Legg Mason Correlations

QLMSTX Fund

USD 27.61 0.06 0.22%

The current 90-days correlation between Legg Mason Partners and Tiaa Cref Real Estate is 0.38 (i.e., Weak 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

Good diversification

The correlation between Legg Mason Partners and DJI is -0.05 (i.e., Good 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 manufacturing.

Moving together with Legg Fund

0.95	VTSAX	Vanguard Total Stock	Pair Corr
0.91	VFIAX	Vanguard 500 Index	Pair Corr
0.92	VTSMX	Vanguard Total Stock	Pair Corr
0.92	VITSX	Vanguard Total Stock	Pair Corr
0.95	VSTSX	Vanguard Total Stock	Pair Corr
0.95	VSMPX	Vanguard Total Stock	Pair Corr
0.91	VFINX	Vanguard 500 Index	Pair Corr
0.94	VFFSX	Vanguard 500 Index	Pair Corr
0.68	VGTSX	Vanguard Total Inter	Pair Corr
0.89	VTIAX	Vanguard Total Inter	Pair Corr
0.89	NHS	Neuberger Berman High	Pair Corr
0.81	NVG	Nuveen Amt Free	Pair Corr
0.73	AA	Alcoa Corp	Pair Corr
0.71	DD	Dupont De Nemours	Pair Corr
0.68	CAT	Caterpillar	Pair Corr
0.78	JNJ	Johnson Johnson Earnings Call This Week	Pair Corr
0.77	CVX	Chevron Corp	Pair Corr
0.9	BAC	Bank of America	Pair Corr
0.79	AXP	American Express	Pair Corr
0.86	TRV	The Travelers Companies	Pair Corr
0.87	HPQ	HP Inc Sell-off Trend	Pair Corr

Moving against Legg Fund

0.42

Boeing

Pair Corr

Related Correlations Analysis

	TIRHX	PNDIX	CREMX	BREUX	ZRPTUX	PHRIX	CREYX
TIRHX		0.51	0.54	0.45	0.34	0.96	0.77	TIRHX
PNDIX	0.51		1.0	0.81	0.8	0.55	0.59	PNDIX
CREMX	0.54	1.0		0.79	0.79	0.57	0.61	CREMX
BREUX	0.45	0.81	0.79		0.83	0.47	0.47	BREUX
ZRPTUX	0.34	0.8	0.79	0.83		0.39	0.52	ZRPTUX
PHRIX	0.96	0.55	0.57	0.47	0.39		0.82	PHRIX
CREYX	0.77	0.59	0.61	0.47	0.52	0.82		CREYX
	TIRHX	PNDIX	CREMX	BREUX	ZRPTUX	PHRIX	CREYX

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
TIRHX	0.62	0.03	(0.02)	6.77	0.73	(0.67)	1.58	(1.44)	3.45
PNDIX	0.04	0.00	0.00	0.00	0.00	0.00	0.10	0.00	0.10
CREMX	0.03	0.02	0.00	(6.66)	0.00	0.00	0.08	0.00	0.12
BREUX	0.76	0.08	0.03	(1.49)	0.70	(0.95)	2.05	(1.33)	5.35
ZRPTUX	0.07	0.01	0.00	(0.18)	0.00	0.00	0.08	(0.08)	1.44
PHRIX	0.59	0.03	(0.04)	(0.56)	0.70	(0.64)	1.46	(1.19)	3.49
CREYX	0.71	(0.03)	(0.05)	0.02	0.81	(0.81)	1.73	(1.66)	4.01

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