Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

F00000WKPF -- Ireland Fund  

USD 136.25  4.06  2.89%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason CB has Sharpe Ratio of -0.4115 which conveys that Legg Mason CB had -0.4115% 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 different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Legg Mason CB US Lg Cp Gr F USD Coefficient Of Variation of 290.63, Mean Deviation of 1.68 and Risk Adjusted Performance of 0.3809 to check out risk estimate we provide.
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.
One Month Beta |Analyze Legg Mason CB Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.6995
Legg Mason Small 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 has beta of 0.6995 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 CB US Lg Cp Gr F USD will be expected to be much smaller as well. In addition to that, Legg Mason CB US Lg Cp Gr F USD has an alpha of 1.2002 implying that it can potentially generate 1.2002% 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 -243.02. The daily returns are destributed with a variance of 20.89 and standard deviation of 4.57. The mean deviation of Legg Mason CB US Lg Cp Gr F USD is currently at 3.15. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=1.20
β
Beta against DOW=0.70
σ
Overall volatility
=4.57
Ir
Information ratio =0.40

Legg Mason Return Volatility

Legg Mason CB US Lg Cp Gr F USD accepts 4.5701% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% 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

Legg Mason CB US Lg Cp Gr F USD has a volatility of 4.57 and is 4.39 times more volatile than DOW. 41% 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 US Lg Cp Gr F USD is lower than 41 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason CB US Lg Cp Gr F USD to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Legg Mason to be traded at $130.8 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

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason CB US Lg Cp Gr F US and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason CB US Lg Cp Gr F USD Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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