Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00BYXTY768 -- Ireland Fund  

USD 112.93  0.04  0.0354%

We consider Legg Mason unknown risk. Legg Mason MC has Sharpe Ratio of 0.0461 which conveys that Legg Mason MC had 0.0461% 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 company 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 MC Eurp Abs Alpha E USD H Acc Coefficient Of Variation of 529.41, Mean Deviation of 0.4486 and Risk Adjusted Performance of 0.1166 to check out if risk estimate we provide are consistent with the epected return of 0.0196%.
 Time 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 MC Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.2571
Legg Mason Small BetaLegg Mason MC Beta Legend

Legg Mason MC Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason has beta of 0.2571 . 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 0.1558 implying that it can potentially generate 0.1558% 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 2170.2. The daily returns are destributed with a variance of 0.18 and standard deviation of 0.43. The mean deviation of Legg Mason MC Eurp Abs Alpha E USD H Acc is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.16
β
Beta against DOW=0.26
σ
Overall volatility
=0.43
Ir
Information ratio =0.06

Actual Return Volatility

Legg Mason MC Eurp Abs Alpha E USD H Acc accepts 0.4259% volatility on return distribution over the 30 days horizon. DOW inherits 0.5751% 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 0.58 and is 1.35 times more volatile than Legg Mason MC Eurp Abs Alpha E USD H Acc. 3% 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 3 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason MC Eurp Abs Alpha E USD H Acc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Legg Mason to be traded at $118.58 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

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.
Please also check Risk vs Return Analysis. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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