Legg Mason (Ireland) Backtesting

IE00BYXTYB06 -- Ireland Fund  

USD 116.81  0.53  0.46%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Legg Mason MC Jpn Abs Alpha A USD 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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Legg Mason 'What if' Analysis

June 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 22, 2018
0.00
If you would invest  0.00  in Legg Mason on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding Legg Mason MC Jpn Abs Alpha A USD Acc or generate 0.0% return on investment in Legg Mason over 30 days.

Legg Mason Upside/Downside Indicators

Information Ratio0.42
Maximum Drawdown1.11
Value At Risk0.57
  

Legg Mason Market Premium Indicators

Risk Adjusted Performance0.05
Jensen Alpha0.06
Total Risk Alpha0.11
Treynor Ratio0.26

Legg Mason MC Backtested Returns

Macroaxis considers Legg Mason to be not too risky. Legg Mason MC has Sharpe Ratio of -0.2153 which conveys that Legg Mason MC had -0.2153% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Legg Mason exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Legg Mason MC Jpn Abs Alpha A USD Acc Mean Deviation of 0.158 and Risk Adjusted Performance of 0.05 to check out risk estimate we provide. The fund secures Beta (Market Risk) of 0.1768 which conveys that as returns on market increase, Legg Mason returns are expected to increase less than the market. However during bear market, the loss on holding Legg Mason will be expected to be smaller as well.. Even though it is essential to pay attention to Legg Mason MC price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Legg Mason exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.75 

Good predictability

Legg Mason MC Jpn Abs Alpha A USD Acc has good predictability. Overlapping area represents the amount of predictability between Legg Mason time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 22, 2018. 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 MC price movement. The serial correlation of 0.75 indicates that around 75.0% of current Legg Mason price fluctuation can be explain by its past prices.
Correlation Coefficient 0.75
Spearman Rank Test 0.2
Price Variance 2.5
Lagged Price Variance 0.54

Legg Mason MC lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Legg Mason regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Legg Mason Lagged Returns

 Regressed Prices 
      Timeline 

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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 Financial Widgets module to easily integrated macroaxis content with over 30 different plug-and-play financial widgets.
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