BrandywineGLOBAL Risk Analysis And Volatility

LGOCX -- USA Fund  

USD 9.71  0.00  0.00%

We consider BrandywineGLOBAL unknown risk. BrandywineGLOBAL Global secures Sharpe Ratio (or Efficiency) of 0.0161 which signifies that the fund had 0.0161% of return per unit of standard deviation over the last 2 months. Our philosophy in foreseeing 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 BrandywineGLOBAL Global Opp Bond C which you can use to evaluate future volatility of the entity. Please confirm BrandywineGLOBAL Global Risk Adjusted Performance of (0.29) and Mean Deviation of 0.3642 to double-check if risk estimate we provide are consistent with the epected return of 0.0061%.
Horizon     30 Days    Login   to change

BrandywineGLOBAL Market Sensitivity

As returns on market increase, returns on owning BrandywineGLOBAL are expected to decrease at a much smaller rate. During bear market, BrandywineGLOBAL is likely to outperform the market.
2 Months Beta |Analyze BrandywineGLOBAL Global Demand Trend
Check current 30 days BrandywineGLOBAL correlation with market (DOW)
β = -0.063

BrandywineGLOBAL Central Daily Price Deviation

BrandywineGLOBAL Global Technical Analysis

Transformation
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BrandywineGLOBAL Projected Return Density Against Market

Assuming 30 trading days horizon, BrandywineGLOBAL Global Opp Bond C has beta of -0.063 indicating as returns on benchmark increase, returns on holding BrandywineGLOBAL are expected to decrease at a much smaller rate. During bear market, however, BrandywineGLOBAL Global Opp Bond C is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. BrandywineGLOBAL Global is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of BrandywineGLOBAL is 6210.04. The daily returns are destributed with a variance of 0.14 and standard deviation of 0.38. The mean deviation of BrandywineGLOBAL Global Opp Bond C is currently at 0.28. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.08
β
Beta against DOW=0.06
σ
Overall volatility
=0.38
Ir
Information ratio =0.03

BrandywineGLOBAL Return Volatility

the fund shows 0.3782% volatility of returns over 30 trading days. the entity inherits 1.9997% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BrandywineGLOBAL Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

BrandywineGLOBAL Investment Opportunity

DOW has a standard deviation of returns of 2.0 and is 5.26 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 your portfolios against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of BrandywineGLOBAL to be traded at $9.61 in 30 days. . As returns on market increase, returns on owning BrandywineGLOBAL are expected to decrease at a much smaller rate. During bear market, BrandywineGLOBAL is likely to outperform the market.

BrandywineGLOBAL correlation with market

correlation synergy
Very good 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

Please see also Stocks Correlation. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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