Clearbridge Small Correlations

LMOIX Fund

USD 45.96 0.63 1.39%

The current 90-days correlation between Clearbridge Small Cap and Real Estate Fund is 0.11 (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

Very poor diversification

The correlation between Clearbridge Small Cap 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 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 gross domestic product.

Moving together with Clearbridge Mutual Fund

0.95	SAGCX	Clearbridge Aggressive	Pair Corr
0.98	LGASX	Clearbridge Small Cap	Pair Corr
0.94	SAPCX	Clearbridge Appreciation	Pair Corr
0.98	LGSCX	Qs Small Capitalization	Pair Corr
0.63	SBCLX	Qs Defensive Growth	Pair Corr
0.65	WAHSX	Western Asset High	Pair Corr
0.9	SBPLX	Clearbridge Dividend	Pair Corr
0.93	SBSDX	Qs Sp 500	Pair Corr
0.61	WAYRX	Western Asset High	Pair Corr
0.87	SCBCX	Qs Servative Growth	Pair Corr
0.92	SCGCX	Qs Moderate Growth	Pair Corr
0.94	SCHCX	Qs Growth Fund	Pair Corr
1.0	SCSMX	Clearbridge Small Cap	Pair Corr
0.98	LISGX	Clearbridge Small Cap	Pair Corr
0.75	ARMGX	Western Asset Adjustable	Pair Corr
0.88	LLARX	Qs Servative Growth	Pair Corr
0.94	LLLRX	Qs Growth Fund	Pair Corr
0.93	LLMRX	Qs Moderate Growth	Pair Corr

Moving against Clearbridge Mutual Fund

0.74	LGOCX	Legg Mason Bw	Pair Corr
0.72	WABCX	Western Asset E	Pair Corr
0.72	WABRX	Western Asset E	Pair Corr
0.7	WACSX	Western Asset E	Pair Corr
0.68	WACIX	Western Asset E	Pair Corr
0.68	WABSX	Western Asset Interm	Pair Corr
0.63	WAFCX	Western Asset Inflation	Pair Corr
0.62	WAFRX	Western Asset Inflation	Pair Corr
0.6	WAFSX	Western Asset Inflation	Pair Corr
0.53	LGFEX	Qs International Equity	Pair Corr
0.36	SSMMX	Western Asset Managed	Pair Corr
0.32	WAASX	Western Asset Total	Pair Corr
0.72	WAPIX	Western Asset E	Pair Corr
0.7	WATCX	Western Asset Interm	Pair Corr
0.7	WATRX	Western Asset Interm	Pair Corr
0.68	WAPSX	Western Asset E	Pair Corr
0.61	WATPX	Western Asset Inflation	Pair Corr
0.56	SBICX	Clearbridge International	Pair Corr
0.42	SBYLX	Western Asset New	Pair Corr
0.41	WAUCX	Western Asset Total	Pair Corr
0.68	LMLCX	Western Asset Smash	Pair Corr
0.54	LMGEX	Qs International Equity	Pair Corr
0.54	LMIRX	Qs International Equity	Pair Corr
0.46	LMGTX	Clearbridge International	Pair Corr

Related Correlations Analysis

	AREWX	GURPX	MSURX	SEIRX	CNREX	DAREX	FREEX
AREWX		0.97	0.66	0.96	0.72	0.74	0.94	AREWX
GURPX	0.97		0.59	0.96	0.73	0.74	0.93	GURPX
MSURX	0.66	0.59		0.75	0.43	0.35	0.42	MSURX
SEIRX	0.96	0.96	0.75		0.72	0.7	0.84	SEIRX
CNREX	0.72	0.73	0.43	0.72		0.92	0.71	CNREX
DAREX	0.74	0.74	0.35	0.7	0.92		0.75	DAREX
FREEX	0.94	0.93	0.42	0.84	0.71	0.75		FREEX
	AREWX	GURPX	MSURX	SEIRX	CNREX	DAREX	FREEX

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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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AREWX	0.69	0.07	(0.05)	1.01	0.78	(0.73)	1.30	(1.31)	3.79
GURPX	0.59	0.03	(0.09)	0.27	0.63	(0.70)	1.28	(1.10)	3.33
MSURX	0.46	0.10	(0.05)	(1.03)	0.35	(0.75)	1.16	(0.83)	3.64
SEIRX	0.68	0.06	(0.04)	0.35	0.71	(0.79)	1.39	(1.27)	3.76
CNREX	0.62	0.03	(0.06)	0.19	0.75	(0.66)	1.22	(1.53)	4.85
DAREX	0.69	0.00	(0.07)	0.12	0.82	(0.72)	1.37	(1.56)	4.21
FREEX	0.68	0.05	(0.07)	0.78	0.80	(0.71)	1.25	(1.24)	4.09

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