | PairCorr |
| 0.35 | TRV | The Travelers Companies | PairCorr |
Related Correlations Analysis
| 0.95 | 0.47 | 0.77 | 0.44 | 0.32 | PRNHX | ||
| 0.95 | 0.33 | 0.81 | 0.3 | 0.36 | SCYVX | ||
| 0.47 | 0.33 | 0.41 | 0.9 | -0.06 | TRBCX | ||
| 0.77 | 0.81 | 0.41 | 0.2 | 0.67 | RHSIX | ||
| 0.44 | 0.3 | 0.9 | 0.2 | -0.36 | OPTCX | ||
| 0.32 | 0.36 | -0.06 | 0.67 | -0.36 | SMPIX | ||
| 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
| High negative correlations
|
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PRNHX | 0.85 | 0.01 | 0.00 | 0.03 | 1.20 | 1.69 | 7.56 | |||
| SCYVX | 0.91 | (0.02) | (0.02) | (0.01) | 1.22 | 1.73 | 9.85 | |||
| TRBCX | 0.82 | 0.07 | 0.05 | 0.27 | 1.07 | 1.57 | 5.70 | |||
| RHSIX | 1.05 | (0.06) | 0.00 | (0.09) | 0.00 | 2.23 | 9.65 | |||
| OPTCX | 0.14 | 0.02 | 0.01 | 0.47 | 0.00 | 0.31 | 1.35 | |||
| SMPIX | 2.68 | (0.16) | 0.00 | (0.13) | 0.00 | 4.94 | 19.55 |