Clearbridge Sustainability Correlations

LCILX Fund

USD 28.38 0.11 0.39%

The current 90-days correlation between Clearbridge Sustainability and Clearbridge Aggressive Growth is 0.93 (i.e., Almost no diversification). The correlation of Clearbridge Sustainability 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 Sustainability Correlation With Market

Very poor diversification

The correlation between Clearbridge Sustainability and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Sustainability 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 Sustainability. 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 bureau of economic analysis.

Moving together with Clearbridge Mutual Fund

0.74	WAHSX	Western Asset High	Pair Corr
0.97	SBSDX	Qs Sp 500	Pair Corr
0.92	SCGCX	Qs Moderate Growth	Pair Corr
0.94	LMBMX	Qs Small Capitalization	Pair Corr
0.96	LMISX	Qs Large Cap	Pair Corr
0.95	LMLSX	Clearbridge Large Cap	Pair Corr
0.95	LMOIX	Clearbridge Small Cap	Pair Corr
0.95	LMPLX	Clearbridge Large Cap	Pair Corr
0.95	LMPOX	Clearbridge Small Cap	Pair Corr
0.92	LMTIX	Qs Large Cap	Pair Corr
0.92	LMUSX	Qs Large Cap	Pair Corr
0.97	SILLX	Qs Global Equity	Pair Corr
0.95	LSITX	Clearbridge Large Cap	Pair Corr
0.95	LCBSX	Clearbridge Select	Pair Corr
1.0	LCSTX	Clearbridge Sustainability	Pair Corr
0.98	VTSAX	Vanguard Total Stock	Pair Corr
0.92	VFIAX	Vanguard 500 Index	Pair Corr
0.98	VTSMX	Vanguard Total Stock	Pair Corr
0.98	VITSX	Vanguard Total Stock	Pair Corr
0.98	VSMPX	Vanguard Total Stock	Pair Corr
0.98	VSTSX	Vanguard Total Stock	Pair Corr
0.92	VFINX	Vanguard 500 Index	Pair Corr
0.97	VFFSX	Vanguard 500 Index	Pair Corr

Moving against Clearbridge Mutual Fund

0.68	LGOCX	Legg Mason Bw	Pair Corr
0.64	WABRX	Western Asset E	Pair Corr
0.61	LMLCX	Western Asset Smash	Pair Corr
0.59	WACIX	Western Asset E	Pair Corr
0.58	WABSX	Western Asset Interm	Pair Corr
0.58	LMBSX	Western Asset Mortgage	Pair Corr
0.47	LGFEX	Qs International Equity	Pair Corr
0.31	SCACX	Western Asset California	Pair Corr
0.68	LMSMX	Western Asset Smash	Pair Corr

Related Correlations Analysis

	SAGCX	LGASX	SAPCX	LGOCX	SSMMX	WAASX	LGSCX	WACIX	WACSX	WABCX
SAGCX		0.94	0.98	-0.81	-0.3	-0.35	0.94	-0.73	-0.76	-0.77	SAGCX
LGASX	0.94		0.94	-0.76	-0.28	-0.3	0.98	-0.66	-0.71	-0.72	LGASX
SAPCX	0.98	0.94		-0.77	-0.3	-0.3	0.94	-0.69	-0.73	-0.74	SAPCX
LGOCX	-0.81	-0.76	-0.77		0.63	0.79	-0.7	0.97	0.98	0.99	LGOCX
SSMMX	-0.3	-0.28	-0.3	0.63		0.82	-0.23	0.75	0.72	0.71	SSMMX
WAASX	-0.35	-0.3	-0.3	0.79	0.82		-0.24	0.87	0.84	0.83	WAASX
LGSCX	0.94	0.98	0.94	-0.7	-0.23	-0.24		-0.6	-0.65	-0.66	LGSCX
WACIX	-0.73	-0.66	-0.69	0.97	0.75	0.87	-0.6		0.99	0.99	WACIX
WACSX	-0.76	-0.71	-0.73	0.98	0.72	0.84	-0.65	0.99		1.0	WACSX
WABCX	-0.77	-0.72	-0.74	0.99	0.71	0.83	-0.66	0.99	1.0		WABCX
	SAGCX	LGASX	SAPCX	LGOCX	SSMMX	WAASX	LGSCX	WACIX	WACSX	WABCX

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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

WABCX	+ 1.0	WACSX
WABCX	+ 0.99	LGOCX
WACSX	+ 0.99	WACIX
WABCX	+ 0.99	WACIX
SAPCX	+ 0.98	SAGCX
LGSCX	+ 0.98	LGASX

High negative correlations

LGOCX	- 0.81	SAGCX
LGOCX	- 0.77	SAPCX
WABCX	- 0.77	SAGCX
LGOCX	- 0.76	LGASX
WACSX	- 0.76	SAGCX
WABCX	- 0.74	SAPCX

Risk-Adjusted Indicators

There is a big difference between Clearbridge Mutual Fund performing well and Clearbridge Sustainability 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 Sustainability'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	0.75	0.02	0.03	0.14	0.90	(0.75)	1.56	(1.39)	4.84
LGASX	0.81	0.02	0.04	0.13	0.74	(0.90)	1.86	(1.41)	5.76
SAPCX	0.51	(0.01)	(0.05)	0.10	0.64	(0.54)	1.02	(1.30)	3.92
LGOCX	0.37	(0.09)	0.00	1.46	0.00	0.00	0.68	(0.84)	2.04
SSMMX	0.16	0.02	(0.36)	(0.05)	0.21	(0.22)	0.40	(0.27)	1.53
WAASX	0.14	(0.01)	(0.56)	(0.06)	0.13	(0.18)	0.33	(0.33)	0.77
LGSCX	0.95	(0.05)	0.01	0.09	0.99	(1.06)	1.94	(1.74)	8.08
WACIX	0.25	(0.03)	0.00	0.71	0.00	0.00	0.43	(0.54)	1.41
WACSX	0.25	(0.03)	0.00	0.58	0.00	0.00	0.47	(0.66)	1.61
WABCX	0.24	(0.03)	0.00	0.65	0.00	0.00	0.47	(0.66)	1.42

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