Correlation Between Legg Mason and Quantified Managed

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Can any of the company-specific risk be diversified away by investing in both Legg Mason and Quantified Managed at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Legg Mason and Quantified Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Legg Mason Partners and Quantified Managed Income, you can compare the effects of market volatilities on Legg Mason and Quantified Managed and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Legg Mason with a short position of Quantified Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Legg Mason and Quantified Managed.

Diversification Opportunities for Legg Mason and Quantified Managed

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  Correlation Coefficient

Pay attention - limited upside

The 3 months correlation between Legg and Quantified is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Partners and Quantified Managed Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Quantified Managed Income and Legg Mason is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Legg Mason Partners are associated (or correlated) with Quantified Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Quantified Managed Income has no effect on the direction of Legg Mason i.e., Legg Mason and Quantified Managed go up and down completely randomly.

Pair Corralation between Legg Mason and Quantified Managed

Assuming the 90 days horizon Legg Mason Partners is expected to generate 76.75 times more return on investment than Quantified Managed. However, Legg Mason is 76.75 times more volatile than Quantified Managed Income. It trades about 0.06 of its potential returns per unit of risk. Quantified Managed Income is currently generating about 0.03 per unit of risk. If you would invest  367.00  in Legg Mason Partners on September 8, 2024 and sell it today you would lose (267.00) from holding Legg Mason Partners or give up 72.75% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionFlat 
StrengthInsignificant
Accuracy98.8%
ValuesDaily Returns

Legg Mason Partners  vs.  Quantified Managed Income

 Performance 
       Timeline  
Legg Mason Partners 

Risk-Adjusted Performance

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Over the last 90 days Legg Mason Partners has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Legg Mason is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Quantified Managed Income 

Risk-Adjusted Performance

5 of 100

 
Weak
 
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Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Quantified Managed Income are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Quantified Managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Legg Mason and Quantified Managed Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Legg Mason and Quantified Managed

The main advantage of trading using opposite Legg Mason and Quantified Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Legg Mason position performs unexpectedly, Quantified Managed can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Quantified Managed will offset losses from the drop in Quantified Managed's long position.
The idea behind Legg Mason Partners and Quantified Managed Income pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

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