Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

F00000VKTU -- Ireland Fund  

EUR 101.19  1.80  1.75%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason QS has Sharpe Ratio of -0.5 which conveys that Legg Mason QS had -0.5% 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 QS Invs MultiAsst Perf E Mean Deviation of 0.1405 and Risk Adjusted Performance of 0.13 to check out risk estimate we provide.
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 QS Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -0.0399
Legg Mason Almost negative betaLegg Mason QS Beta Legend

Legg Mason QS Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason QS Invs MultiAsst Perf E has beta of -0.0399 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 QS Invs MultiAsst Perf E is likely to outperform the market. Additionally, Legg Mason QS Invs MultiAsst Perf E 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 0.55 and standard deviation of 0.74. The mean deviation of Legg Mason QS Invs MultiAsst Perf E is currently at 0.55. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.04
β
Beta against DOW=0.04
σ
Overall volatility
=0.74
Ir
Information ratio =0.21

Legg Mason Return Volatility

Legg Mason QS Invs MultiAsst Perf E accepts 0.74% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% 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 1.07 and is 1.45 times more volatile than Legg Mason QS Invs MultiAsst Perf E. 6% 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 QS Invs MultiAsst Perf E is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason QS Invs MultiAsst Perf E to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Legg Mason to be traded at €98.15 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 QS Invs MultiAsst P and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason QS Invs MultiAsst Perf E Current Risk Indicators

Additionally see Investing Opportunities. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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