Legg Mason Correlations

QLMETX Fund

USD 21.78 0.20 0.93%

The current 90-days correlation between Legg Mason Partners and Aqr Equity Market is 0.13 (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

Poor diversification

The correlation between Legg Mason Partners and DJI is 0.76 (i.e., 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 income.

Moving together with Legg Fund

0.7	VTSAX	Vanguard Total Stock	Pair Corr
0.65	VFIAX	Vanguard 500 Index	Pair Corr
0.7	VTSMX	Vanguard Total Stock	Pair Corr
0.63	VITSX	Vanguard Total Stock	Pair Corr
0.7	VSTSX	Vanguard Total Stock	Pair Corr
0.7	VSMPX	Vanguard Total Stock	Pair Corr
0.65	VFINX	Vanguard 500 Index	Pair Corr
0.72	VFFSX	Vanguard 500 Index	Pair Corr
0.94	FTYPX	Fidelity Freedom Index	Pair Corr
0.86	FFBTX	Fidelity Freedom Blend	Pair Corr
0.86	GQLOX	Gmo Quality Fund	Pair Corr
0.68	GMCQX	Gmo Equity Allocation	Pair Corr
0.65	DD	Dupont De Nemours	Pair Corr
0.77	JPM	JPMorgan Chase	Pair Corr
0.72	WMT	Walmart	Pair Corr

Moving against Legg Fund

0.51

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	QMNIX	RBCIX	CIESX	QLENX	RTIUX	TOIIX
QMNIX		0.64	0.68	0.61	0.9	0.64	QMNIX
RBCIX	0.64		0.82	0.81	0.77	0.92	RBCIX
CIESX	0.68	0.82		0.86	0.8	0.8	CIESX
QLENX	0.61	0.81	0.86		0.69	0.91	QLENX
RTIUX	0.9	0.77	0.8	0.69		0.74	RTIUX
TOIIX	0.64	0.92	0.8	0.91	0.74		TOIIX
	QMNIX	RBCIX	CIESX	QLENX	RTIUX	TOIIX

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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
QMNIX	0.30	0.14	0.45	0.89	0.00	(0.41)	0.68	(0.39)	1.97
RBCIX	1.36	0.27	0.17	0.74	1.30	(1.65)	2.72	(2.64)	7.76
CIESX	0.68	0.10	0.12	0.15	0.89	(0.73)	1.58	(1.17)	5.26
QLENX	0.42	0.13	0.29	(4.90)	0.35	(0.49)	0.81	(0.60)	3.11
RTIUX	0.61	0.07	0.12	(0.48)	0.76	(0.66)	1.47	(1.45)	5.02
TOIIX	0.64	0.23	0.33	(3.35)	0.45	(0.75)	1.51	(0.99)	5.44

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