Legg Mason (Ireland) Risk Analysis And Volatility

IE00BZ1NPT63 -- Ireland Fund  

GBp 15,006  62.00  0.41%

Macroaxis considers Legg Mason to be unknown risk. Legg Mason CB has Sharpe Ratio of -0.5 which conveys that Legg Mason CB had -0.5% 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 CB US Eq SL X GBP Acc Downside Deviation of 57.16, Mean Deviation of 1670.73 and Risk Adjusted Performance of 0.6173 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Legg Mason Market Sensitivity

As returns on market increase, returns on owning Legg Mason are expected to decrease by larger amounts. On the other hand, during market turmoil, Legg Mason is expected to significantly outperform it.
2 Months Beta |Analyze Legg Mason CB Demand Trend
Check current 30 days Legg Mason correlation with market (DOW)
β = -80.4808

Legg Mason Central Daily Price Deviation

Legg Mason CB Technical Analysis

Transformation
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Legg Mason Projected Return Density Against Market

Assuming 30 trading days horizon, Legg Mason CB US Eq SL X GBP Acc has beta of -80.4808 . This indicates as returns on its benchmark rise, returns on holding Legg Mason CB US Eq SL X GBP Acc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Legg Mason is expected to outperform its benchmark. In addition to that, Legg Mason CB US Eq SL X GBP Acc has an alpha of 894.3992 implying that it can potentially generate 894.3992% 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 -200.0. The daily returns are destributed with a variance of 4.15 and standard deviation of 2.04. The mean deviation of Legg Mason CB US Eq SL X GBP Acc is currently at 1.53. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=894.40
β
Beta against DOW=80.48
σ
Overall volatility
=2.04
Ir
Information ratio =0.31

Legg Mason Return Volatility

Legg Mason CB US Eq SL X GBP Acc accepts 2.0361% volatility on return distribution over the 30 days horizon. DOW inherits 2.0223% 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

Legg Mason CB US Eq SL X GBP Acc has a volatility of 2.04 and is 1.01 times more volatile than DOW. 18% 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 18 (%) of all global equities and portfolios over the last 30 days. Use Legg Mason CB US Eq SL X GBP Acc to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Legg Mason to be traded at p;14855.94 in 30 days. . As returns on market increase, returns on owning Legg Mason are expected to decrease by larger amounts. On the other hand, during market turmoil, Legg Mason is expected to significantly outperform it.

Legg Mason correlation with market

correlation synergy
Good 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

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