Legg Mason Correlations

QLMAFX Fund

USD 13.11 0.06 0.46%

The current 90-days correlation between Legg Mason Partners and Blackrock Government Bond 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 Partners and DJI is 0.8 (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 Partners and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Legg Mason Partners. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Legg Fund

0.9	VTSAX	Vanguard Total Stock	Pair Corr
0.9	VFIAX	Vanguard 500 Index	Pair Corr
0.9	VTSMX	Vanguard Total Stock	Pair Corr
0.9	VITSX	Vanguard Total Stock	Pair Corr
0.9	VSTSX	Vanguard Total Stock	Pair Corr
0.9	VSMPX	Vanguard Total Stock	Pair Corr
0.9	VFINX	Vanguard 500 Index	Pair Corr
0.9	VFFSX	Vanguard 500 Index	Pair Corr
0.74	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.82	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.86	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.78	CSCO	Cisco Systems Sell-off Trend	Pair Corr
0.66	IBM	International Business Fiscal Year End 22nd of January 2025	Pair Corr
0.67	HPQ	HP Inc	Pair Corr
0.87	HD	Home Depot	Pair Corr
0.66	DIS	Walt Disney Sell-off Trend	Pair Corr
0.84	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.73	WMT	Walmart Aggressive Push	Pair Corr

Moving against Legg Fund

0.7	PFHCX	Pacific Funds Small	Pair Corr
0.61	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.52	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.4	PFE	Pfizer Inc Aggressive Push	Pair Corr

Related Correlations Analysis

	BIGLX	RYAQX	ICAXX	USGFX	AIEXX	DIPXX	RGVJX
BIGLX		-0.98	0.0	0.99	0.0	-0.74	0.99	BIGLX
RYAQX	-0.98		0.0	-0.97	0.0	0.82	-0.97	RYAQX
ICAXX	0.0	0.0		0.0	0.0	0.0	0.0	ICAXX
USGFX	0.99	-0.97	0.0		0.0	-0.74	1.0	USGFX
AIEXX	0.0	0.0	0.0	0.0		0.0	0.0	AIEXX
DIPXX	-0.74	0.82	0.0	-0.74	0.0		-0.73	DIPXX
RGVJX	0.99	-0.97	0.0	1.0	0.0	-0.73		RGVJX
	BIGLX	RYAQX	ICAXX	USGFX	AIEXX	DIPXX	RGVJX

Click cells to compare fundamentals

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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

RGVJX	+ 1.0	USGFX
USGFX	+ 0.99	BIGLX
RGVJX	+ 0.99	BIGLX
DIPXX	+ 0.82	RYAQX
ICAXX	+ 0.0	BIGLX
AIEXX	+ 0.0	BIGLX

High negative correlations

RYAQX	- 0.98	BIGLX
RGVJX	- 0.97	RYAQX
USGFX	- 0.97	RYAQX
DIPXX	- 0.74	USGFX
DIPXX	- 0.74	BIGLX
RGVJX	- 0.73	DIPXX

Risk-Adjusted Indicators

There is a big difference between Legg Fund performing well and Legg Mason 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
BIGLX	0.24	(0.02)	0.00	0.47	0.00	0.00	0.33	(0.55)	1.44
RYAQX	0.61	0.05	(0.05)	0.37	0.64	(0.72)	1.52	(1.27)	5.23
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
USGFX	0.23	(0.02)	0.00	0.41	0.00	0.00	0.34	(0.42)	1.48
AIEXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
DIPXX	0.03	0.00	0.00	1.06	0.00	0.00	0.00	0.00	1.01
RGVJX	0.24	(0.02)	0.00	0.42	0.00	0.00	0.41	(0.51)	1.24

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