Clearbridge Mid Correlations

LBGCX Fund

USD 35.86 0.27 0.75%

The current 90-days correlation between Clearbridge Mid Cap and Invesco Diversified Dividend is 0.88 (i.e., Very poor diversification). The correlation of Clearbridge Mid 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 Mid Correlation With Market

Poor diversification

The correlation between Clearbridge Mid Cap and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Mid 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 Mid 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 unemployment.

Moving together with Clearbridge Mutual Fund

0.96	SAGCX	Clearbridge Aggressive	Pair Corr
0.92	LGASX	Clearbridge Small Cap	Pair Corr
0.87	LGFEX	Qs International Equity	Pair Corr
0.92	SAPCX	Clearbridge Appreciation	Pair Corr
0.62	LGOCX	Legg Mason Bw	Pair Corr
0.78	WAASX	Western Asset Total	Pair Corr
0.91	LGSCX	Qs Small Capitalization	Pair Corr
0.86	SBICX	Clearbridge International	Pair Corr
0.8	WARIX	Western Asset Total	Pair Corr
0.96	SBMLX	Clearbridge Mid Cap	Pair Corr
0.82	SBPLX	Clearbridge Dividend	Pair Corr
0.79	WAUCX	Western Asset Total	Pair Corr
0.79	WAURX	Western Asset Total	Pair Corr
0.72	SBSDX	Qs Sp 500	Pair Corr

Moving against Clearbridge Mutual Fund

0.31

WAFCX

Western Asset Inflation

Pair Corr

Related Correlations Analysis

	DDFIX	TSMUX	CDEYX	PASVX	HIIDX	HRIDX	PRSVX	USCAX
DDFIX		0.97	0.85	0.99	0.86	0.86	0.99	0.96	DDFIX
TSMUX	0.97		0.88	0.98	0.9	0.9	0.98	0.98	TSMUX
CDEYX	0.85	0.88		0.88	0.84	0.84	0.88	0.86	CDEYX
PASVX	0.99	0.98	0.88		0.86	0.86	1.0	0.96	PASVX
HIIDX	0.86	0.9	0.84	0.86		1.0	0.86	0.89	HIIDX
HRIDX	0.86	0.9	0.84	0.86	1.0		0.86	0.89	HRIDX
PRSVX	0.99	0.98	0.88	1.0	0.86	0.86		0.96	PRSVX
USCAX	0.96	0.98	0.86	0.96	0.89	0.89	0.96		USCAX
	DDFIX	TSMUX	CDEYX	PASVX	HIIDX	HRIDX	PRSVX	USCAX

Risk-Adjusted Indicators

There is a big difference between Clearbridge Mutual Fund performing well and Clearbridge Mid 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 Mid'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
DDFIX	0.71	0.17	0.35	0.25	0.00	(0.96)	1.31	(0.87)	14.57
TSMUX	0.94	0.17	0.15	0.27	0.80	(1.08)	2.03	(1.89)	7.74
CDEYX	0.56	0.06	0.06	0.18	0.44	(0.65)	1.11	(0.96)	2.65
PASVX	0.95	0.18	0.24	0.23	0.50	(1.13)	1.80	(1.31)	13.89
HIIDX	0.65	0.15	0.08	0.94	0.55	(0.75)	1.33	(1.13)	6.19
HRIDX	0.65	0.15	0.08	0.94	0.55	(0.77)	1.29	(1.12)	6.08
PRSVX	0.95	0.18	0.25	0.23	0.51	(1.13)	1.80	(1.30)	13.81
USCAX	0.93	0.20	0.09	1.32	0.91	(1.04)	2.03	(1.93)	6.91

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