Western Asset Correlations

DMO Fund

USD 11.87 0.05 0.42%

The current 90-days correlation between Western Asset Mortgage and Western Asset High is 0.14 (i.e., Average diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Western Asset moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Western Asset Mortgage moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Western Asset Correlation With Market

Significant diversification

The correlation between Western Asset Mortgage and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Mortgage and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Western Asset Mortgage. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Western Fund

0.76	IMAAX	Ivy Apollo Multi	Pair Corr
0.91	OCFIX	Optimum Fixed Income	Pair Corr
0.84	OCIEX	Optimum International	Pair Corr
0.65	CXHYX	Delaware National High	Pair Corr
0.82	DLTRX	Delaware Limited Term	Pair Corr
0.7	IRSAX	Ivy Advantus Real	Pair Corr
0.9	OIFIX	Optimum Fixed Income	Pair Corr
0.89	DPZRX	Delaware Diversified	Pair Corr
0.81	DTINX	Delaware Limited Term	Pair Corr
0.75	DULTX	Delaware Investments	Pair Corr
0.65	DUSIX	Delaware Tax Free	Pair Corr

Moving against Western Fund

0.66	OASGX	Optimum Small Mid	Pair Corr
0.66	OCSGX	Optimum Small Mid	Pair Corr
0.55	OCLGX	Optimum Large Cap	Pair Corr
0.51	OCSVX	Optimum Small Mid	Pair Corr
0.5	OASVX	Optimum Small Mid	Pair Corr
0.59	DCZRX	Delaware Small Cap	Pair Corr
0.56	FIVUX	First Investors Oppo	Pair Corr
0.56	FIZRX	Delaware Opportunity	Pair Corr
0.55	WLGAX	Ivy Large Cap	Pair Corr
0.55	DCCIX	Delaware Small Cap	Pair Corr
0.54	OILGX	Optimum Large Cap	Pair Corr
0.54	OISVX	Optimum Small Mid	Pair Corr
0.53	WMGAX	Ivy Mid Cap	Pair Corr
0.39	WHIAX	Ivy High Income	Pair Corr
0.34	IGNAX	Ivy Natural Resources	Pair Corr

Related Correlations Analysis

	HYI	MAV	AFT	FAM	DSL	DLY	MSD	BGX	VGI	BWG
HYI		0.78	0.0	0.0	0.83	0.83	0.79	0.4	0.83	0.8	HYI
MAV	0.78		0.0	0.0	0.63	0.58	0.57	0.3	0.63	0.6	MAV
AFT	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AFT
FAM	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	FAM
DSL	0.83	0.63	0.0	0.0		0.93	0.73	0.12	0.9	0.89	DSL
DLY	0.83	0.58	0.0	0.0	0.93		0.8	0.11	0.95	0.93	DLY
MSD	0.79	0.57	0.0	0.0	0.73	0.8		-0.08	0.9	0.89	MSD
BGX	0.4	0.3	0.0	0.0	0.12	0.11	-0.08		-0.01	-0.06	BGX
VGI	0.83	0.63	0.0	0.0	0.9	0.95	0.9	-0.01		0.96	VGI
BWG	0.8	0.6	0.0	0.0	0.89	0.93	0.89	-0.06	0.96		BWG
	HYI	MAV	AFT	FAM	DSL	DLY	MSD	BGX	VGI	BWG

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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

BWG	+ 0.96	VGI
VGI	+ 0.95	DLY
DLY	+ 0.93	DSL
BWG	+ 0.93	DLY
VGI	+ 0.9	DSL
VGI	+ 0.9	MSD

High negative correlations

BGX	- 0.08	MSD
BWG	- 0.06	BGX
VGI	- 0.01	BGX
BWG	- 0.0	FAM
VGI	- 0.0	FAM
BGX	- 0.0	FAM

Risk-Adjusted Indicators

There is a big difference between Western Fund performing well and Western Asset 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 Western Asset'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
HYI	0.37	0.02	0.12	0.80	0.41	(0.37)	0.68	(0.67)	1.61
MAV	0.47	0.03	0.11	0.66	0.51	(0.57)	0.95	(0.93)	2.71
AFT	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FAM	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
DSL	0.29	0.04	0.18	0.27	0.26	(0.36)	0.65	(0.47)	1.47
DLY	0.30	0.04	0.11	0.46	0.46	(0.29)	0.64	(0.80)	2.36
MSD	0.64	0.17	0.34	14.17	0.32	(0.88)	1.61	(0.90)	5.48
BGX	0.42	(0.04)	0.00	(0.55)	0.00	0.00	0.96	(0.71)	3.81
VGI	0.35	0.06	0.18	(1.06)	0.38	(0.39)	0.78	(0.77)	2.20
BWG	0.48	0.08	0.16	0.97	0.52	(0.58)	0.99	(0.89)	3.38

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