Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00BSBN5Q47 -- Ireland Fund  

USD 134.27  0.64  0.47%

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 verify Legg Mason BW Glbl Dyn US Eq A USD Acc Mean Deviation of 0.3223 and Risk Adjusted Performance of 0.019044 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
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 BW Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -0.3142
Legg Mason Almost negative 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 BW Glbl Dyn US Eq A USD Acc has beta of -0.3142 . 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 BW Glbl Dyn US Eq A USD Acc is likely to outperform the market. Additionally, Legg Mason BW Glbl Dyn US Eq A USD 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 
α
Alpha over DOW
=0.0025
β
Beta against DOW=0.31
σ
Overall volatility
=0.00
Ir
Information ratio =0.29

Legg Mason Return Volatility

Legg Mason BW Glbl Dyn US Eq A USD Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.3801% 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 0.38 and is 9.223372036854776E16 times more volatile than Legg Mason BW Glbl Dyn US Eq A USD Acc. 0% 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 Glbl Dyn US Eq A USD Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason BW Glbl Dyn US Eq A USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Legg Mason to be traded at $132.93 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 BW Glbl Dyn US Eq A and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason BW Glbl Dyn US Eq A USD Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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