Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00BD5V0L96 -- Ireland Fund  

CAD 122.79  0.68  0.56%

We consider Legg Mason unknown risk. Legg Mason BW has Sharpe Ratio of 0.5774 which conveys that Legg Mason BW had 0.5774% 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 technical indicators for Legg Mason which you can use to evaluate future volatility of the organization. Please verify Legg Mason BW Global Hi Yld S CAD H Acc Coefficient Of Variation of 485.85, Mean Deviation of 0.1526 and Risk Adjusted Performance of 0.1854 to check out if risk estimate we provide are consistent with the epected return of 0.1856%.
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 BW Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.0096
Legg Mason Small BetaLegg Mason BW Beta Legend

Legg Mason BW Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason has beta of 0.0096 . 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 BW Global Hi Yld S CAD H Acc will be expected to be much smaller as well. Moreover, Legg Mason BW Global Hi Yld S CAD H Acc has an alpha of 0.0404 implying that it can potentially generate 0.0404% 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 173.21. The daily returns are destributed with a variance of 0.1 and standard deviation of 0.32. The mean deviation of Legg Mason BW Global Hi Yld S CAD H Acc is currently at 0.25. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.0404
β
Beta against DOW=0.0096
σ
Overall volatility
=0.32
Ir
Information ratio =0.58

Legg Mason Return Volatility

Legg Mason BW Global Hi Yld S CAD H Acc accepts 0.3215% volatility on return distribution over the 30 days horizon. DOW inherits 1.0568% 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

DOW has a standard deviation of returns of 1.06 and is 3.31 times more volatile than Legg Mason BW Global Hi Yld S CAD H 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 BW Global Hi Yld S CAD H Acc is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason BW Global Hi Yld S CAD H Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Legg Mason to be traded at C$135.07 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

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason BW Global Hi Yld S and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason BW Global Hi Yld S CAD H Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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