Legg Mason Correlations

LBWIX Fund

USD 20.18 0.17 0.85%

The current 90-days correlation between Legg Mason Bw and The National Tax Free is 0.02 (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

Average diversification

The correlation between Legg Mason Bw and DJI is 0.12 (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 gross domestic product.

Moving together with Legg Mutual Fund

0.87	TEBIX	Franklin Mutual Beacon	Pair Corr
0.8	TEDIX	Franklin Mutual Global	Pair Corr
0.8	TEDSX	Franklin Mutual Global	Pair Corr
0.8	TEDRX	Franklin Mutual Global	Pair Corr
0.89	TEGRX	Templeton Growth	Pair Corr
0.75	TEMGX	Templeton Global Smaller	Pair Corr
0.88	TEMEX	Franklin Mutual Beacon	Pair Corr
0.63	TEMWX	Templeton World	Pair Corr
0.89	TEMTX	Franklin Mutual Shares	Pair Corr
0.79	TEMQX	Mutual Quest	Pair Corr
0.85	SAIFX	Clearbridge Large Cap	Pair Corr
0.97	SAGYX	Clearbridge Aggressive	Pair Corr
0.84	TEQIX	Franklin Mutual Quest	Pair Corr
0.89	TEPLX	Templeton Growth	Pair Corr
0.64	TWDAX	Templeton World	Pair Corr
0.88	TESIX	Franklin Mutual Shares	Pair Corr
0.75	TESGX	Templeton Global Smaller	Pair Corr
0.84	TESRX	Franklin Mutual Shares	Pair Corr
0.67	LGIEX	Qs International Equity	Pair Corr
0.65	TEWTX	Templeton World	Pair Corr
0.89	SAPYX	Clearbridge Appreciation	Pair Corr
0.86	SASMX	Clearbridge Small Cap	Pair Corr

Related Correlations Analysis

	CFNLX	MHEFX	SMPIX	RALVX	BOGSX	MDMTX	OWSBX	VOLMX
CFNLX		0.22	-0.31	0.66	0.33	0.94	0.78	0.28	CFNLX
MHEFX	0.22		0.27	0.61	0.29	0.27	0.17	0.55	MHEFX
SMPIX	-0.31	0.27		0.33	0.52	-0.29	-0.14	0.48	SMPIX
RALVX	0.66	0.61	0.33		0.74	0.7	0.75	0.74	RALVX
BOGSX	0.33	0.29	0.52	0.74		0.38	0.47	0.91	BOGSX
MDMTX	0.94	0.27	-0.29	0.7	0.38		0.83	0.35	MDMTX
OWSBX	0.78	0.17	-0.14	0.75	0.47	0.83		0.37	OWSBX
VOLMX	0.28	0.55	0.48	0.74	0.91	0.35	0.37		VOLMX
	CFNLX	MHEFX	SMPIX	RALVX	BOGSX	MDMTX	OWSBX	VOLMX

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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

MDMTX	+ 0.94	CFNLX
VOLMX	+ 0.91	BOGSX
OWSBX	+ 0.83	MDMTX
OWSBX	+ 0.78	CFNLX
OWSBX	+ 0.75	RALVX
BOGSX	+ 0.74	RALVX

High negative correlations

SMPIX	- 0.31	CFNLX
MDMTX	- 0.29	SMPIX
OWSBX	- 0.14	SMPIX

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	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CFNLX	0.15	(0.03)	(0.80)	0.00	0.00	0.22	(0.32)	1.35
MHEFX	0.50	0.01	(0.46)	0.74	(0.66)	0.96	(0.88)	5.76
SMPIX	2.53	0.00	0.01	4.07	(2.27)	4.26	(5.06)	19.56
RALVX	0.42	(0.06)	(1.04)	0.00	0.00	0.64	(0.71)	3.50
BOGSX	1.04	(0.09)	(0.26)	0.00	0.00	1.45	(2.34)	11.58
MDMTX	0.20	(0.04)	(2.67)	0.00	0.00	0.38	(0.57)	1.71
OWSBX	0.09	(0.02)	5.91	0.00	0.00	0.20	(0.20)	1.18
VOLMX	0.69	(0.08)	(0.23)	0.00	0.00	1.05	(1.35)	10.00

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