Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00B2Q1FJ45 -- Ireland Fund  

SGD 0.81  0.03  3.57%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason WA has Sharpe Ratio of -0.3732 which conveys that Legg Mason WA had -0.3732% 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 WA Asian Opp A Inc Hg S Mean Deviation of 0.4126 and Risk Adjusted Performance of 0.29 to check out risk estimate we provide.
 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 WA Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.1857
Legg Mason Small 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 has beta of 0.1857 . This indicates 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 WA Asian Opp A Inc Hg S will be expected to be much smaller as well. Additionally, Legg Mason WA Asian Opp A Inc Hg S 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 -267.95. The daily returns are destributed with a variance of 1.73 and standard deviation of 1.31. The mean deviation of Legg Mason WA Asian Opp A Inc Hg S is currently at 0.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.32
β
Beta against DOW=0.19
σ
Overall volatility
=1.31
Ir
Information ratio =0.72

Actual Return Volatility

Legg Mason WA Asian Opp A Inc Hg S accepts 1.3135% volatility on return distribution over the 30 days horizon. DOW inherits 0.63% 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
Legg Mason WA Asian Opp A Inc Hg S has a volatility of 1.31 and is 2.08 times more volatile than DOW. 12% 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 Asian Opp A Inc Hg S is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason WA Asian Opp A Inc Hg S 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 S$0.7776 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

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason WA Asian Opp A Inc and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.