Legg Mason Correlations

LBWCX Fund

USD 19.96 0.17 0.86%

The current 90-days correlation between Legg Mason Bw and Legg Mason Partners is 0.48 (i.e., Very weak 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

Average diversification

The correlation between Legg Mason Bw and DJI is 0.1 (i.e., Average 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 main economic indicators.

Moving together with Legg Mutual Fund

0.93	SAGCX	Clearbridge Aggressive	Pair Corr
0.8	LGASX	Clearbridge Small Cap	Pair Corr
0.63	LGFEX	Qs International Equity	Pair Corr
0.94	SAPCX	Clearbridge Appreciation	Pair Corr
0.8	LGSCX	Qs Small Capitalization	Pair Corr
0.61	WAFSX	Western Asset Inflation	Pair Corr
0.95	SBMLX	Clearbridge Mid Cap	Pair Corr
0.85	SBPLX	Clearbridge Dividend	Pair Corr
0.65	WAYRX	Western Asset High	Pair Corr
0.69	LIESX	Qs International Equity	Pair Corr
0.94	SCSMX	Clearbridge Small Cap	Pair Corr

Moving against Legg Mutual Fund

0.33

ARMGX

Western Asset Adjustable

Pair Corr

Related Correlations Analysis

	QLMABX	GFRIX	RHMYX	SGYAX	MAHIX	FLOKX	AQRRX	PKHIX
QLMABX		0.65	0.52	0.72	0.86	0.82	0.59	0.19	QLMABX
GFRIX	0.65		0.21	0.81	0.72	0.24	0.17	0.32	GFRIX
RHMYX	0.52	0.21		0.48	0.65	0.65	0.87	0.46	RHMYX
SGYAX	0.72	0.81	0.48		0.8	0.48	0.51	0.06	SGYAX
MAHIX	0.86	0.72	0.65	0.8		0.71	0.68	0.31	MAHIX
FLOKX	0.82	0.24	0.65	0.48	0.71		0.76	0.13	FLOKX
AQRRX	0.59	0.17	0.87	0.51	0.68	0.76		0.24	AQRRX
PKHIX	0.19	0.32	0.46	0.06	0.31	0.13	0.24		PKHIX
	QLMABX	GFRIX	RHMYX	SGYAX	MAHIX	FLOKX	AQRRX	PKHIX

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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
QLMABX	0.52	(0.04)	0.00	(0.38)	0.00	0.00	0.82	(1.07)	4.68
GFRIX	0.04	0.00	(0.10)	0.03	0.00	(0.19)	0.11	(0.11)	0.79
RHMYX	0.28	(0.05)	0.00	(0.52)	0.00	0.00	0.53	(0.93)	2.70
SGYAX	0.11	0.00	(0.06)	0.11	0.06	(0.21)	0.14	(0.28)	1.13
MAHIX	0.09	(0.01)	(0.09)	(0.51)	0.15	(0.11)	0.10	(0.20)	0.90
FLOKX	0.50	(0.04)	0.00	(0.34)	0.00	0.00	0.93	(1.05)	3.93
AQRRX	0.44	(0.06)	0.00	(0.28)	0.00	0.00	0.84	(0.93)	3.62
PKHIX	0.07	(0.02)	0.00	(1.00)	0.00	0.00	0.11	(0.22)	1.12

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