Legg Mason (Ireland) Backtesting

IE00B23ZBZ74 -- Ireland Fund  

USD 228.57  0.000007  0.00%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Legg Mason RY US Smlr Coms Prm Acc and determine expected loss or profit from investing in Legg Mason over given investment horizon. Please also check Legg Mason Hype Analysis, Legg Mason Correlation, Portfolio Optimization, Legg Mason Volatility as well as analyze Legg Mason Alpha and Beta and Legg Mason Performance.
Horizon     30 Days    Login   to change

Legg Mason 'What if' Analysis

February 22, 2019
No Change 0.00  0.0%
In 2 months and 2 days
April 23, 2019
If you would invest  0.00  in Legg Mason on February 22, 2019 and sell it all today you would earn a total of 0.00 from holding Legg Mason RY US Smlr Coms Prm Acc or generate 0.0% return on investment in Legg Mason over 60 days. The Fund invests at least two-thirds of its Total Asset Value in equity securities issued by companies with stock market...

Legg Mason Upside/Downside Indicators

Information Ratio(0.17)
Maximum Drawdown2.06

Legg Mason Market Premium Indicators

Risk Adjusted Performance0.1192
Jensen Alpha0.0648
Total Risk Alpha(0.002638)
Treynor Ratio(0.90)

Legg Mason RY Backtested Returns

We consider Legg Mason very steady. Legg Mason RY has Sharpe Ratio of 0.0977 which conveys that the entity had 0.0977% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Legg Mason which you can use to evaluate future volatility of the organization. Please verify Legg Mason RY US Smlr Coms Prm Acc Mean Deviation of 0.1289 and Risk Adjusted Performance of 0.1192 to check out if risk estimate we provide are consistent with the epected return of 0.0928%. The fund secures Beta (Market Risk) of -0.0636 which conveys that as returns on market increase, returns on owning Legg Mason are expected to decrease at a much smaller rate. During bear market, Legg Mason is likely to outperform the market. Although it is extremely important to respect Legg Mason RY price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Legg Mason RY technical indicators you can presently evaluate if the expected return of 0.0928% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.77) 
correlation synergy

Almost perfect reverse predictability

Legg Mason RY US Smlr Coms Prm Acc has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Legg Mason time series from February 22, 2019 to March 24, 2019 and March 24, 2019 to April 23, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Legg Mason RY price movement. The serial correlation of -0.77 indicates that around 77.0% of current Legg Mason price fluctuation can be explain by its past prices. Given that Legg Mason RY US Smlr Coms Prm Acc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Legg Mason for similar time interval.
Correlation Coefficient-0.77
Spearman Rank Test-0.68
Residual Average0.0
Price Variance35.35

Legg Mason RY lagged returns against current returns

 Current and Lagged Values 

Legg Mason regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Legg Mason Lagged Returns

 Regressed Prices 

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Please also check Legg Mason Hype Analysis, Legg Mason Correlation, Portfolio Optimization, Legg Mason Volatility as well as analyze Legg Mason Alpha and Beta and Legg Mason Performance. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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