Legg Mason Correlations

LBDRX Fund

USD 20.56 0.03 0.15%

The current 90-days correlation between Legg Mason Bw and Touchstone Large Cap is 0.07 (i.e., Significant 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

Poor diversification

The correlation between Legg Mason Bw and DJI is 0.76 (i.e., Poor 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

0.9	SBCLX	Qs Defensive Growth	Pair Corr
0.81	SCBCX	Qs Servative Growth	Pair Corr
0.62	SDSIX	Western Asset Global	Pair Corr
0.9	LBISX	Legg Mason Bw	Pair Corr
0.8	LWLAX	L Mason Qs	Pair Corr
0.91	VVIAX	Vanguard Value Index	Pair Corr
0.91	DOXGX	Dodge Cox Stock	Pair Corr
0.87	AFMFX	American Mutual	Pair Corr
0.86	FFMMX	American Funds American	Pair Corr
0.86	FFFMX	American Funds American	Pair Corr
0.86	AMRMX	American Mutual	Pair Corr
0.74	AMFFX	American Mutual	Pair Corr
0.73	AMFCX	American Mutual	Pair Corr
0.76	DODGX	Dodge Stock Fund	Pair Corr
0.99	VIVAX	Vanguard Value Index	Pair Corr
0.7	CII	Blackrock Enhanced	Pair Corr

Moving against Legg Mutual Fund

0.35

IIF

Morgan Stanley India

Pair Corr

Related Correlations Analysis

	TACLX	PBLIX	GGEAX	CABIX	BPGSX	FMTIX	SMYIX
TACLX		0.87	0.59	0.59	0.62	0.79	0.59	TACLX
PBLIX	0.87		0.71	0.52	0.39	0.87	0.77	PBLIX
GGEAX	0.59	0.71		0.64	0.02	0.77	0.87	GGEAX
CABIX	0.59	0.52	0.64		0.22	0.51	0.54	CABIX
BPGSX	0.62	0.39	0.02	0.22		0.33	-0.03	BPGSX
FMTIX	0.79	0.87	0.77	0.51	0.33		0.9	FMTIX
SMYIX	0.59	0.77	0.87	0.54	-0.03	0.9		SMYIX
	TACLX	PBLIX	GGEAX	CABIX	BPGSX	FMTIX	SMYIX

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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

SMYIX	+ 0.9	FMTIX
PBLIX	+ 0.87	TACLX
FMTIX	+ 0.87	PBLIX
SMYIX	+ 0.87	GGEAX
FMTIX	+ 0.79	TACLX
SMYIX	+ 0.77	PBLIX

High negative correlations

SMYIX

- 0.03

BPGSX

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
TACLX	0.68	(0.08)	0.00	0.85	0.00	0.00	1.26	(1.49)	3.10
PBLIX	0.65	(0.06)	0.00	0.26	0.00	0.00	1.13	(1.35)	3.78
GGEAX	0.91	(0.10)	0.00	(0.23)	0.00	0.00	1.39	(2.13)	7.34
CABIX	0.61	(0.22)	0.00	6.00	0.00	0.00	0.73	(0.85)	13.25
BPGSX	0.64	0.10	0.21	(1.33)	0.76	(0.67)	1.15	(0.98)	5.23
FMTIX	0.49	0.00	0.00	(0.08)	0.00	0.00	0.82	(0.99)	2.72
SMYIX	0.83	(0.04)	0.00	(0.12)	0.00	0.00	1.25	(1.72)	4.51

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