Legg Mason (Ireland) Risk Analysis And Volatility Evaluation

IE00BZ1NPT63 -- Ireland Fund  

GBp 16,125  492.00  2.96%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason CB has Sharpe Ratio of -0.5774 which conveys that Legg Mason CB had -0.5774% 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 CB US Eq SL X GBP Acc Mean Deviation of 8.56 and Risk Adjusted Performance of 0.23 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.
One Month Beta |Analyze Legg Mason CB Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = 0.2248
Legg Mason Small BetaLegg Mason CB Beta Legend

Legg Mason CB Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason has beta of 0.2248 . 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 CB US Eq SL X GBP Acc will be expected to be much smaller as well. Additionally, Legg Mason CB US Eq SL X GBP 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 -173.21. The daily returns are destributed with a variance of 0.99 and standard deviation of 1.0. The mean deviation of Legg Mason CB US Eq SL X GBP Acc is currently at 0.77. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=4.68
β
Beta against DOW=0.22
σ
Overall volatility
=1.00
Ir
Information ratio =0.22

Legg Mason Return Volatility

Legg Mason CB US Eq SL X GBP Acc accepts 0.9958% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% 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

Insignificant

Investment Outlook

Legg Mason Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.06 times more volatile than Legg Mason CB US Eq SL X GBP Acc. 9% 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 Eq SL X GBP Acc is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason CB US Eq SL X 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 p;15480.0 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

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason CB US Eq SL X GBP A and equity matching DJI index in the same portfolio.

Legg Mason Volatility Indicators

Legg Mason CB US Eq SL X GBP Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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