Clearbridge Value Correlations

LMVTX Fund

USD 95.63 0.47 0.49%

The current 90-days correlation between Clearbridge Value Trust and Dodge Cox Stock is 0.73 (i.e., Poor 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

Almost no diversification

The correlation between Clearbridge Value Trust and NYA is 0.93 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Value Trust and NYA 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 estimate.

Moving together with Clearbridge Mutual Fund

0.71	SAGCX	Clearbridge Aggressive	Pair Corr
0.7	LGASX	Clearbridge Small Cap	Pair Corr
0.85	LGFEX	Qs International Equity	Pair Corr
0.75	SAPCX	Clearbridge Appreciation	Pair Corr
0.62	LGOCX	Legg Mason Bw	Pair Corr
0.7	WAASX	Western Asset Total	Pair Corr
0.81	LGSCX	Qs Small Capitalization	Pair Corr
0.66	WACIX	Western Asset E	Pair Corr
0.62	WACSX	Western Asset E	Pair Corr
0.61	WABRX	Western Asset E	Pair Corr
0.65	WABSX	Western Asset Interm	Pair Corr
0.75	WAGIX	Western Asset Global	Pair Corr
0.62	SSTLX	Western Asset Short	Pair Corr
0.65	WAFSX	Western Asset Inflation	Pair Corr
0.64	WAFRX	Western Asset Inflation	Pair Corr
0.79	SBCLX	Qs Defensive Growth	Pair Corr
0.71	WAHSX	Western Asset High	Pair Corr
0.66	WAPCX	Western Asset E	Pair Corr
0.61	WAPIX	Western Asset E	Pair Corr
0.67	WAPSX	Western Asset E	Pair Corr
0.68	WAPRX	Western Asset E	Pair Corr
0.9	SBICX	Clearbridge International	Pair Corr
0.7	SBILX	Western Asset Porate	Pair Corr
0.68	WARIX	Western Asset Total	Pair Corr
0.65	WATCX	Western Asset Interm	Pair Corr
0.63	WATRX	Western Asset Interm	Pair Corr
0.64	WATPX	Western Asset Inflation	Pair Corr
0.87	SBPLX	Clearbridge Dividend	Pair Corr
0.64	WAUCX	Western Asset Total	Pair Corr
0.66	WAURX	Western Asset Total	Pair Corr
0.72	SBSDX	Qs Sp 500	Pair Corr
0.71	WAYRX	Western Asset High	Pair Corr
0.82	SCBCX	Qs Servative Growth	Pair Corr
0.85	SCGCX	Qs Moderate Growth	Pair Corr
0.78	SCHCX	Qs Growth Fund	Pair Corr
0.85	LIESX	Qs International Equity	Pair Corr

Related Correlations Analysis

	DOXGX	AMFFX	COKE	LICY	ORLY	SEIC	EURN	KOF	MCVT	MTUM
DOXGX		0.88	0.54	-0.12	-0.17	0.38	0.54	0.0	-0.09	0.62	DOXGX
AMFFX	0.88		0.7	-0.23	-0.27	0.21	0.64	-0.22	-0.04	0.83	AMFFX
COKE	0.54	0.7		-0.71	-0.75	-0.4	0.89	-0.38	0.22	0.68	COKE
LICY	-0.12	-0.23	-0.71		0.86	0.72	-0.79	0.25	-0.31	-0.17	LICY
ORLY	-0.17	-0.27	-0.75	0.86		0.63	-0.84	0.1	-0.14	-0.21	ORLY
SEIC	0.38	0.21	-0.4	0.72	0.63		-0.39	0.36	-0.36	0.08	SEIC
EURN	0.54	0.64	0.89	-0.79	-0.84	-0.39		-0.27	0.16	0.55	EURN
KOF	0.0	-0.22	-0.38	0.25	0.1	0.36	-0.27		-0.09	-0.56	KOF
MCVT	-0.09	-0.04	0.22	-0.31	-0.14	-0.36	0.16	-0.09		-0.07	MCVT
MTUM	0.62	0.83	0.68	-0.17	-0.21	0.08	0.55	-0.56	-0.07		MTUM
	DOXGX	AMFFX	COKE	LICY	ORLY	SEIC	EURN	KOF	MCVT	MTUM

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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

EURN	+ 0.89	COKE
AMFFX	+ 0.88	DOXGX
ORLY	+ 0.86	LICY
MTUM	+ 0.83	AMFFX
SEIC	+ 0.72	LICY
COKE	+ 0.7	AMFFX

High negative correlations

EURN	- 0.84	ORLY
EURN	- 0.79	LICY
ORLY	- 0.75	COKE
LICY	- 0.71	COKE
MTUM	- 0.56	KOF
SEIC	- 0.4	COKE

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
DOXGX	0.59	0.03	0.04	0.03	0.78	(0.59)	1.03	(1.28)	5.45
AMFFX	0.43	0.04	0.06	0.04	0.51	(0.47)	1.00	(1.09)	2.61
COKE	1.43	0.34	0.19	0.34	1.45	(1.63)	2.33	(2.40)	24.04
LICY	7.29	0.32	0.03	0.08	9.05	(7.41)	17.89	(12.83)	67.48
ORLY	0.91	(0.08)	0.00	(0.12)	0.00	0.00	1.87	(2.61)	5.42
SEIC	0.68	(0.06)	0.00	(0.05)	0.00	0.00	1.35	(1.74)	4.74
EURN	1.60	0.31	0.14	0.27	1.81	(1.81)	3.51	(3.58)	12.92
KOF	1.20	(0.20)	0.00	(0.80)	0.00	0.00	2.39	(2.40)	8.94
MCVT	3.10	0.11	0.02	0.37	3.81	(4.38)	8.00	(6.72)	29.54
MTUM	0.80	0.13	0.13	0.14	0.79	(0.92)	2.03	(1.75)	4.32

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