Clearbridge Large Correlations

SBLGX Fund

USD 60.16 1.20 2.04%

The current 90-days correlation between Clearbridge Large Cap and Massmutual Select Diversified is 0.45 (i.e., Very weak diversification). The correlation of Clearbridge Large 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.

Clearbridge Large Correlation With Market

Poor diversification

The correlation between Clearbridge Large Cap and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Large Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Clearbridge Large Cap. 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 price.

Moving together with ClearBridge Mutual Fund

0.87	TEMGX	Templeton Global Smaller	Pair Corr
0.66	TEMWX	Templeton World	Pair Corr
0.97	SAGYX	Clearbridge Aggressive	Pair Corr
0.73	TWDAX	Templeton World	Pair Corr
0.87	TESGX	Templeton Global Smaller	Pair Corr
0.76	TEWTX	Templeton World	Pair Corr
0.88	SAPYX	Clearbridge Appreciation	Pair Corr
0.87	SASMX	Clearbridge Small Cap	Pair Corr

Moving against ClearBridge Mutual Fund

0.48	TEMFX	Templeton Foreign	Pair Corr
0.48	TEMIX	Franklin Mutual European	Pair Corr
0.48	TEURX	Franklin Mutual European	Pair Corr
0.46	TEGBX	Templeton Global Bond	Pair Corr
0.33	TEDIX	Franklin Mutual Global	Pair Corr
0.33	TEDRX	Franklin Mutual Global	Pair Corr
0.32	TEDSX	Franklin Mutual Global	Pair Corr
0.31	TEFRX	Templeton Foreign	Pair Corr
0.31	TEFTX	Templeton Foreign	Pair Corr
0.58	SBAYX	Western Asset Adjustable	Pair Corr
0.55	SBIYX	Clearbridge International	Pair Corr
0.55	WAPAX	Western Asset E	Pair Corr
0.49	WAARX	Western Asset Total	Pair Corr
0.49	TFESX	International Equity	Pair Corr
0.49	TFFAX	Templeton Foreign	Pair Corr
0.45	TFEQX	International Equity	Pair Corr
0.42	WAIIX	Western Asset Inflation	Pair Corr
0.35	WACPX	Western Asset E	Pair Corr

Related Correlations Analysis

	MDVSX	PGBAX	DLTZX	HIIDX	QDARX	LIGFX	MBLAX
MDVSX		0.53	0.3	0.47	0.31	0.93	0.89	MDVSX
PGBAX	0.53		0.92	0.92	0.88	0.7	0.77	PGBAX
DLTZX	0.3	0.92		0.87	0.95	0.47	0.56	DLTZX
HIIDX	0.47	0.92	0.87		0.87	0.66	0.68	HIIDX
QDARX	0.31	0.88	0.95	0.87		0.43	0.53	QDARX
LIGFX	0.93	0.7	0.47	0.66	0.43		0.91	LIGFX
MBLAX	0.89	0.77	0.56	0.68	0.53	0.91		MBLAX
	MDVSX	PGBAX	DLTZX	HIIDX	QDARX	LIGFX	MBLAX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between ClearBridge Mutual Fund performing well and Clearbridge Large 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 Clearbridge Large'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
MDVSX	0.66	0.05	0.05	0.03	0.91	(0.69)	1.34	(1.43)	3.79
PGBAX	0.14	0.01	0.23	0.10	0.09	(0.18)	0.34	(0.25)	0.85
DLTZX	0.08	0.01	0.27	0.80	0.00	(0.18)	0.26	(0.13)	0.64
HIIDX	0.62	0.08	0.10	0.10	0.82	(0.64)	1.27	(0.97)	5.23
QDARX	0.08	0.03	0.61	1.49	0.00	(0.13)	0.25	(0.08)	0.49
LIGFX	0.32	0.00	0.06	(0.03)	0.43	(0.34)	0.55	(0.67)	1.75
MBLAX	0.27	0.00	0.08	(0.02)	0.35	(0.30)	0.62	(0.54)	1.51

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