Legg Mason Correlations

GOBAX Fund

USD 8.68 0.01 0.12%

The current 90-days correlation between Legg Mason Bw and Goldman Sachs High is 0.16 (i.e., Average 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 Bw and DJI is 0.21 (i.e., Modest 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 Risk vs Return 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 nation.

Moving together with Legg Mutual Fund

0.98	FGBRX	Templeton Global Bond	Pair Corr
0.98	FBNRX	Templeton Global Bond	Pair Corr
0.96	RCWBX	Capital World Bond	Pair Corr
0.88	CCWFX	Capital World Bond	Pair Corr
0.89	CCWCX	Capital World Bond	Pair Corr
0.89	RCWEX	Capital World Bond	Pair Corr
0.89	CCWEX	Capital World Bond	Pair Corr
0.89	RCWCX	Capital World Bond	Pair Corr
0.88	RCWGX	Capital World Bond	Pair Corr
0.88	RCWFX	Capital World Bond	Pair Corr
0.81	BRUFX	Bruce Fund Bruce	Pair Corr
0.68	KF	Korea Closed	Pair Corr
0.65	JSEAX	Jpmorgan International	Pair Corr
0.84	IIBAX	Voya Intermediate Bond	Pair Corr
0.68	MCTAX	Massmutual Retiresmart	Pair Corr
0.63	MCD	McDonalds	Pair Corr
0.68	PG	Procter Gamble	Pair Corr
0.73	VZ	Verizon Communications Aggressive Push	Pair Corr

Moving against Legg Mutual Fund

0.69	SPGSX	State Street Premier	Pair Corr
0.53	AXP	American Express	Pair Corr
0.47	BAC	Bank of America Aggressive Push	Pair Corr
0.39	PFE	Pfizer Inc	Pair Corr
0.37	CAT	Caterpillar	Pair Corr
0.33	DIS	Walt Disney	Pair Corr
0.31	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	GSHAX	BXHCX	NWJVX	SGYAX	GHVIX
GSHAX		0.95	0.8	0.96	0.94	GSHAX
BXHCX	0.95		0.8	0.92	0.97	BXHCX
NWJVX	0.8	0.8		0.89	0.85	NWJVX
SGYAX	0.96	0.92	0.89		0.92	SGYAX
GHVIX	0.94	0.97	0.85	0.92		GHVIX
	GSHAX	BXHCX	NWJVX	SGYAX	GHVIX

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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
GSHAX	0.15	0.00	0.23	(0.09)	0.18	(0.27)	0.53	(0.36)	1.08
BXHCX	0.13	(0.01)	0.00	0.28	0.00	0.00	0.37	(0.37)	1.00
NWJVX	0.08	0.01	0.69	0.67	0.00	(0.14)	0.20	(0.10)	0.61
SGYAX	0.16	0.01	0.31	0.03	0.13	(0.27)	0.56	(0.28)	1.57
GHVIX	0.16	(0.01)	0.31	0.10	0.18	(0.17)	0.24	(0.35)	1.01

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