Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00B9KHL331 -- Ireland Fund  

USD 96.95  0.34  0.35%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason CB has Sharpe Ratio of -0.1292 which conveys that Legg Mason CB had -0.1292% 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 CB Tact Div Inc Pre Inc Me Mean Deviation of 0.3858 and Risk Adjusted Performance of 0.0374 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 CB Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -0.4613
Legg Mason Almost negative betaLegg Mason CB Beta Legend

Legg Mason CB Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason CB Tact Div Inc Pre Inc Me has beta of -0.4613 . 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 CB Tact Div Inc Pre Inc Me is likely to outperform the market. Moreover, Legg Mason CB Tact Div Inc Pre Inc Me has an alpha of 0.1283 implying that it can potentially generate 0.1283% 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 -774.13. The daily returns are destributed with a variance of 0.06 and standard deviation of 0.24. The mean deviation of Legg Mason CB Tact Div Inc Pre Inc Me is currently at 0.16. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.13
β
Beta against DOW=0.46
σ
Overall volatility
=0.24
Ir
Information ratio =0.13

Legg Mason Return Volatility

Legg Mason CB Tact Div Inc Pre Inc Me accepts 0.2379% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% 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 0.42 and is 1.75 times more volatile than Legg Mason CB Tact Div Inc Pre Inc Me. 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 CB Tact Div Inc Pre Inc Me is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason CB Tact Div Inc Pre Inc Me to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Legg Mason to be traded at $95.98 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

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason CB Tact Div Inc Pre and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason CB Tact Div Inc Pre Inc Me Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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