Clearbridge Large Correlations

LSITX Fund

USD 80.10 0.59 0.74%

The current 90-days correlation between Clearbridge Large Cap and Power Global Tactical is 0.06 (i.e., Significant diversification). The correlation of Clearbridge Large 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 Large Correlation With Market

Poor diversification

The correlation between Clearbridge Large Cap and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Clearbridge Large 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 Large 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 estimate.

Moving together with Clearbridge Mutual Fund

0.74	WAHSX	Western Asset High	Pair Corr
0.95	SCGCX	Qs Moderate Growth	Pair Corr
0.9	LMBMX	Qs Small Capitalization	Pair Corr
0.98	LMISX	Qs Large Cap	Pair Corr
0.98	LMTIX	Qs Large Cap	Pair Corr
0.94	LMUSX	Qs Large Cap	Pair Corr
0.96	SILLX	Qs Global Equity	Pair Corr
0.95	FAFGX	American Funds	Pair Corr
0.95	FFAFX	American Funds	Pair Corr
0.98	GFACX	Growth Fund	Pair Corr
0.98	GFAFX	Growth Fund	Pair Corr
0.98	AGTHX	Growth Fund	Pair Corr
0.98	CGFFX	Growth Fund	Pair Corr
0.98	CGFCX	Growth Fund	Pair Corr
0.98	CGFAX	Growth Fund	Pair Corr
0.98	CGFEX	Growth Fund	Pair Corr
0.98	RGAEX	Growth Fund	Pair Corr
0.86	SPGSX	State Street Premier	Pair Corr
0.78	VFMFX	Vanguard Multifactor	Pair Corr
0.99	AMEIX	Equity Growth	Pair Corr
0.89	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.89	KMKNX	Kinetics Market Oppo Steady Growth	Pair Corr

Moving against Clearbridge Mutual Fund

0.82	LMSMX	Western Asset Smash	Pair Corr
0.81	LGOCX	Legg Mason Bw	Pair Corr
0.75	LMBSX	Western Asset Mortgage	Pair Corr
0.75	LMLCX	Western Asset Smash	Pair Corr
0.61	LGFEX	Qs International Equity	Pair Corr
0.51	SCACX	Western Asset California	Pair Corr
0.46	SBYLX	Western Asset New	Pair Corr
0.45	LMECX	Western Asset Smash	Pair Corr
0.82	KF	Korea Closed	Pair Corr
0.44	BRUFX	Bruce Fund Bruce	Pair Corr

Related Correlations Analysis

	GTAAX	WWWEX	USGLX	BCGDX	EQTYX	BXFIX	MFIRX	DSDYX
GTAAX		0.82	0.87	0.51	-0.04	0.8	0.27	-0.49	GTAAX
WWWEX	0.82		0.88	0.08	-0.33	0.83	0.01	-0.63	WWWEX
USGLX	0.87	0.88		0.38	-0.05	0.77	0.19	-0.5	USGLX
BCGDX	0.51	0.08	0.38		0.35	0.14	0.41	0.07	BCGDX
EQTYX	-0.04	-0.33	-0.05	0.35		-0.4	0.25	0.57	EQTYX
BXFIX	0.8	0.83	0.77	0.14	-0.4		0.19	-0.59	BXFIX
MFIRX	0.27	0.01	0.19	0.41	0.25	0.19		0.54	MFIRX
DSDYX	-0.49	-0.63	-0.5	0.07	0.57	-0.59	0.54		DSDYX
	GTAAX	WWWEX	USGLX	BCGDX	EQTYX	BXFIX	MFIRX	DSDYX

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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

USGLX	+ 0.88	WWWEX
USGLX	+ 0.87	GTAAX
BXFIX	+ 0.83	WWWEX
WWWEX	+ 0.82	GTAAX
BXFIX	+ 0.8	GTAAX
BXFIX	+ 0.77	USGLX

High negative correlations

DSDYX	- 0.63	WWWEX
DSDYX	- 0.59	BXFIX
DSDYX	- 0.5	USGLX
DSDYX	- 0.49	GTAAX
BXFIX	- 0.4	EQTYX
EQTYX	- 0.33	WWWEX

Risk-Adjusted Indicators

There is a big difference between Clearbridge Mutual Fund performing well and Clearbridge Large 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 Large'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
GTAAX	0.27	0.05	(0.17)	1.29	0.24	(0.32)	0.63	(0.46)	1.54
WWWEX	1.04	0.31	0.27	0.42	0.63	(1.25)	3.15	(1.28)	8.01
USGLX	0.58	(0.01)	(0.04)	0.11	0.75	(0.58)	1.25	(1.29)	4.33
BCGDX	0.48	(0.07)	(0.18)	0.00	0.63	(0.49)	0.82	(1.10)	2.50
EQTYX	0.42	0.00	(0.19)	0.09	0.44	(0.62)	1.11	(0.91)	2.53
BXFIX	0.07	0.02	0.00	1.76	0.00	0.00	0.12	(0.11)	0.81
MFIRX	0.09	0.00	(0.51)	0.13	0.00	(0.24)	0.19	(0.19)	0.76
DSDYX	0.16	(0.01)	(0.67)	0.97	0.18	(0.18)	0.34	(0.24)	0.92

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