Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00B56HKL06 -- Ireland Fund  

USD 178.04  1.76  0.98%

Macroaxis considers Legg Mason unknown risk given 1 month investment horizon. Legg Mason RY has Sharpe Ratio of 0.1175 which conveys that Legg Mason RY had 0.1175% 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 fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Legg Mason which you can use to evaluate future volatility of the organization. Please exercise Legg Mason RY US Smlr Coms E Acc Mean Deviation of 0.3393 and Risk Adjusted Performance of 0.15 to check out if our risk estimates are consistent with your expectations.
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 = 0.0928

Legg Mason Central Daily Price Deviation

Legg Mason RY Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason has beta of 0.0928 . 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 851.24. The daily returns are destributed with a variance of 8.4 and standard deviation of 2.9. The mean deviation of Legg Mason RY US Smlr Coms E Acc is currently at 1.74. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=0.07
β
Beta against DOW=0.09
σ
Overall volatility
=2.90
Ir
Information ratio =0.14

Legg Mason Return Volatility

Legg Mason RY US Smlr Coms E Acc accepts 2.8987% volatility on return distribution over the 30 days horizon. DOW inherits 1.2203% 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 RY US Smlr Coms E Acc has a volatility of 2.9 and is 2.38 times more volatile than DOW. 26% 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 26 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason RY US Smlr Coms E Acc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Legg Mason to be traded at $174.48 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

correlation synergy
Modest 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.

Legg Mason Volatility Indicators

Legg Mason RY US Smlr Coms E Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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