Clearbridge Mid Correlations

LBGIX Fund

USD 44.17 0.04 0.09%

The current 90-days correlation between Clearbridge Mid Cap and Japan Smaller Capitalization is -0.18 (i.e., Good 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 0.77 (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 gross domestic product.

Moving together with Clearbridge Mutual Fund

0.61

TESGX

Templeton Global Smaller

Pair Corr

Moving against Clearbridge Mutual Fund

0.44	TEBIX	Franklin Mutual Beacon	Pair Corr
0.4	TEMEX	Franklin Mutual Beacon	Pair Corr
0.33	PEYAX	Putnam Equity Income	Pair Corr
0.51	FQCHX	Franklin Templeton Smacs	Pair Corr
0.5	FQCTX	Franklin Necticut Tax	Pair Corr
0.33	PFLRX	Putnam Floating Rate	Pair Corr
0.61	FQLAX	Franklin Louisiana Tax	Pair Corr
0.53	FQTHX	Franklin Templeton Smacs	Pair Corr
0.52	FQNCX	Franklin North Carolina	Pair Corr
0.46	FQMDX	Franklin Maryland Tax	Pair Corr

Related Correlations Analysis

	JOF	TMSRX	SWCRX	NPCT	TRFFX	RFI	GBFAX	NCA	USBOX	MYIMX
JOF		0.35	0.47	-0.55	0.31	-0.53	-0.03	-0.33	-0.55	0.33	JOF
TMSRX	0.35		0.82	-0.33	0.36	-0.54	0.64	-0.08	-0.14	0.2	TMSRX
SWCRX	0.47	0.82		-0.34	0.51	-0.39	0.66	-0.18	-0.12	0.26	SWCRX
NPCT	-0.55	-0.33	-0.34		-0.02	0.87	0.0	0.13	0.54	0.21	NPCT
TRFFX	0.31	0.36	0.51	-0.02		-0.13	0.36	-0.1	0.36	0.64	TRFFX
RFI	-0.53	-0.54	-0.39	0.87	-0.13		-0.1	0.01	0.47	0.17	RFI
GBFAX	-0.03	0.64	0.66	0.0	0.36	-0.1		0.22	0.18	-0.01	GBFAX
NCA	-0.33	-0.08	-0.18	0.13	-0.1	0.01	0.22		0.26	-0.33	NCA
USBOX	-0.55	-0.14	-0.12	0.54	0.36	0.47	0.18	0.26		0.35	USBOX
MYIMX	0.33	0.2	0.26	0.21	0.64	0.17	-0.01	-0.33	0.35		MYIMX
	JOF	TMSRX	SWCRX	NPCT	TRFFX	RFI	GBFAX	NCA	USBOX	MYIMX

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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

RFI	+ 0.87	NPCT
SWCRX	+ 0.82	TMSRX
GBFAX	+ 0.66	SWCRX
GBFAX	+ 0.64	TMSRX
MYIMX	+ 0.64	TRFFX
USBOX	+ 0.54	NPCT

High negative correlations

USBOX	- 0.55	JOF
NPCT	- 0.55	JOF
RFI	- 0.54	TMSRX
RFI	- 0.53	JOF
RFI	- 0.39	SWCRX
NPCT	- 0.34	SWCRX

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
JOF	0.83	0.08	0.00	(1.67)	1.21	(0.87)	2.47	(1.41)	6.05
TMSRX	0.11	0.00	(0.27)	0.05	0.07	(0.17)	0.23	(0.34)	0.91
SWCRX	0.25	0.00	(0.11)	0.07	0.27	(0.28)	0.57	(0.50)	1.70
NPCT	0.39	(0.07)	0.00	(1.12)	0.00	0.00	0.77	(0.76)	2.10
TRFFX	0.58	(0.02)	0.00	(0.56)	0.00	0.00	1.09	(1.35)	5.44
RFI	0.48	(0.12)	0.00	(1.28)	0.00	0.00	0.91	(1.00)	3.10
GBFAX	0.71	(0.02)	(0.03)	0.05	0.89	(0.81)	1.62	(1.34)	4.86
NCA	0.45	0.02	(0.08)	0.70	0.52	(0.57)	1.14	(0.91)	3.51
USBOX	1.05	(0.32)	0.00	(0.48)	0.00	0.00	1.14	(1.28)	25.47
MYIMX	0.70	(0.02)	0.00	0.24	0.00	0.00	1.43	(1.39)	6.35

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