Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00BYXTY768 -- Ireland Fund  

USD 104.86  0.00  0.00%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason MC has Sharpe Ratio of -0.5774 which conveys that Legg Mason MC had -0.5774% 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 MC Eurp Abs Alpha E USD H Acc Downside Deviation of 1.34, Mean Deviation of 0.4335 and Risk Adjusted Performance of 0.0766 to check out risk estimate we provide.
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.
2 Months Beta |Analyze Legg Mason MC Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.0973

Legg Mason Central Daily Price Deviation

Legg Mason MC 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 has beta of 0.0973 . 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 MC Eurp Abs Alpha E USD H Acc will be expected to be much smaller as well. Moreover, Legg Mason MC Eurp Abs Alpha E USD H Acc has an alpha of 0.0673 implying that it can potentially generate 0.0673% 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 0.2 and standard deviation of 0.44. The mean deviation of Legg Mason MC Eurp Abs Alpha E USD H Acc is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.07
β
Beta against DOW=0.1
σ
Overall volatility
=0.44
Ir
Information ratio =0.23

Legg Mason Return Volatility

Legg Mason MC Eurp Abs Alpha E USD H Acc accepts 0.4425% volatility on return distribution over the 30 days horizon. DOW inherits 1.3286% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Legg Mason Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Legg Mason Investment Opportunity

DOW has a standard deviation of returns of 1.33 and is 3.02 times more volatile than Legg Mason MC Eurp Abs Alpha E USD H Acc. 4% 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 MC Eurp Abs Alpha E USD H Acc is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason MC Eurp Abs Alpha E USD H Acc to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Legg Mason to be traded at $103.81 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

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason MC Eurp Abs Alpha E and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason MC Eurp Abs Alpha E USD H Acc Current Risk Indicators

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