BrandywineGLOBAL Risk Analysis And Volatility Evaluation

LGOCX -- USA Fund  

USD 9.72  0.04  0.41%

Macroaxis considers BrandywineGLOBAL to be not too volatile. BrandywineGLOBAL Global secures Sharpe Ratio (or Efficiency) of -0.4347 which signifies that BrandywineGLOBAL Global had -0.4347% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing 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. BrandywineGLOBAL Global Opp Bond C exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BrandywineGLOBAL Global Mean Deviation of 0.402 and Risk Adjusted Performance of 0.20 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

BrandywineGLOBAL Market Sensitivity

As returns on market increase, BrandywineGLOBAL returns are expected to increase less than the market. However during bear market, the loss on holding BrandywineGLOBAL will be expected to be smaller as well.
One Month Beta |Analyze BrandywineGLOBAL Global Demand Trend
Check current 30 days BrandywineGLOBAL correlation with market (DOW)
β = 0.2379
BrandywineGLOBAL Small BetaBrandywineGLOBAL Global Beta Legend

BrandywineGLOBAL Global Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. BrandywineGLOBAL Global 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.

BrandywineGLOBAL Projected Return Density Against Market

Assuming 30 trading days horizon, BrandywineGLOBAL has beta of 0.2379 indicating as returns on market go up, BrandywineGLOBAL average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BrandywineGLOBAL Global Opp Bond C will be expected to be much smaller as well. Additionally, BrandywineGLOBAL Global Opp Bond C 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 BrandywineGLOBAL is -230.03. The daily returns are destributed with a variance of 0.16 and standard deviation of 0.39. The mean deviation of BrandywineGLOBAL Global Opp Bond C is currently at 0.29. For similar time horizon, the selected benchmark (DOW) has volatility of 1.15
α
Alpha over DOW
=0.14
β
Beta against DOW=0.24
σ
Overall volatility
=0.39
Ir
Information ratio =0.5

BrandywineGLOBAL Return Volatility

BrandywineGLOBAL Global Opp Bond C shows 0.3948% volatility of returns over 30 trading days. DOW inherits 1.2393% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BrandywineGLOBAL Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

BrandywineGLOBAL Investment Opportunity

DOW has a standard deviation of returns of 1.24 and is 3.18 times more volatile than BrandywineGLOBAL Global Opp Bond C. 3% of all equities and portfolios are less risky than BrandywineGLOBAL. Compared to the overall equity markets, volatility of historical daily returns of BrandywineGLOBAL Global Opp Bond C is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use BrandywineGLOBAL Global Opp Bond C to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of BrandywineGLOBAL to be traded at $9.62 in 30 days. As returns on market increase, BrandywineGLOBAL returns are expected to increase less than the market. However during bear market, the loss on holding BrandywineGLOBAL will be expected to be smaller as well.

BrandywineGLOBAL correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding BrandywineGLOBAL Global Opp Bo and equity matching DJI index in the same portfolio.

BrandywineGLOBAL Volatility Indicators

BrandywineGLOBAL Global Opp Bond C Current Risk Indicators

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