Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

F00000NE4X -- Ireland Fund  

USD 125.46  0.07  0.06%

We consider Legg Mason unknown risk. Legg Mason WA has Sharpe Ratio of 0.5 which conveys that Legg Mason WA had 0.5% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with company 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 WA Global Credit A Acc USD Mean Deviation of 0.2202 and Risk Adjusted Performance of 0.0039 to check out if risk estimate we provide are consistent with the epected return of 0.014%.
 Time Horizon     30 Days    Login   to change

Legg Mason Market Sensitivity

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.
One Month Beta |Analyze Legg Mason WA Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -0.0097
Legg Mason Almost negative betaLegg Mason WA Beta Legend

Legg Mason WA Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason WA Global Credit A Acc USD has beta of -0.0097 suggesting as returns on benchmark increase, returns on holding Legg Mason are expected to decrease at a much smaller rate. During bear market, however, Legg Mason WA Global Credit A Acc USD is likely to outperform the market. Additionally, Legg Mason WA Global Credit A Acc USD has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Legg Mason is 200.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.03. The mean deviation of Legg Mason WA Global Credit A Acc USD is currently at 0.02. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.0031
β
Beta against DOW=0.0097
σ
Overall volatility
=0.0279
Ir
Information ratio =0.31

Actual Return Volatility

Legg Mason WA Global Credit A Acc USD accepts 0.0279% volatility on return distribution over the 30 days horizon. DOW inherits 0.5978% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Legg Mason Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Legg Mason Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 20.0 times more volatile than Legg Mason WA Global Credit A Acc USD. 0% 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 WA Global Credit A Acc USD is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason WA Global Credit A Acc USD to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Legg Mason to be traded at $131.73 in 30 days. 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.

Legg Mason correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason WA Global Credit A and equity matching DJI index in the same portfolio.
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