Western Asset Correlations

HIO Fund

USD 4.07 0.02 0.49%

The current 90-days correlation between Western Asset High and Western Asset Global is -0.07 (i.e., Good 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 High moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Western Asset Correlation With Market

Very weak diversification

The correlation between Western Asset High and DJI is 0.42 (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 High and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Western Asset High. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Western Fund

0.62	NEA	Nuveen Amt Free	Pair Corr
0.81	DNP	Dnp Select Income	Pair Corr
0.66	NVG	Nuveen Amt Free	Pair Corr
0.79	UTF	Cohen And Steers	Pair Corr
0.61	NAC	Nuveen California	Pair Corr
0.7	DBIWX	Dws Global Macro	Pair Corr
0.83	USGDX	Morgan Stanley Government	Pair Corr
0.91	ABNOX	Ab Bond Inflation	Pair Corr
0.62	HRBDX	Harbor Bond Fund	Pair Corr
0.73	SGDLX	Sprott Gold Equity	Pair Corr
0.78	HTD	John Hancock Tax	Pair Corr
0.63	GIOIX	Guggenheim Macro Opp	Pair Corr

Moving against Western Fund

0.49

CSQ

Calamos Strategic Total

Pair Corr

Related Correlations Analysis

	GDO	EHI	EEA	HTY	HIX	HYI	DSU	WDI	DHF	EAD
GDO		0.38	0.92	0.0	0.69	0.61	0.07	0.36	-0.2	0.41	GDO
EHI	0.38		0.53	0.0	0.64	0.66	0.36	0.84	0.53	0.67	EHI
EEA	0.92	0.53		0.0	0.78	0.72	0.15	0.51	-0.06	0.5	EEA
HTY	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	HTY
HIX	0.69	0.64	0.78	0.0		0.91	0.54	0.81	0.35	0.73	HIX
HYI	0.61	0.66	0.72	0.0	0.91		0.6	0.84	0.4	0.88	HYI
DSU	0.07	0.36	0.15	0.0	0.54	0.6		0.61	0.54	0.62	DSU
WDI	0.36	0.84	0.51	0.0	0.81	0.84	0.61		0.69	0.86	WDI
DHF	-0.2	0.53	-0.06	0.0	0.35	0.4	0.54	0.69		0.58	DHF
EAD	0.41	0.67	0.5	0.0	0.73	0.88	0.62	0.86	0.58		EAD
	GDO	EHI	EEA	HTY	HIX	HYI	DSU	WDI	DHF	EAD

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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

EEA	+ 0.92	GDO
HYI	+ 0.91	HIX
EAD	+ 0.88	HYI
EAD	+ 0.86	WDI
WDI	+ 0.84	EHI
WDI	+ 0.84	HYI

High negative correlations

DHF	- 0.2	GDO
DHF	- 0.06	EEA
EAD	- 0.0	HTY
DHF	- 0.0	HTY
WDI	- 0.0	HTY
DSU	- 0.0	HTY

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
GDO	0.40	0.10	0.42	2.26	0.02	(0.55)	1.05	(0.69)	2.57
EHI	0.45	0.07	0.21	0.18	0.42	(0.56)	0.91	(0.74)	3.66
EEA	0.67	0.17	0.22	2.96	0.81	(0.74)	1.47	(1.32)	5.11
HTY	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
HIX	0.42	0.02	0.14	0.46	0.47	(0.50)	0.92	(0.94)	2.53
HYI	0.36	0.02	0.18	1.76	0.40	(0.37)	0.67	(0.67)	1.61
DSU	0.31	(0.01)	0.00	(0.52)	0.00	0.00	0.86	(0.66)	1.79
WDI	0.46	0.03	0.10	0.01	0.68	(0.46)	0.86	(1.02)	2.70
DHF	0.47	0.00	0.00	(0.06)	0.00	0.00	0.80	(0.79)	2.74
EAD	0.31	0.02	0.17	1.66	0.37	(0.35)	0.58	(0.72)	2.22

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