Western Asset Correlations

EMD Fund

USD 9.85 0.04 0.40%

The current 90-days correlation between Western Asset Emerging and Doubleline Yield Opportunities is 0.4 (i.e., Very weak diversification). The correlation of Western Asset 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.

Western Asset Correlation With Market

Very weak diversification

The correlation between Western Asset Emerging and DJI is 0.47 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Emerging 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 Emerging. 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	DNP	Dnp Select Income	Pair Corr
0.8	GAB	Gabelli Equity Trust	Pair Corr
0.61	GUT	Gabelli Utility Closed	Pair Corr
0.75	RIV	Rivernorth Opportunities	Pair Corr
0.9	FOKPX	Oklahoma College Savings	Pair Corr
0.81	GSCJX	Goldman Sachs Income	Pair Corr
0.7	PTRGX	Putman Absolute Return	Pair Corr
0.78	ENHNX	Cullen Enhanced Equity	Pair Corr
0.84	LICVX	Lord Abbett Intl	Pair Corr
0.83	IUCEX	Jpmorgan International	Pair Corr
0.84	CBNAX	American Funds Emerging	Pair Corr
0.7	TRLDX	T Rowe Price	Pair Corr
0.8	JEMCX	Jpmorgan Emerging Markets	Pair Corr
0.84	WEDRX	William Blair Emerging	Pair Corr
0.73	PLEDX	Pacific Funds Esg	Pair Corr
0.72	MGBKX	Mfs Global Bond	Pair Corr
0.82	TYEFX	American Funds Tax	Pair Corr
0.76	GSFUX	Goldman Sachs Bond	Pair Corr
0.84	INDFX	Invesco International	Pair Corr
0.88	MHEIX	Mh Elite Income	Pair Corr
0.89	JLBHX	Retirement Living Through	Pair Corr
0.83	RTNSX	Tax-managed International	Pair Corr
0.81	TARBX	Touchstone Arbitrage	Pair Corr
0.7	JEEIX	John Hancock Enduring	Pair Corr
0.83	PFJAX	Putnam High Yield	Pair Corr
0.74	RYGBX	Government Long Bond	Pair Corr
0.81	NVG	Nuveen Amt Free	Pair Corr
0.65	QREARX	Teachers Insurance And	Pair Corr
0.69	FIKPX	Fidelity Government	Pair Corr

Moving against Western Fund

0.65	MBLCX	Madison Diversified	Pair Corr
0.67	MKTBX	Mainstay Tax Free	Pair Corr

Related Correlations Analysis

	DLY	HFRO	DBL	AWF	DSL	HYT	FFC	ERC	EOD	DHF
DLY		0.5	0.85	0.78	0.93	0.7	0.87	0.78	0.86	0.3	DLY
HFRO	0.5		0.58	0.78	0.6	0.78	0.57	0.6	0.53	0.7	HFRO
DBL	0.85	0.58		0.8	0.9	0.71	0.89	0.94	0.79	0.4	DBL
AWF	0.78	0.78	0.8		0.87	0.88	0.83	0.81	0.79	0.64	AWF
DSL	0.93	0.6	0.9	0.87		0.79	0.92	0.87	0.87	0.44	DSL
HYT	0.7	0.78	0.71	0.88	0.79		0.69	0.72	0.63	0.62	HYT
FFC	0.87	0.57	0.89	0.83	0.92	0.69		0.89	0.88	0.47	FFC
ERC	0.78	0.6	0.94	0.81	0.87	0.72	0.89		0.82	0.5	ERC
EOD	0.86	0.53	0.79	0.79	0.87	0.63	0.88	0.82		0.51	EOD
DHF	0.3	0.7	0.4	0.64	0.44	0.62	0.47	0.5	0.51		DHF
	DLY	HFRO	DBL	AWF	DSL	HYT	FFC	ERC	EOD	DHF

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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
DLY	0.36	0.02	0.10	0.03	0.61	(0.31)	0.65	(1.02)	2.36
HFRO	0.99	(0.05)	0.00	(0.21)	0.00	0.00	1.89	(2.41)	8.13
DBL	0.29	0.03	0.22	0.16	0.30	(0.33)	0.64	(0.58)	1.75
AWF	0.38	0.03	0.12	0.04	0.58	(0.34)	0.64	(0.94)	2.33
DSL	0.35	0.02	0.16	0.08	0.41	(0.40)	0.82	(0.65)	2.21
HYT	0.40	(0.01)	0.00	(0.11)	0.00	0.00	0.93	(1.02)	2.20
FFC	0.42	0.07	0.24	0.20	0.38	(0.46)	1.08	(0.71)	2.36
ERC	0.41	0.05	0.17	0.25	0.50	(0.46)	0.89	(1.00)	3.70
EOD	0.70	0.09	0.11	0.12	0.92	(0.79)	1.62	(1.41)	5.21
DHF	0.47	0.00	0.00	(0.06)	0.00	0.00	0.80	(0.79)	2.74

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