Clearbridge Small Correlations

LMASX Fund

USD 37.05 0.45 1.23%

The current 90-days correlation between Clearbridge Small Cap and Clearbridge Aggressive Growth is 0.75 (i.e., Poor diversification). The correlation of Clearbridge Small 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.

Clearbridge Small Correlation With Market

Poor diversification

The correlation between Clearbridge Small Cap and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Small Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Clearbridge Small Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Clearbridge Mutual Fund

0.72	VSMAX	Vanguard Small Cap	Pair Corr
0.72	VSCIX	Vanguard Small Cap	Pair Corr
0.72	VSCPX	Vanguard Small Cap	Pair Corr
0.73	NAESX	Vanguard Small Cap	Pair Corr
0.88	DFSTX	Us Small Cap	Pair Corr
0.62	PASVX	T Rowe Price	Pair Corr
0.61	PRSVX	T Rowe Price	Pair Corr

Moving against Clearbridge Mutual Fund

0.62	RGIVX	Rare Global Infrastr	Pair Corr
0.56	SMMOX	Western Asset Managed	Pair Corr
0.52	MCEMX	Martin Currie Emerging	Pair Corr
0.51	MEFIX	Martin Currie Emerging	Pair Corr
0.5	LBAFX	Legg Mason Bw	Pair Corr
0.45	MCECX	Martin Currie Emerging	Pair Corr
0.32	LIESX	Qs International Equity	Pair Corr
0.56	BAGPX	Blackrock Gwth Ptf	Pair Corr
0.47	MEGMX	Matthews Emerging Markets	Pair Corr
0.41	FOCPX	Fidelity Otc Portfolio	Pair Corr

Related Correlations Analysis

	SAGCX	LGASX	LGFEX	SAPCX	LGOCX	SSMMX	WAASX	LGSCX	WACIX	WACSX
SAGCX		0.36	0.51	0.7	0.6	0.31	0.33	0.65	0.41	0.36	SAGCX
LGASX	0.36		0.01	-0.05	0.49	-0.55	-0.31	-0.16	-0.26	-0.31	LGASX
LGFEX	0.51	0.01		0.75	0.26	0.47	0.4	0.51	0.44	0.44	LGFEX
SAPCX	0.7	-0.05	0.75		0.15	0.68	0.68	0.66	0.66	0.65	SAPCX
LGOCX	0.6	0.49	0.26	0.15		-0.08	0.09	0.31	0.21	0.13	LGOCX
SSMMX	0.31	-0.55	0.47	0.68	-0.08		0.84	0.59	0.82	0.84	SSMMX
WAASX	0.33	-0.31	0.4	0.68	0.09	0.84		0.51	0.85	0.85	WAASX
LGSCX	0.65	-0.16	0.51	0.66	0.31	0.59	0.51		0.42	0.39	LGSCX
WACIX	0.41	-0.26	0.44	0.66	0.21	0.82	0.85	0.42		0.99	WACIX
WACSX	0.36	-0.31	0.44	0.65	0.13	0.84	0.85	0.39	0.99		WACSX
	SAGCX	LGASX	LGFEX	SAPCX	LGOCX	SSMMX	WAASX	LGSCX	WACIX	WACSX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

WACSX	+ 0.99	WACIX
WACIX	+ 0.85	WAASX
WACSX	+ 0.85	WAASX
WAASX	+ 0.84	SSMMX
WACSX	+ 0.84	SSMMX
WACIX	+ 0.82	SSMMX

High negative correlations

SSMMX	- 0.55	LGASX
WACSX	- 0.31	LGASX
WAASX	- 0.31	LGASX
WACIX	- 0.26	LGASX
LGSCX	- 0.16	LGASX
SSMMX	- 0.08	LGOCX

Risk-Adjusted Indicators

There is a big difference between Clearbridge Mutual Fund performing well and Clearbridge Small Mutual 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 Clearbridge Small'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
SAGCX	0.80	(0.03)	(0.02)	0.03	1.17	(0.78)	1.45	(2.11)	5.02
LGASX	0.83	(0.06)	(0.04)	0.01	1.10	(0.85)	1.91	(1.97)	4.93
LGFEX	0.63	0.01	0.00	0.07	0.79	(0.62)	1.20	(1.35)	3.11
SAPCX	0.49	0.00	(0.02)	0.06	0.63	(0.51)	1.10	(0.93)	3.09
LGOCX	0.29	(0.01)	(0.17)	(0.08)	0.33	(0.34)	0.57	(0.57)	1.72
SSMMX	0.11	0.06	0.00	(6.47)	0.00	(0.18)	0.35	(0.14)	0.96
WAASX	0.09	0.01	(0.24)	0.26	0.00	(0.15)	0.22	(0.22)	0.65
LGSCX	0.91	0.04	(0.01)	1.99	1.09	(1.02)	2.23	(1.90)	5.43
WACIX	0.17	0.03	(0.14)	2.25	0.00	(0.21)	0.33	(0.32)	1.07
WACSX	0.18	0.03	(0.11)	1.97	0.00	(0.21)	0.37	(0.28)	1.02

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