Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

F00000WKPF -- Ireland Fund  

USD 147.52  0.88  0.60%

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 technical indicators for Legg Mason which you can use to evaluate future volatility of the organization. Please verify Legg Mason CB US Lg Cp Gr F USD Coefficient Of Variation of 319.49, Mean Deviation of 1.7 and Risk Adjusted Performance of 0.1585 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
 Time 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 = 0.0999
Legg Mason Small BetaLegg Mason CB Beta Legend

Legg Mason CB Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason has beta of 0.0999 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. Moreover, Legg Mason CB US Lg Cp Gr F USD has an alpha of 0.9883 implying that it can potentially generate 0.9883% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.99
β
Beta against DOW=0.1
σ
Overall volatility
=0.00
Ir
Information ratio =0.30

Actual Return Volatility

Legg Mason CB US Lg Cp Gr F USD accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.5654% 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 0.57 and is 9.223372036854776E16 times more volatile than Legg Mason CB US Lg Cp Gr F 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 CB US Lg Cp Gr F USD is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason CB US Lg Cp Gr F USD to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Legg Mason to be traded at $162.27 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

Significant 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.
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.