Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00BYXTYB06 -- Ireland Fund  

USD 116.81  1.92  1.62%

Macroaxis considers Legg Mason to be not too risky. Legg Mason MC has Sharpe Ratio of -0.1529 which conveys that Legg Mason MC had -0.1529% 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Legg Mason MC Jpn Abs Alpha A USD Acc Mean Deviation of 0.4555 and Risk Adjusted Performance of 0.23 to check out risk estimate we provide.
 Time 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 MC Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -0.2525
Legg Mason Almost negative betaLegg Mason MC Beta Legend

Legg Mason MC Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Legg Mason MC Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason MC Jpn Abs Alpha A USD Acc has beta of -0.2525 . 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 MC Jpn Abs Alpha A USD Acc is likely to outperform the market. Additionally, Legg Mason MC Jpn Abs Alpha 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 
Assuming 30 trading days horizon, the coefficient of variation of Legg Mason is -653.95. The daily returns are destributed with a variance of 2.82 and standard deviation of 1.68. The mean deviation of Legg Mason MC Jpn Abs Alpha A USD Acc is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.27
β
Beta against DOW=0.25
σ
Overall volatility
=1.68
Ir
Information ratio =0.53

Actual Return Volatility

Legg Mason MC Jpn Abs Alpha A USD Acc accepts 1.6789% volatility on return distribution over the 30 days horizon. DOW inherits 0.5886% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Legg Mason Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost neglects market

Investment Outlook

Legg Mason Investment Opportunity
Legg Mason MC Jpn Abs Alpha A USD Acc has a volatility of 1.68 and is 2.85 times more volatile than DOW. 15% 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 Jpn Abs Alpha A USD Acc is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason MC Jpn Abs Alpha A USD Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Legg Mason to be traded at $113.31 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

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason MC Jpn Abs Alpha A and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Financial Widgets module to easily integrated macroaxis content with over 30 different plug-and-play financial widgets.