Legg Mason Correlations

QLMETX Fund

USD 24.67 0.07 0.28%

The current 90-days correlation between Legg Mason Partners and Siit Ultra Short is -0.14 (i.e., Good diversification). 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.

Legg Mason Correlation With Market

Almost no diversification

The correlation between Legg Mason Partners and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Partners and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Legg Mason Partners. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with Legg Fund

0.99	VTSAX	Vanguard Total Stock	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.99	VTSMX	Vanguard Total Stock	Pair Corr
0.99	VITSX	Vanguard Total Stock	Pair Corr
0.99	VSTSX	Vanguard Total Stock	Pair Corr
0.99	VSMPX	Vanguard Total Stock	Pair Corr
0.99	VFINX	Vanguard 500 Index	Pair Corr
0.99	VFFSX	Vanguard 500 Index	Pair Corr
0.96	CSCO	Cisco Systems Sell-off Trend	Pair Corr
0.95	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.82	DIS	Walt Disney Sell-off Trend	Pair Corr
0.88	BAC	Bank of America Aggressive Push	Pair Corr
0.94	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.85	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.82	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.87	WMT	Walmart Aggressive Push	Pair Corr
0.8	HPQ	HP Inc	Pair Corr
0.89	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.85	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.86	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr

Moving against Legg Fund

0.8	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.75	KO	Coca Cola Aggressive Push	Pair Corr
0.74	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.67	PFHCX	Pacific Funds Small	Pair Corr
0.38	NHS	Neuberger Berman High	Pair Corr

Related Correlations Analysis

	SUSAX	FTFZX	CFSTX	PRMDX	QNZIX	JSNIX	FULIX
SUSAX		0.66	-0.07	0.35	0.68	0.45	0.98	SUSAX
FTFZX	0.66		0.52	0.75	0.49	0.8	0.67	FTFZX
CFSTX	-0.07	0.52		0.57	-0.03	0.82	-0.04	CFSTX
PRMDX	0.35	0.75	0.57		0.35	0.72	0.37	PRMDX
QNZIX	0.68	0.49	-0.03	0.35		0.24	0.66	QNZIX
JSNIX	0.45	0.8	0.82	0.72	0.24		0.48	JSNIX
FULIX	0.98	0.67	-0.04	0.37	0.66	0.48		FULIX
	SUSAX	FTFZX	CFSTX	PRMDX	QNZIX	JSNIX	FULIX

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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

FULIX	+ 0.98	SUSAX
JSNIX	+ 0.82	CFSTX
JSNIX	+ 0.8	FTFZX
PRMDX	+ 0.75	FTFZX
JSNIX	+ 0.72	PRMDX
QNZIX	+ 0.68	SUSAX

High negative correlations

CFSTX	- 0.07	SUSAX
FULIX	- 0.04	CFSTX
QNZIX	- 0.03	CFSTX

Risk-Adjusted Indicators

There is a big difference between Legg Fund performing well and Legg Mason 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
SUSAX	0.06	0.01	(1.13)	(0.97)	0.00	(0.15)	0.10	(0.10)	0.51
FTFZX	0.07	0.00	(0.66)	0.42	0.00	(0.13)	0.19	(0.10)	0.68
CFSTX	0.07	(0.01)	(1.22)	(0.20)	0.02	(0.09)	0.12	(0.12)	0.50
PRMDX	0.06	0.00	(0.49)	0.04	0.00	(0.20)	0.20	(0.19)	0.59
QNZIX	0.59	0.07	(0.08)	(9.94)	0.71	(0.61)	1.06	(1.07)	3.72
JSNIX	0.08	0.00	(0.94)	0.30	0.00	(0.17)	0.21	(0.11)	0.64
FULIX	0.05	0.01	(0.82)	7.40	0.00	(0.22)	0.11	(0.11)	0.65

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