Legg Mason Partners Fund Volatility
| QLMYTX Fund | USD 6.73 0.01 0.15% |
At this stage we consider Legg Fund to be very steady. Legg Mason Partners has Sharpe Ratio of 0.24, which conveys that the entity had a 0.24% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Legg Mason, which you can use to evaluate the volatility of the fund. Please verify Legg Mason's Risk Adjusted Performance of 0.1474, coefficient of variation of 421.52, and Mean Deviation of 0.1329 to check out if the risk estimate we provide is consistent with the expected return of 0.0425%.
Legg |
Legg Mason Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Legg daily returns, and it is calculated using variance and standard deviation. We also use Legg's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Legg Mason volatility.
Downward market volatility can be a perfect environment for investors who play the long game with Legg Mason. They may decide to buy additional shares of Legg Mason at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Legg Fund
| 0.76 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.77 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.76 | VTSMX | Vanguard Total Stock | PairCorr |
| 0.76 | VITSX | Vanguard Total Stock | PairCorr |
| 0.76 | VSTSX | Vanguard Total Stock | PairCorr |
| 0.76 | VSMPX | Vanguard Total Stock | PairCorr |
| 0.77 | VFINX | Vanguard 500 Index | PairCorr |
| 0.77 | VFFSX | Vanguard 500 Index | PairCorr |
Moving against Legg Fund
| 0.78 | PFHCX | Pacific Funds Small | PairCorr |
| 0.57 | JNJ | Johnson Johnson Sell-off Trend | PairCorr |
| 0.47 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
| 0.42 | KO | Coca Cola Aggressive Push | PairCorr |
Legg Mason Market Sensitivity And Downside Risk
Legg Mason's beta coefficient measures the volatility of Legg fund compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Legg fund's returns against your selected market. In other words, Legg Mason's beta of 0.0878 provides an investor with an approximation of how much risk Legg Mason fund can potentially add to one of your existing portfolios. Legg Mason Partners exhibits very low volatility with skewness of 0.13 and kurtosis of 0.71. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Legg Mason's fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Legg Mason's fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Legg Mason Partners Demand TrendCheck current 90 days Legg Mason correlation with market (Dow Jones Industrial)Legg Beta |
Legg standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 0.17 |
It is essential to understand the difference between upside risk (as represented by Legg Mason's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Legg Mason's daily returns or price. Since the actual investment returns on holding a position in legg fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Legg Mason.
Legg Mason Partners Fund Volatility Analysis
Volatility refers to the frequency at which Legg Mason fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Legg Mason's price changes. Investors will then calculate the volatility of Legg Mason's fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Legg Mason's volatility:
Historical Volatility
This type of fund volatility measures Legg Mason's fluctuations based on previous trends. It's commonly used to predict Legg Mason's future behavior based on its past. However, it cannot conclusively determine the future direction of the fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Legg Mason's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Legg Mason's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Legg Mason Partners Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Legg Mason Projected Return Density Against Market
Assuming the 90 days trading horizon Legg Mason has a beta of 0.0878 indicating as returns on the market go up, Legg Mason average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Legg Mason Partners will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Legg Mason or Junk Bonds Funds sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Legg Mason's price will be affected by overall fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Legg fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Legg Mason Partners has an alpha of 0.02, implying that it can generate a 0.02 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Legg Mason Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Legg Mason Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Legg Mason is 409.92. The daily returns are distributed with a variance of 0.03 and standard deviation of 0.17. The mean deviation of Legg Mason Partners is currently at 0.13. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 0.09 | |
σ | Overall volatility | 0.17 | |
Ir | Information ratio | -0.55 |
Legg Mason Fund Return Volatility
Legg Mason historical daily return volatility represents how much of Legg Mason fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund assumes 0.1743% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7444% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Legg Mason Volatility
Volatility is a rate at which the price of Legg Mason or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Legg Mason may increase or decrease. In other words, similar to Legg's beta indicator, it measures the risk of Legg Mason and helps estimate the fluctuations that may happen in a short period of time. So if prices of Legg Mason fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.3 ways to utilize Legg Mason's volatility to invest better
Higher Legg Mason's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Legg Mason Partners fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Legg Mason Partners fund volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Legg Mason Partners investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Legg Mason's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Legg Mason's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Legg Mason Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.74 and is 4.35 times more volatile than Legg Mason Partners. 1 percent of all equities and portfolios are less risky than Legg Mason. You can use Legg Mason Partners to enhance the returns of your portfolios. The fund experiences a normal upward fluctuation. Check odds of Legg Mason to be traded at $7.07 in 90 days.Weak diversification
The correlation between Legg Mason Partners and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Partners and DJI in the same portfolio, assuming nothing else is changed.
Legg Mason Additional Risk Indicators
The analysis of Legg Mason's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Legg Mason's investment and either accepting that risk or mitigating it. Along with some common measures of Legg Mason fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1474 | |||
| Market Risk Adjusted Performance | 0.3657 | |||
| Mean Deviation | 0.1329 | |||
| Downside Deviation | 0.2195 | |||
| Coefficient Of Variation | 421.52 | |||
| Standard Deviation | 0.1738 | |||
| Variance | 0.0302 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Legg Mason Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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| Bank of America vs. Legg Mason |
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Legg Mason as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Legg Mason's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Legg Mason's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Legg Mason Partners.
Other Information on Investing in Legg Fund
Legg Mason financial ratios help investors to determine whether Legg Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Legg with respect to the benefits of owning Legg Mason security.
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