Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00BYQ9KS66 -- Ireland Fund  

 16,866  620.00  3.55%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason CB has Sharpe Ratio of -0.1459 which conveys that Legg Mason CB had -0.1459% 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 different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Legg Mason CB US Lg Cp Gr Pr GBP Acc Coefficient Of Variation of 468.6, Mean Deviation of 908.18 and Risk Adjusted Performance of 0.2415 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 by larger amounts. On the other hand, during market turmoil, Legg Mason is expected to significantly outperform it.
One Month Beta |Analyze Legg Mason CB Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -829.0172
Legg Mason Large Negative BetaLegg Mason CB Beta Legend

Legg Mason CB 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 CB US Lg Cp Gr Pr GBP Acc has beta of -829.0172 . This indicates as returns on its benchmark rise, returns on holding Legg Mason CB US Lg Cp Gr Pr GBP Acc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Legg Mason is expected to outperform its benchmark. In addition to that, Legg Mason CB US Lg Cp Gr Pr GBP Acc has an alpha of 323.3039 implying that it can potentially generate 323.3039% 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 -685.17. The daily returns are destributed with a variance of 2.15 and standard deviation of 1.47. The mean deviation of Legg Mason CB US Lg Cp Gr Pr GBP Acc is currently at 0.89. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=323.30
β
Beta against DOW=829.02
σ
Overall volatility
=1.47
Ir
Information ratio =0.21

Legg Mason Return Volatility

Legg Mason CB US Lg Cp Gr Pr GBP Acc accepts 1.466% volatility on return distribution over the 30 days horizon. DOW inherits 1.0603% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Did you try this?

Run Chance of Distress Now

   

Chance of Distress

Get analysis of equity chance of financial distress in the next 2 years
All  Next Launch Chance of Distress

Investment Outlook

Legg Mason Investment Opportunity

Legg Mason CB US Lg Cp Gr Pr GBP Acc has a volatility of 1.47 and is 1.39 times more volatile than DOW. 13% 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 US Lg Cp Gr Pr GBP Acc is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason CB US Lg Cp Gr Pr GBP Acc to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Legg Mason to be traded at 16191.36 in 30 days. As returns on market increase, returns on owning Legg Mason are expected to decrease by larger amounts. On the other hand, during market turmoil, Legg Mason is expected to significantly outperform it.

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 US Lg Cp Gr Pr G and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason CB US Lg Cp Gr Pr GBP Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
Search macroaxis.com