Legg Mason (Ireland) Risk Analysis And Volatility

F00000NE4W -- Ireland Fund  

EUR 124.04  0.15  0.00%

Macroaxis considers Legg Mason unknown risk given 2 months investment horizon. Legg Mason BW has Sharpe Ratio of 0.5774 which conveys that the entity had 0.5774% 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 exercise Legg Mason BW Glb Fxd Inc Prem Acc HgAH Risk Adjusted Performance of (0.92) and Mean Deviation of 0.4145 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Legg Mason Market Sensitivity

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.
2 Months Beta |Analyze Legg Mason BW Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.0186

Legg Mason Central Daily Price Deviation

Legg Mason BW Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason has beta of 0.0186 suggesting as returns on market go up, Legg Mason average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Legg Mason BW Glb Fxd Inc Prem Acc HgAH will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Legg Mason BW is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Legg Mason is 173.21. The daily returns are destributed with a variance of 0.26 and standard deviation of 0.51. The mean deviation of Legg Mason BW Glb Fxd Inc Prem Acc HgAH is currently at 0.39. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.29
β
Beta against DOW=0.0186
σ
Overall volatility
=0.51
Ir
Information ratio =0.39

Legg Mason Return Volatility

the fund accepts 0.5071% volatility on return distribution over the 30 days horizon. the entity inherits 1.9504% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Legg Mason Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Legg Mason Investment Opportunity

DOW has a standard deviation of returns of 1.95 and is 3.82 times more volatile than Legg Mason BW Glb Fxd Inc Prem Acc HgAH. 4% of all equities and portfolios are less risky than Legg Mason. Compared to the overall equity markets, volatility of historical daily returns of Legg Mason BW Glb Fxd Inc Prem Acc HgAH is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason BW Glb Fxd Inc Prem Acc HgAH to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Legg Mason to be traded at €130.24 in 30 days. . 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.

Legg Mason correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason BW Glb Fxd Inc Prem and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason BW Glb Fxd Inc Prem Acc HgAH Current Risk Indicators

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