Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

F00000UDCU -- Ireland Fund  

USD 81.18  0.29  0.36%

We consider Legg Mason unknown risk. Legg Mason CB has Sharpe Ratio of 0.0833 which conveys that Legg Mason CB had 0.0833% 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 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 CB Tact Div Inc A USD Inc M Mean Deviation of 0.8407 and Risk Adjusted Performance of 0.3302 to check out if risk estimate we provide are consistent with the epected return of 0.0327%.
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 CB Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -0.4629
Legg Mason Almost negative betaLegg Mason CB Beta Legend

Legg Mason CB Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason CB Tact Div Inc A USD Inc M has beta of -0.4629 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 CB Tact Div Inc A USD Inc M is likely to outperform the market. Moreover, Legg Mason CB Tact Div Inc A USD Inc M has an alpha of 0.3741 implying that it can potentially generate 0.3741% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Legg Mason is 1201.07. The daily returns are destributed with a variance of 0.15 and standard deviation of 0.39. The mean deviation of Legg Mason CB Tact Div Inc A USD Inc M is currently at 0.25. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.37
β
Beta against DOW=0.46
σ
Overall volatility
=0.39
Ir
Information ratio =0.41

Legg Mason Return Volatility

Legg Mason CB Tact Div Inc A USD Inc M accepts 0.3925% volatility on return distribution over the 30 days horizon. DOW inherits 1.0373% 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

Insignificant

Investment Outlook

Legg Mason Investment Opportunity

DOW has a standard deviation of returns of 1.04 and is 2.67 times more volatile than Legg Mason CB Tact Div Inc A USD Inc M. 3% 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 CB Tact Div Inc A USD Inc M is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason CB Tact Div Inc A USD Inc M to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Legg Mason to be traded at $85.24 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

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason CB Tact Div Inc A U and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason CB Tact Div Inc A USD Inc M Current Risk Indicators

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