Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00B56HKL06 -- Ireland Fund  

USD 196.47  1.47  0.75%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason RY has Sharpe Ratio of -0.4082 which conveys that Legg Mason RY had -0.4082% 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 RY US Smlr Coms E Acc Mean Deviation of 0.2561 and Risk Adjusted Performance of 0.0419 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Legg Mason Market Sensitivity

As returns on market increase, returns on owning Legg Mason are expected to decrease at a much smaller rate. During bear market, Legg Mason is likely to outperform the market.
One Month Beta |Analyze Legg Mason RY Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -0.1158
Legg Mason Almost negative 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.

Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason RY US Smlr Coms E Acc has beta of -0.1158 . This indicates as returns on benchmark increase, returns on holding Legg Mason are expected to decrease at a much smaller rate. During bear market, however, Legg Mason RY US Smlr Coms E Acc is likely to outperform the market. Moreover, Legg Mason RY US Smlr Coms E Acc has an alpha of 0.0502 implying that it can potentially generate 0.0502% 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 -244.95. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.31. The mean deviation of Legg Mason RY US Smlr Coms E Acc is currently at 0.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.05
β
Beta against DOW=0.12
σ
Overall volatility
=0.31
Ir
Information ratio =0.31

Legg Mason Return Volatility

Legg Mason RY US Smlr Coms E Acc accepts 0.3055% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% 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 0.44 and is 1.42 times more volatile than Legg Mason RY US Smlr Coms E Acc. 2% 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 2 (%) 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 moderate upward volatility. Check odds of Legg Mason to be traded at $216.12 in 30 days. As returns on market increase, returns on owning Legg Mason are expected to decrease at a much smaller rate. During bear market, Legg Mason is likely to outperform the market.

Legg Mason correlation with market

Good 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 Transaction History module to view history of all your transactions and understand their impact on performance.
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