Legg Mason Correlations

Funds . USA . 
Fund . Legg Mason Partners
QLMLSX Fund  USD 14.77  0.04  0.27%   
The current 90-days correlation between Legg Mason Partners and Vanguard Total Stock is -0.28 (i.e., Very good 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 0.88 (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 inflation.

Moving together with Legg Fund

  0.95VTSAX Vanguard Total StockPairCorr
  0.99VFIAX Vanguard 500 IndexPairCorr
  1.0VTSMX Vanguard Total StockPairCorr
  1.0VITSX Vanguard Total StockPairCorr
  0.95VSTSX Vanguard Total StockPairCorr
  1.0VSMPX Vanguard Total StockPairCorr
  0.99VFINX Vanguard 500 IndexPairCorr
  0.95VFFSX Vanguard 500 IndexPairCorr
  0.98VGTSX Vanguard Total InterPairCorr
  0.98VTIAX Vanguard Total InterPairCorr
  0.84SMPSX Semiconductor UltrasectorPairCorr
  0.84SMPIX Semiconductor Ultrasector Steady GrowthPairCorr
  0.93FELIX Fidelity Advisor Sem Steady GrowthPairCorr
  0.95ONERX One Rock FundPairCorr
  0.95RYVYX Nasdaq 100 2x Steady GrowthPairCorr
  0.9RYVLX Nasdaq 100 2xPairCorr
  0.92FSELX Fidelity Select Semi Steady GrowthPairCorr
  1.0VTWIX Vanguard Total WorldPairCorr
  0.98VTMFX Vanguard Tax ManagedPairCorr
  0.99STLYX Simt Tax ManagedPairCorr
  0.87TMBFX Transamerica IntermediatePairCorr
  0.94LGORX Lord Abbett GrowthPairCorr
  0.92RPSIX Spectrum IncomePairCorr
  1.0VRRJX Voya Target RetirementPairCorr
  0.94LVAEX Lsv Value EquityPairCorr
  0.94LHYFX Lord Abbett HighPairCorr
  0.99VQNPX Vanguard Growth AndPairCorr
  1.0JETSX John Hancock VarPairCorr
  0.82FTLTX Fidelity Series LongPairCorr
  1.0PCGJX Strategic Asset ManaPairCorr
  0.99FSNVX Fidelity Freedom 2040PairCorr
  0.94CGOAX Columbia Small CapPairCorr
  0.92PTEAX Tax Exempt BondPairCorr
  0.9SECPX Sdit Ultra ShortPairCorr
  0.97FIRSX Fidelity Income ReplPairCorr
  0.97IEMFX T Rowe PricePairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
VTSAX  0.47  0.12  0.08 (0.39) 0.55 
(0.54)
 1.27 
(0.63)
 4.43 
VFIAX  0.47  0.04  0.05  0.09  0.55 
(0.50)
 1.14 
(0.63)
 4.22 
VTSMX  0.48  0.04  0.05  0.09  0.57 
(0.55)
 1.26 
(0.65)
 4.42 
VITSX  0.48  0.04  0.05  0.09  0.57 
(0.55)
 1.26 
(0.65)
 4.42 
VSTSX  0.47  0.12  0.08 (0.39) 0.55 
(0.53)
 1.26 
(0.63)
 4.43 
VSMPX  0.48  0.04  0.05  0.09  0.57 
(0.55)
 1.26 
(0.65)
 4.42 
VFINX  0.47  0.04  0.05  0.09  0.55 
(0.50)
 1.14 
(0.63)
 4.22 
VFFSX  0.46  0.11  0.07 (0.36) 0.53 
(0.50)
 1.14 
(0.63)
 4.22 
VGTSX  0.53  0.07  0.08  0.14  0.59 
(0.57)
 1.33 
(0.90)
 4.19 
VTIAX  0.53  0.07  0.09  0.14  0.58 
(0.56)
 1.34 
(0.87)
 4.19 

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