Legg Mason Correlations

LBDRX Fund

USD 23.74 0.04 0.17%

The current 90-days correlation between Legg Mason Bw and Vanguard Value Index is 0.95 (i.e., Almost no 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

Almost no diversification

The correlation between Legg Mason Bw and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Bw and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Legg Mason Bw. 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 metropolitan statistical area.

Moving together with Legg Mutual Fund

0.96	SAGCX	Clearbridge Aggressive	Pair Corr
0.95	LGSCX	Qs Small Capitalization	Pair Corr
0.63	SBCLX	Qs Defensive Growth	Pair Corr
0.72	WAHSX	Western Asset High	Pair Corr
0.97	SBMLX	Clearbridge Mid Cap	Pair Corr
0.95	SBSDX	Qs Sp 500	Pair Corr
0.68	WAYRX	Western Asset High	Pair Corr
0.87	SCBCX	Qs Servative Growth	Pair Corr
0.92	SCGCX	Qs Moderate Growth	Pair Corr
0.97	LISGX	Clearbridge Small Cap	Pair Corr
0.88	LLARX	Qs Servative Growth	Pair Corr
0.94	LLLRX	Qs Growth Fund	Pair Corr
0.95	LMBMX	Qs Small Capitalization	Pair Corr
0.96	LMESX	Clearbridge Appreciation	Pair Corr
0.97	LMISX	Qs Large Cap	Pair Corr
0.62	LMLRX	Qs Defensive Growth	Pair Corr
0.99	LMLSX	Clearbridge Large Cap	Pair Corr

Moving against Legg Mutual Fund

0.81	LGOCX	Legg Mason Bw	Pair Corr
0.76	WACSX	Western Asset E	Pair Corr
0.74	WATCX	Western Asset Interm	Pair Corr
0.73	WATRX	Western Asset Interm	Pair Corr
0.72	WAPRX	Western Asset E	Pair Corr
0.71	WACIX	Western Asset E	Pair Corr
0.71	WAPSX	Western Asset E	Pair Corr
0.69	WAFCX	Western Asset Inflation	Pair Corr
0.68	WAFRX	Western Asset Inflation	Pair Corr
0.66	WAFSX	Western Asset Inflation	Pair Corr
0.66	WATPX	Western Asset Inflation	Pair Corr
0.64	LGFEX	Qs International Equity	Pair Corr
0.64	LIESX	Qs International Equity	Pair Corr
0.55	SSTLX	Western Asset Short	Pair Corr
0.37	WARIX	Western Asset Total	Pair Corr
0.32	SBYLX	Western Asset New	Pair Corr
0.81	LMSMX	Western Asset Smash	Pair Corr
0.81	GOBSX	Legg Mason Bw	Pair Corr
0.73	LMLCX	Western Asset Smash	Pair Corr
0.7	LMBSX	Western Asset Mortgage	Pair Corr
0.68	LAOCX	Legg Mason Bw	Pair Corr
0.65	LIORX	Clearbridge International	Pair Corr
0.65	LMGEX	Qs International Equity	Pair Corr
0.48	LMECX	Western Asset Smash	Pair Corr

Related Correlations Analysis

	VVIAX	DOXGX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX
VVIAX		0.95	0.96	0.96	0.96	0.96	0.95	0.95	1.0	VVIAX
DOXGX	0.95		0.88	0.88	0.87	0.87	0.86	1.0	0.95	DOXGX
FFMMX	0.96	0.88		1.0	1.0	1.0	1.0	0.88	0.96	FFMMX
FFFMX	0.96	0.88	1.0		1.0	1.0	1.0	0.88	0.96	FFFMX
AMRMX	0.96	0.87	1.0	1.0		1.0	1.0	0.87	0.96	AMRMX
AMFFX	0.96	0.87	1.0	1.0	1.0		1.0	0.87	0.96	AMFFX
AMFCX	0.95	0.86	1.0	1.0	1.0	1.0		0.86	0.95	AMFCX
DODGX	0.95	1.0	0.88	0.88	0.87	0.87	0.86		0.95	DODGX
VIVAX	1.0	0.95	0.96	0.96	0.96	0.96	0.95	0.95		VIVAX
	VVIAX	DOXGX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX

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Risk-Adjusted Indicators

There is a big difference between Legg Mutual Fund performing well and Legg Mason 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 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
VVIAX	0.51	(0.01)	(0.06)	0.12	0.38	(0.61)	1.05	(0.83)	3.45
DOXGX	0.52	(0.02)	(0.06)	0.11	0.44	(0.58)	0.94	(0.93)	4.22
FFMMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.90	(0.86)	2.66
FFFMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.90	(0.86)	2.68
AMRMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.91	(0.86)	2.66
AMFFX	0.46	(0.02)	(0.12)	0.10	0.43	(0.52)	0.90	(0.86)	2.68
AMFCX	0.46	(0.02)	(0.13)	0.09	0.43	(0.51)	0.90	(0.88)	2.68
DODGX	0.52	(0.02)	(0.06)	0.11	0.44	(0.58)	0.94	(0.94)	4.22
VIVAX	0.51	(0.01)	(0.06)	0.12	0.38	(0.61)	1.05	(0.83)	3.45

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