Legg Mason Correlations

LROIX Fund

USD 11.09 0.03 0.27%

The current 90-days correlation between Legg Mason Bw and Smead Value Fund is 0.46 (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

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 gross domestic product.

Moving together with Legg Mutual Fund

0.7	TEBIX	Franklin Mutual Beacon	Pair Corr
0.83	TEDMX	Templeton Developing	Pair Corr
0.62	TEDIX	Franklin Mutual Global	Pair Corr
0.92	TEFRX	Templeton Foreign	Pair Corr
0.87	TEFTX	Templeton Foreign	Pair Corr
0.8	TEGBX	Templeton Global Bond	Pair Corr
0.61	TEGRX	Templeton Growth	Pair Corr
0.92	TEMFX	Templeton Foreign	Pair Corr
0.69	TEMEX	Franklin Mutual Beacon	Pair Corr
0.93	TEMIX	Franklin Mutual European	Pair Corr
0.93	TEMQX	Mutual Quest	Pair Corr
0.93	TEQIX	Franklin Mutual Quest	Pair Corr
0.62	TEPLX	Templeton Growth	Pair Corr
0.88	LGGAX	Clearbridge International	Pair Corr
0.95	TEURX	Franklin Mutual European	Pair Corr
0.89	LGIEX	Qs International Equity	Pair Corr
0.92	WAARX	Western Asset Total	Pair Corr

Moving against Legg Mutual Fund

0.46	TEMMX	Templeton Emerging	Pair Corr
0.37	TEMZX	Templeton Emerging	Pair Corr
0.32	TESGX	Templeton Global Smaller	Pair Corr

Related Correlations Analysis

	SMVLX	DOXGX	TACLX	TALCX	MSDVX	PCLVX
SMVLX		0.26	0.23	0.73	0.22	0.32	SMVLX
DOXGX	0.26		0.91	0.75	0.92	0.7	DOXGX
TACLX	0.23	0.91		0.7	0.8	0.71	TACLX
TALCX	0.73	0.75	0.7		0.72	0.68	TALCX
MSDVX	0.22	0.92	0.8	0.72		0.77	MSDVX
PCLVX	0.32	0.7	0.71	0.68	0.77		PCLVX
	SMVLX	DOXGX	TACLX	TALCX	MSDVX	PCLVX

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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
SMVLX	0.80	(0.05)	0.00	(0.14)	0.00	0.00	1.31	(1.85)	3.48
DOXGX	0.63	(0.02)	0.07	0.11	0.91	(0.61)	1.30	(1.41)	3.35
TACLX	0.68	(0.08)	0.00	0.85	0.00	0.00	1.26	(1.49)	3.10
TALCX	0.65	(0.01)	0.00	(0.09)	0.00	0.00	1.36	(1.38)	3.68
MSDVX	0.59	0.06	0.10	0.02	0.79	(0.61)	1.18	(1.32)	3.16
PCLVX	0.73	(0.03)	0.00	(0.12)	0.00	0.00	1.24	(1.43)	7.92

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