Legg Mason Correlations

LGOCX Fund

USD 8.35 0.04 0.48%

The current 90-days correlation between Legg Mason Bw and Aquila Three Peaks 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

Modest diversification

The correlation between Legg Mason Bw and DJI is 0.28 (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 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

0.74	LGFEX	Qs International Equity	Pair Corr
0.92	WACIX	Western Asset E	Pair Corr
0.83	SDSIX	Western Asset Global	Pair Corr
0.89	SHDLX	Western Asset Short	Pair Corr
0.95	RGIVX	Rare Global Infrastr	Pair Corr
1.0	LBORX	Legg Mason Bw	Pair Corr
0.62	SORLX	Western Asset Oregon	Pair Corr
0.83	LWSTX	Western Asset Short	Pair Corr
0.98	FGBRX	Templeton Global Bond	Pair Corr
0.98	FBNRX	Templeton Global Bond	Pair Corr
0.96	RCWBX	Capital World Bond	Pair Corr
0.95	CCWFX	Capital World Bond	Pair Corr
0.96	CCWCX	Capital World Bond	Pair Corr
0.88	RCWEX	Capital World Bond	Pair Corr
0.95	CCWEX	Capital World Bond	Pair Corr
0.88	RCWCX	Capital World Bond	Pair Corr
0.95	RCWGX	Capital World Bond	Pair Corr
0.88	RCWFX	Capital World Bond	Pair Corr
0.86	BRUFX	Bruce Fund Bruce	Pair Corr
0.77	KF	Korea Closed	Pair Corr
0.74	PCCFX	Prudential Income Builder	Pair Corr

Moving against Legg Mutual Fund

0.58	LMPLX	Clearbridge Large Cap	Pair Corr
0.47	LSIFX	Clearbridge Aggressive	Pair Corr
0.4	LMISX	Qs Large Cap	Pair Corr
0.4	LMTIX	Qs Large Cap	Pair Corr
0.4	LMUSX	Qs Large Cap	Pair Corr
0.37	LMBMX	Qs Small Capitalization	Pair Corr
0.56	SPGSX	State Street Premier	Pair Corr

Related Correlations Analysis

	ATPAX	GUCPX	ARCIX	TBHDX	DIHRX	MWHIX	AGDAX	ARTFX
ATPAX		0.79	0.74	0.68	0.81	0.92	0.96	0.98	ATPAX
GUCPX	0.79		0.58	0.9	0.85	0.88	0.82	0.79	GUCPX
ARCIX	0.74	0.58		0.6	0.79	0.73	0.74	0.78	ARCIX
TBHDX	0.68	0.9	0.6		0.92	0.79	0.69	0.67	TBHDX
DIHRX	0.81	0.85	0.79	0.92		0.88	0.84	0.83	DIHRX
MWHIX	0.92	0.88	0.73	0.79	0.88		0.94	0.93	MWHIX
AGDAX	0.96	0.82	0.74	0.69	0.84	0.94		0.98	AGDAX
ARTFX	0.98	0.79	0.78	0.67	0.83	0.93	0.98		ARTFX
	ATPAX	GUCPX	ARCIX	TBHDX	DIHRX	MWHIX	AGDAX	ARTFX

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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
ATPAX	0.13	(0.01)	0.30	0.10	0.12	(0.24)	0.37	(0.25)	1.12
GUCPX	0.17	0.02	0.51	(0.44)	0.00	(0.21)	0.40	(0.30)	1.09
ARCIX	0.57	0.11	0.20	0.59	0.66	(0.61)	1.22	(1.24)	4.94
TBHDX	0.55	0.12	0.24	0.28	0.54	(0.66)	1.29	(1.26)	4.47
DIHRX	0.59	0.11	0.18	0.14	0.66	(0.69)	1.51	(1.19)	3.80
MWHIX	0.12	0.00	0.35	(0.02)	0.09	(0.21)	0.54	(0.32)	0.87
AGDAX	0.13	(0.01)	0.32	0.17	0.12	(0.25)	0.44	(0.29)	1.01
ARTFX	0.13	(0.01)	0.35	0.12	0.12	(0.20)	0.44	(0.22)	0.89

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