Legg Mason Correlations

LBWAX Fund

USD 20.58 0.03 0.15%

The current 90-days correlation between Legg Mason Bw and Fidelity Series Government is 0.19 (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

Very poor diversification

The correlation between Legg Mason Bw and DJI is 0.81 (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 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 nation.

Moving together with Legg Mutual Fund

0.82	TEGRX	Templeton Growth	Pair Corr
0.91	SAIFX	Clearbridge Large Cap	Pair Corr
0.82	TWDAX	Templeton World	Pair Corr
0.98	TESIX	Franklin Mutual Shares	Pair Corr
0.71	SAPYX	Clearbridge Appreciation	Pair Corr
0.85	FQTEX	Franklin Strategic Series	Pair Corr
0.73	FQTIX	Franklin Strategic Series	Pair Corr
0.65	FREEX	Franklin Real Estate	Pair Corr
0.7	FRIAX	Franklin Income	Pair Corr
0.63	WAYCX	Western Asset High	Pair Corr
0.63	SBSPX	Qs Sp 500	Pair Corr
0.62	SCHAX	Qs Growth Fund	Pair Corr

Related Correlations Analysis

	FHNFX	GSOIX	CGTFX	SSAGX	UGSDX	BIGLX	RGVEX
FHNFX		1.0	1.0	0.88	0.7	0.99	0.97	FHNFX
GSOIX	1.0		1.0	0.88	0.69	1.0	0.96	GSOIX
CGTFX	1.0	1.0		0.89	0.72	0.99	0.96	CGTFX
SSAGX	0.88	0.88	0.89		0.89	0.86	0.88	SSAGX
UGSDX	0.7	0.69	0.72	0.89		0.66	0.71	UGSDX
BIGLX	0.99	1.0	0.99	0.86	0.66		0.96	BIGLX
RGVEX	0.97	0.96	0.96	0.88	0.71	0.96		RGVEX
	FHNFX	GSOIX	CGTFX	SSAGX	UGSDX	BIGLX	RGVEX

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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
FHNFX	0.23	0.02	0.28	0.83	0.21	(0.26)	0.55	(0.44)	1.23
GSOIX	0.24	0.02	0.28	0.45	0.22	(0.28)	0.62	(0.46)	1.42
CGTFX	0.25	0.02	0.28	0.51	0.24	(0.29)	0.60	(0.43)	1.55
SSAGX	0.06	0.01	0.76	(0.91)	0.00	(0.16)	0.10	(0.10)	0.51
UGSDX	0.03	0.00	0.00	(0.24)	0.00	0.00	0.00	0.00	0.52
BIGLX	0.26	0.02	0.23	0.34	0.26	(0.31)	0.56	(0.54)	1.58
RGVEX	0.25	0.01	0.26	(0.25)	0.24	(0.31)	0.51	(0.42)	1.38

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Legg Mason Correlations

Legg Mason Correlation With Market

Very poor diversification

Moving together with Legg Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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