Clearbridge Value Correlations

LGVAX Fund

USD 112.03 0.51 0.46%

The current 90-days correlation between Clearbridge Value Trust and John Hancock Investment is -0.03 (i.e., Good diversification). The correlation of Clearbridge Value 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 Value Correlation With Market

Significant diversification

The correlation between Clearbridge Value Trust and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Value Trust 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 Clearbridge Value Trust. 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 nation.

Moving together with Clearbridge Mutual Fund

0.68	TEBIX	Franklin Mutual Beacon	Pair Corr
0.66	TEMEX	Franklin Mutual Beacon	Pair Corr
0.82	TEMTX	Franklin Mutual Shares	Pair Corr
0.83	SAIFX	Clearbridge Large Cap	Pair Corr
0.84	SAGYX	Clearbridge Aggressive	Pair Corr
0.61	TEQIX	Franklin Mutual Quest	Pair Corr
0.82	TESRX	Franklin Mutual Shares	Pair Corr
0.73	TEWTX	Templeton World	Pair Corr
0.82	SAPYX	Clearbridge Appreciation	Pair Corr
0.85	SASMX	Clearbridge Small Cap	Pair Corr
0.62	WAADX	Western Asset Smash	Pair Corr
0.63	FQTEX	Franklin Strategic Series	Pair Corr
0.77	SBBAX	Qs Servative Growth	Pair Corr

Moving against Clearbridge Mutual Fund

0.67	TEGBX	Templeton Global Bond	Pair Corr
0.48	LGIEX	Qs International Equity	Pair Corr
0.42	TEMMX	Templeton Emerging	Pair Corr
0.42	TEMZX	Templeton Emerging	Pair Corr
0.41	TEMIX	Franklin Mutual European	Pair Corr
0.4	LGGAX	Clearbridge International	Pair Corr
0.35	TEFTX	Templeton Foreign	Pair Corr
0.34	TEFRX	Templeton Foreign	Pair Corr
0.34	TEMFX	Templeton Foreign	Pair Corr
0.74	WACPX	Western Asset E	Pair Corr
0.72	WABAX	Western Asset E	Pair Corr
0.68	WAPAX	Western Asset E	Pair Corr
0.6	WAFAX	Western Asset Inflation	Pair Corr
0.6	WAIIX	Western Asset Inflation	Pair Corr
0.4	FRCTX	Franklin California Tax	Pair Corr
0.33	TFEQX	International Equity	Pair Corr
0.33	TFFAX	Templeton Foreign	Pair Corr

Related Correlations Analysis

	JLCNX	LGPIX	SBQAX	LMISX	TWQZX	MTCGX	RETSX
JLCNX		0.95	0.96	0.98	0.95	0.92	0.99	JLCNX
LGPIX	0.95		0.92	0.98	0.94	0.99	0.98	LGPIX
SBQAX	0.96	0.92		0.97	0.95	0.88	0.96	SBQAX
LMISX	0.98	0.98	0.97		0.97	0.95	0.99	LMISX
TWQZX	0.95	0.94	0.95	0.97		0.92	0.98	TWQZX
MTCGX	0.92	0.99	0.88	0.95	0.92		0.96	MTCGX
RETSX	0.99	0.98	0.96	0.99	0.98	0.96		RETSX
	JLCNX	LGPIX	SBQAX	LMISX	TWQZX	MTCGX	RETSX

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 Value 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 Value'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
JLCNX	0.58	0.00	(0.02)	0.12	0.71	(0.57)	0.99	(1.43)	4.03
LGPIX	0.72	0.01	(0.01)	0.13	0.96	(0.67)	1.55	(2.04)	5.24
SBQAX	0.64	0.03	0.03	0.16	0.62	(0.78)	1.41	(1.11)	4.87
LMISX	0.60	0.04	0.02	0.17	0.73	(0.70)	1.28	(1.49)	4.05
TWQZX	0.49	(0.01)	(0.06)	0.12	0.35	(0.57)	1.16	(0.75)	3.48
MTCGX	0.83	(0.03)	(0.02)	0.10	1.20	(0.79)	1.59	(2.29)	6.07
RETSX	0.53	(0.01)	(0.04)	0.12	0.63	(0.56)	1.04	(1.46)	4.06

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