Clearbridge Small Correlations

LGASX Fund

USD 68.57 0.90 1.33%

The current 90-days correlation between Clearbridge Small Cap and T Rowe Price is 0.19 (i.e., Average 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

Almost no diversification

The correlation between Clearbridge Small Cap and DJI is 0.92 (i.e., Almost no 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 producer price index.

Moving together with Clearbridge Mutual Fund

0.89	SAGCX	Clearbridge Aggressive	Pair Corr
0.91	LGFEX	Qs International Equity	Pair Corr
0.95	SAPCX	Clearbridge Appreciation	Pair Corr
0.71	LGOCX	Legg Mason Bw	Pair Corr
0.68	SSMMX	Western Asset Managed	Pair Corr
0.87	WAASX	Western Asset Total	Pair Corr
0.95	LGSCX	Qs Small Capitalization	Pair Corr
0.64	WACIX	Western Asset E	Pair Corr
0.66	WACSX	Western Asset E	Pair Corr
0.66	WABSX	Western Asset Interm	Pair Corr
0.71	WAGIX	Western Asset Global	Pair Corr
0.85	SSTLX	Western Asset Short	Pair Corr
0.79	WAHSX	Western Asset High	Pair Corr
0.61	WAPIX	Western Asset E	Pair Corr
0.66	WAPSX	Western Asset E	Pair Corr
0.85	SBICX	Clearbridge International	Pair Corr
0.64	SBILX	Western Asset Porate	Pair Corr
0.85	WARIX	Western Asset Total	Pair Corr
0.97	SBMLX	Clearbridge Mid Cap	Pair Corr
0.86	SBPLX	Clearbridge Dividend	Pair Corr
0.86	WAURX	Western Asset Total	Pair Corr
0.79	SBSDX	Qs Sp 500	Pair Corr
0.78	WAYRX	Western Asset High	Pair Corr
0.64	SCACX	Western Asset California	Pair Corr
0.83	SCBCX	Qs Servative Growth	Pair Corr
0.83	SCGCX	Qs Moderate Growth	Pair Corr
0.82	SCHCX	Qs Growth Fund	Pair Corr

Related Correlations Analysis

	IATXX	PLMPX	PDHCX	SMAAX	PCEXX	PAELX	ELBIX	TEIMX
IATXX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	IATXX
PLMPX	0.0		0.96	0.94	0.0	1.0	0.99	1.0	PLMPX
PDHCX	0.0	0.96		0.94	0.0	0.96	0.95	0.96	PDHCX
SMAAX	0.0	0.94	0.94		0.0	0.94	0.93	0.94	SMAAX
PCEXX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	PCEXX
PAELX	0.0	1.0	0.96	0.94	0.0		0.99	1.0	PAELX
ELBIX	0.0	0.99	0.95	0.93	0.0	0.99		0.99	ELBIX
TEIMX	0.0	1.0	0.96	0.94	0.0	1.0	0.99		TEIMX
	IATXX	PLMPX	PDHCX	SMAAX	PCEXX	PAELX	ELBIX	TEIMX

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

PAELX	+ 1.0	PLMPX
TEIMX	+ 1.0	PLMPX
TEIMX	+ 1.0	PAELX
ELBIX	+ 0.99	PLMPX
ELBIX	+ 0.99	PAELX
TEIMX	+ 0.99	ELBIX

High negative correlations

TEIMX	- 0.0	PCEXX
ELBIX	- 0.0	PCEXX
PAELX	- 0.0	PCEXX
PCEXX	- 0.0	SMAAX
PCEXX	- 0.0	PDHCX
PCEXX	- 0.0	PLMPX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
IATXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PLMPX	0.20	0.07	0.07	0.98	(0.28)	0.52	(0.27)	1.16
PDHCX	0.16	0.04	(0.08)	0.53	(0.22)	0.41	(0.28)	1.24
SMAAX	0.07	0.02	(0.30)	21.55	(0.14)	0.20	(0.10)	0.49
PCEXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PAELX	0.22	0.06	0.03	0.68	(0.33)	0.58	(0.39)	1.16
ELBIX	0.22	0.07	0.04	0.67	(0.29)	0.56	(0.41)	2.07
TEIMX	0.22	0.06	0.03	0.73	(0.33)	0.58	(0.39)	1.18

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