Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00B56HKL06 -- Ireland Fund  

USD 194.82  0.34  0.17%

Macroaxis considers Legg Mason unknown risk given 1 month investment horizon. Legg Mason RY has Sharpe Ratio of 0.4823 which conveys that Legg Mason RY had 0.4823% 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 company specific technical indicators that cannot be diversified away. By analyzing Legg Mason RY technical indicators you can presently evaluate if the expected return of 0.5866% is justified by implied risk. Please exercise Legg Mason RY US Smlr Coms E Acc Mean Deviation of 1.03 and Risk Adjusted Performance of 0.0185 to check out if our risk estimates are consistent with your expectations.
 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 RY Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.473
Legg Mason Small BetaLegg Mason RY Beta Legend

Legg Mason RY Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason has beta of 0.473 . 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 RY US Smlr Coms E Acc will be expected to be much smaller as well. Additionally, Legg Mason RY US Smlr Coms E Acc 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 207.35. The daily returns are destributed with a variance of 1.48 and standard deviation of 1.22. The mean deviation of Legg Mason RY US Smlr Coms E Acc is currently at 0.87. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.03
β
Beta against DOW=0.47
σ
Overall volatility
=1.22
Ir
Information ratio =0.06

Actual Return Volatility

Legg Mason RY US Smlr Coms E Acc accepts 1.2163% volatility on return distribution over the 30 days horizon. DOW inherits 0.5115% 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 RY US Smlr Coms E Acc has a volatility of 1.22 and is 2.39 times more volatile than DOW. 11% 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 RY US Smlr Coms E Acc is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason RY US Smlr Coms E Acc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Legg Mason to be traded at $204.56 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 RY US Smlr Coms E A and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">