Legg Mason Bw Fund Market Value
| LBWAX Fund | USD 19.95 0.12 0.61% |
| Symbol | Legg |
Legg Mason 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Legg Mason's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Legg Mason.
| 10/22/2023 |
| 04/19/2024 |
If you would invest 0.00 in Legg Mason on October 22, 2023 and sell it all today you would earn a total of 0.00 from holding Legg Mason Bw or generate 0.0% return on investment in Legg Mason over 180 days. Legg Mason is related to or competes with Dodge Cox, American Funds, American Funds, American Mutual, and Vanguard Value. The fund normally invests at least 80 percent of its net assets, plus the amount of borrowings for investment purposes, ... More
Legg Mason Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Legg Mason's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Legg Mason Bw upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7265 | |||
| Information Ratio | 0.0423 | |||
| Maximum Drawdown | 2.79 | |||
| Value At Risk | (1.06) | |||
| Potential Upside | 1.03 |
Legg Mason Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Legg Mason's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Legg Mason's standard deviation. In reality, there are many statistical measures that can use Legg Mason historical prices to predict the future Legg Mason's volatility.| Risk Adjusted Performance | 0.0937 | |||
| Jensen Alpha | 0.0842 | |||
| Total Risk Alpha | 0.0256 | |||
| Sortino Ratio | 0.0366 | |||
| Treynor Ratio | 5.32 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Legg Mason's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Legg Mason Bw Backtested Returns
We consider Legg Mason very steady. Legg Mason Bw has Sharpe Ratio of 0.16, which conveys that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Legg Mason, which you can use to evaluate the volatility of the fund. Please verify Legg Mason's Risk Adjusted Performance of 0.0937, mean deviation of 0.4654, and Downside Deviation of 0.7265 to check out if the risk estimate we provide is consistent with the expected return of 0.0979%. The fund secures a Beta (Market Risk) of 0.016, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Legg Mason's returns are expected to increase less than the market. However, during the bear market, the loss of holding Legg Mason is expected to be smaller as well.
Auto-correlation | 0.93 |
Excellent predictability
Legg Mason Bw has excellent predictability. Overlapping area represents the amount of predictability between Legg Mason time series from 22nd of October 2023 to 20th of January 2024 and 20th of January 2024 to 19th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Legg Mason Bw price movement. The serial correlation of 0.93 indicates that approximately 93.0% of current Legg Mason price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.93 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 0.4 |
Legg Mason Bw lagged returns against current returns
Autocorrelation, which is Legg Mason mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Legg Mason's mutual fund expected returns. We can calculate the autocorrelation of Legg Mason returns to help us make a trade decision. For example, suppose you find that Legg Mason has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Legg Mason regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Legg Mason mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Legg Mason mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Legg Mason mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Legg Mason Lagged Returns
When evaluating Legg Mason's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Legg Mason mutual fund have on its future price. Legg Mason autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Legg Mason autocorrelation shows the relationship between Legg Mason mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Legg Mason Bw.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Legg Mason in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Legg Mason's short interest history, or implied volatility extrapolated from Legg Mason options trading.
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Try AI Portfolio ArchitectCheck out Legg Mason Correlation, Legg Mason Volatility and Legg Mason Alpha and Beta module to complement your research on Legg Mason. Note that the Legg Mason Bw information on this page should be used as a complementary analysis to other Legg Mason's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Legg Mason technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.