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Case LMVTX

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LMVTX Legg Mason Capital Management Value Trust Table of Contents Executive Summary Over a period of 15 consecutive years from 1991 to 2006, Miller’s Legg Mason Value Trust (LMVTX) was able to outperform the S&P 500. In the recent 22 years, there were two non-ideal periods of LMTVX. The first one was during the bear markets of early 2000s (from 2000 to 2002) caused by the crisis of tech companies and the 911. The 2nd one started from 2006 to 2009 during the world economic recession resulted by subprime mortgage crisis. However, during year 2000 to 2001 LMVTX still outperformed the S&P500. Year 2006 was the 1st first LMVTX tailed the return of the S&P 500 since 1991. In the next five-year period after 2006, LMVTX (Red …show more content…

ETFs experience price changes throughout the day as they are bought and sold. Since LMVTX returns are adjusted to capture dividends payments, in order to be consistent, we are going to SPY as the benchmark in our analysis of LMVTX while SPY is a tradable security that matches the S&P500 returns and captures the dividends paid. Performance Measurement Highest Return & Least Risk To measure the investment performance, both return and risk should be considered. That is, we use the adjusted returns for risk to do the evaluation. For the Bill Miller’s Value Trust, the appropriate measures are the Sharpe ratio and the M square, since the LMVTX and SPY represents the entire risky investment. Other measurements, such as Treynor measure, Jensen’s alpha, information ratio, Sortino ratio and Sterling ratio can also be used as reference. We use a long observation period, from 1995 to 2012, to measure performance to achieve the precision. The good performance means make the most money with the least risk. For active funds, like LMVTX, good performance particular means that the fund outperform the market (SPY) or has achieved excess returns. For instance, from 1995-2005, the average return and Sharpe ratio of LMVTX surpassed those measures of the market, which is considered as a good performance. While from 2006 to 2012, the return and Sharpe ratio of LMVTX

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