Legg Mason Correlations

LROIX Fund

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The current 90-days correlation between Legg Mason Bw and Alliancebernstein Global High is 0.16 (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

Average diversification

The correlation between Legg Mason Bw and DJI is 0.15 (i.e., Average 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 gross domestic product.

Moving together with Legg Mutual Fund

0.78	TEFRX	Templeton Foreign	Pair Corr
0.77	TEFTX	Templeton Foreign	Pair Corr
0.96	TEGBX	Templeton Global Bond	Pair Corr
0.78	TEMFX	Templeton Foreign	Pair Corr
0.84	TEMMX	Templeton Emerging	Pair Corr
0.76	TEMIX	Franklin Mutual European	Pair Corr
0.84	TEMZX	Templeton Emerging	Pair Corr
0.81	LGGAX	Clearbridge International	Pair Corr
0.76	TEURX	Franklin Mutual European	Pair Corr
0.84	LGIEX	Qs International Equity	Pair Corr
0.8	WAARX	Western Asset Total	Pair Corr

Moving against Legg Mutual Fund

0.62	SAIFX	Clearbridge Large Cap	Pair Corr
0.61	SAGYX	Clearbridge Aggressive	Pair Corr
0.59	TESIX	Franklin Mutual Shares	Pair Corr
0.59	TESRX	Franklin Mutual Shares	Pair Corr
0.58	TEMTX	Franklin Mutual Shares	Pair Corr
0.34	TWDAX	Templeton World	Pair Corr
0.33	TEMWX	Templeton World	Pair Corr
0.72	SBAYX	Western Asset Adjustable	Pair Corr
0.6	SAPYX	Clearbridge Appreciation	Pair Corr
0.6	LGVAX	Clearbridge Value Trust	Pair Corr
0.59	SASMX	Clearbridge Small Cap	Pair Corr
0.54	FRBSX	Franklin Balance Sheet	Pair Corr
0.51	FRAAX	Franklin Growth Oppo	Pair Corr
0.4	FRDPX	Franklin Rising Dividends	Pair Corr
0.4	FRDRX	Franklin Rising Dividends	Pair Corr
0.38	FRDTX	Franklin Rising Dividends	Pair Corr

Related Correlations Analysis

	AWF	MGGNX	LFLCX	MSTGX	SGMAX	CABIX	CNGLX	TEDIX
AWF		0.43	0.78	0.67	0.03	0.62	0.38	0.68	AWF
MGGNX	0.43		0.62	0.62	0.36	0.69	0.34	0.36	MGGNX
LFLCX	0.78	0.62		0.71	-0.18	0.66	0.14	0.43	LFLCX
MSTGX	0.67	0.62	0.71		0.27	0.65	0.43	0.74	MSTGX
SGMAX	0.03	0.36	-0.18	0.27		0.5	0.73	0.44	SGMAX
CABIX	0.62	0.69	0.66	0.65	0.5		0.64	0.68	CABIX
CNGLX	0.38	0.34	0.14	0.43	0.73	0.64		0.6	CNGLX
TEDIX	0.68	0.36	0.43	0.74	0.44	0.68	0.6		TEDIX
	AWF	MGGNX	LFLCX	MSTGX	SGMAX	CABIX	CNGLX	TEDIX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

LFLCX	+ 0.78	AWF
TEDIX	+ 0.74	MSTGX
CNGLX	+ 0.73	SGMAX
MSTGX	+ 0.71	LFLCX
CABIX	+ 0.69	MGGNX
TEDIX	+ 0.68	AWF

High negative correlations

SGMAX

- 0.18

LFLCX

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
AWF	0.32	(0.02)	(0.24)	0.00	0.38	(0.39)	0.65	(0.74)	1.91
MGGNX	0.20	0.03	(0.27)	(1.90)	0.11	(0.26)	0.46	(0.34)	1.13
LFLCX	0.18	(0.01)	(0.43)	(0.08)	0.18	(0.22)	0.32	(0.32)	1.16
MSTGX	0.22	(0.03)	(0.37)	(0.03)	0.24	(0.31)	0.53	(0.42)	1.17
SGMAX	0.35	0.04	(0.14)	0.91	0.26	(0.43)	0.71	(0.63)	1.58
CABIX	0.31	0.02	(0.18)	0.87	0.36	(0.34)	0.57	(0.72)	1.86
CNGLX	0.54	0.01	(0.12)	(1.57)	0.77	(0.53)	1.04	(1.18)	3.68
TEDIX	0.50	(0.08)	0.00	(0.02)	0.00	0.00	0.88	(1.05)	2.77

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