Macroaxis considers Legg Mason to be unknown risk. Legg Mason QS has Sharpe Ratio of -0.5672 which conveys that Legg Mason QS had -0.5672% of return per unit of risk over the last 2 months. 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 QS Invs MultiAsst US Bal EAcc Mean Deviation of 0.0708 and Risk Adjusted Performance of
(0.20) 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.2 Months Beta |Analyze Legg Mason QS Demand TrendCheck current 30 days Legg Mason correlation with market (DOW)|
β = -0.0279
Legg Mason Central Daily Price Deviation
Legg Mason QS Technical Analysis
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Legg Mason Projected Return Density Against MarketAssuming 30 trading days horizon, Legg Mason QS Invs MultiAsst US Bal EAcc has beta of -0.0279 . 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 QS Invs MultiAsst US Bal EAcc is likely to outperform the market. Additionally, Legg Mason QS Invs MultiAsst US Bal EAcc 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
Assuming 30 trading days horizon, the coefficient of variation of Legg Mason is -176.29. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of Legg Mason QS Invs MultiAsst US Bal EAcc is currently at 0.53. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.03|
|Beta against DOW||=||0.03|
Legg Mason Return VolatilityLegg Mason QS Invs MultiAsst US Bal EAcc accepts 0.7504% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 1.28 and is 1.71 times more volatile than Legg Mason QS Invs MultiAsst US Bal EAcc. 6% 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 QS Invs MultiAsst US Bal EAcc is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason QS Invs MultiAsst US Bal EAcc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Legg Mason to be traded at $99.12 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