Legg Mason (Ireland) Risk Analysis And Volatility Evaluation |
| IE00BYXTYB06 -- Ireland Fund | USD 111.32 2.14 1.89% |
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 MC Jpn Abs Alpha A USD Acc Mean Deviation of 0.5479 and Risk Adjusted Performance of 0.1138 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 MC Demand TrendCheck current 30 days Legg Mason correlation with market (DOW) β = -0.0694 | Legg Mason Central Daily Price Deviation |
Legg Mason MC Technical Analysis
Transformation |
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Legg Mason Projected Return Density Against Market
Assuming 30 trading days horizon, Legg Mason MC Jpn Abs Alpha A USD Acc has beta of -0.0694 . 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. Moreover, Legg Mason MC Jpn Abs Alpha A USD Acc has an alpha of 0.117 implying that it can potentially generate 0.117% excess return over DOW after adjusting for the inherited market risk (beta).Legg Mason Return Volatility
Legg Mason MC Jpn Abs Alpha A USD Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.222% risk (volatility on return distribution) over the 30 days horizon.Market Risk Breakdown
Legg Mason Volatility Factors
Investment Outlook
Legg Mason Investment Opportunity
DOW has a standard deviation of returns of 1.22 and is 9.223372036854776E16 times more volatile than Legg Mason MC Jpn Abs Alpha 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 MC Jpn Abs Alpha A USD Acc is lower than 0 (%) 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 $107.98 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 diversificationOverlapping 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.
Legg Mason Volatility Indicators
Legg Mason MC Jpn Abs Alpha A USD Acc Current Risk Indicators
| Risk Adjusted Performance | 0.1138 | ||
| Market Risk Adjusted Performance | 1.75 | ||
| Mean Deviation | 0.5479 | ||
| Coefficient Of Variation | 1088.42 | ||
| Standard Deviation | 1.44 | ||
| Variance | 2.08 | ||
| Information Ratio | 0.1385 |
Legg Mason Pair Correlation
Legg Mason Suggested Diversification Pairs
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