Legg Mason Correlations

QLMAFX Fund

USD 14.11 0.03 0.21%

The current 90-days correlation between Legg Mason Partners and Lord Abbett Convertible is 0.77 (i.e., Poor diversification). The correlation of Legg Mason is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Legg Mason Correlation With Market

Very poor diversification

The correlation between Legg Mason Partners and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Partners and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Legg Mason Partners. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Legg Fund

0.85	VTSAX	Vanguard Total Stock	Pair Corr
0.97	VFIAX	Vanguard 500 Index	Pair Corr
0.98	VTSMX	Vanguard Total Stock	Pair Corr
0.98	VITSX	Vanguard Total Stock	Pair Corr
0.85	VSTSX	Vanguard Total Stock	Pair Corr
0.85	VSMPX	Vanguard Total Stock	Pair Corr
0.94	VTIAX	Vanguard Total Inter	Pair Corr
0.97	VFINX	Vanguard 500 Index	Pair Corr
0.84	VFFSX	Vanguard 500 Index	Pair Corr
0.75	VBTLX	Vanguard Total Bond	Pair Corr
0.63	GBMIX	Gmo Benchmark Free	Pair Corr
0.77	AIEAX	American Beacon Inte	Pair Corr
0.7	UAPIX	Ultrasmall Cap Profund	Pair Corr
0.66	JYEBX	Jhancock Real Estate	Pair Corr
0.83	NEAMX	Neiman Large Cap	Pair Corr
0.7	BAC	Bank of America	Pair Corr
0.78	AA	Alcoa Corp	Pair Corr

Moving against Legg Fund

0.64	T	ATT Inc	Pair Corr
0.59	VZ	Verizon Communications	Pair Corr
0.52	PG	Procter Gamble	Pair Corr
0.38	HD	Home Depot	Pair Corr

Related Correlations Analysis

	LCFYX	XAVKX	NCIDX	CCD	FSAWX	VAADX
LCFYX		0.42	0.9	0.85	0.86	0.91	LCFYX
XAVKX	0.42		0.62	0.63	0.15	0.38	XAVKX
NCIDX	0.9	0.62		0.86	0.84	0.96	NCIDX
CCD	0.85	0.63	0.86		0.63	0.8	CCD
FSAWX	0.86	0.15	0.84	0.63		0.93	FSAWX
VAADX	0.91	0.38	0.96	0.8	0.93		VAADX
	LCFYX	XAVKX	NCIDX	CCD	FSAWX	VAADX

Risk-Adjusted Indicators

There is a big difference between Legg Fund performing well and Legg Mason Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Legg Mason's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LCFYX	0.71	0.04	0.03	0.12	0.85	(0.80)	1.31	(1.69)	4.63
XAVKX	0.57	0.02	(0.05)	0.23	0.84	(0.54)	1.01	(1.55)	3.08
NCIDX	0.71	0.11	0.04	1.44	0.93	(0.69)	1.32	(1.79)	4.80
CCD	0.84	0.03	0.02	0.10	1.09	(0.85)	1.75	(2.09)	4.71
FSAWX	0.12	0.04	(0.11)	(2.39)	0.00	(0.18)	0.27	(0.17)	1.04
VAADX	0.68	0.12	0.06	1.72	0.87	(0.71)	1.20	(1.71)	4.60

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