Legg Mason Correlations
| LUIXX Fund | USD 1.00 0.00 0.00% |
The correlation of Legg Mason 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.
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Risk-Adjusted Indicators
There is a big difference between Legg Money Market Fund performing well and Legg Mason Money Market 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 Legg Mason'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VTSAX | 0.65 | 0.07 | 0.03 | 0.22 | 0.84 | 1.30 | 5.93 | |||
| VFIAX | 0.62 | 0.06 | 0.02 | 0.22 | 0.80 | 1.23 | 5.48 | |||
| VTSMX | 0.65 | 0.07 | 0.03 | 0.22 | 0.85 | 1.29 | 5.95 | |||
| VITSX | 0.65 | 0.07 | 0.03 | 0.22 | 0.85 | 1.30 | 5.95 | |||
| VSTSX | 0.65 | 0.07 | 0.03 | 0.22 | 0.84 | 1.29 | 5.94 | |||
| VSMPX | 0.65 | 0.07 | 0.03 | 0.22 | 0.84 | 1.29 | 5.94 | |||
| VFINX | 0.62 | 0.06 | 0.02 | 0.22 | 0.80 | 1.23 | 5.48 | |||
| VFFSX | 0.62 | 0.06 | 0.02 | 0.22 | 0.80 | 1.23 | 5.47 | |||
| VGTSX | 0.55 | (0.03) | (0.10) | (0.02) | 0.77 | 1.13 | 3.44 | |||
| VTIAX | 0.55 | (0.03) | (0.10) | (0.02) | 0.78 | 1.12 | 3.47 |