Legg Mason Correlations

QLMAHX Fund

USD 11.45 0.05 0.44%

The current 90-days correlation between Legg Mason Partners and Western Asset Diversified is 0.16 (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

Modest diversification

The correlation between Legg Mason Partners and DJI is 0.25 (i.e., Modest 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

0.61	VFIAX	Vanguard 500 Index	Pair Corr
0.63	VTSMX	Vanguard Total Stock	Pair Corr
0.63	VSTSX	Vanguard Total Stock	Pair Corr
0.63	VSMPX	Vanguard Total Stock	Pair Corr
0.62	VFINX	Vanguard 500 Index	Pair Corr
0.62	VFFSX	Vanguard 500 Index	Pair Corr
0.66	HD	Home Depot	Pair Corr

Moving against Legg Fund

0.33

PFE

Pfizer Inc Sell-off Trend

Pair Corr

Related Correlations Analysis

	XWDIX	JDJRX	GRINX	FZABX	XHNWX
XWDIX		-0.05	0.68	0.86	0.8	XWDIX
JDJRX	-0.05		-0.23	-0.19	-0.15	JDJRX
GRINX	0.68	-0.23		0.77	0.78	GRINX
FZABX	0.86	-0.19	0.77		0.73	FZABX
XHNWX	0.8	-0.15	0.78	0.73		XHNWX
	XWDIX	JDJRX	GRINX	FZABX	XHNWX

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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

FZABX	+ 0.86	XWDIX
XHNWX	+ 0.8	XWDIX
XHNWX	+ 0.78	GRINX
FZABX	+ 0.77	GRINX
XHNWX	+ 0.73	FZABX
GRINX	+ 0.68	XWDIX

High negative correlations

GRINX	- 0.23	JDJRX
FZABX	- 0.19	JDJRX
XHNWX	- 0.15	JDJRX
JDJRX	- 0.05	XWDIX

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
XWDIX	0.19	(0.06)	0.00	3.31	0.00	0.00	0.32	(0.52)	1.56
JDJRX	0.37	0.02	0.01	(0.75)	0.42	(0.43)	0.77	(0.77)	1.99
GRINX	0.78	(0.12)	0.00	(0.33)	0.00	0.00	1.04	(2.00)	12.25
FZABX	0.69	(0.19)	0.00	(1.18)	0.00	0.00	0.75	(1.71)	7.40
XHNWX	0.22	(0.07)	0.00	3.00	0.00	0.00	0.23	(0.69)	3.08

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