Western Asset Correlations

HIX Fund

USD 4.26 0.01 0.24%

The current 90-days correlation between Western Asset High and Western Asset High is 0.36 (i.e., 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Western Asset Correlation With Market

Significant diversification

The correlation between Western Asset High 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 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

0.69	DNP	Dnp Select Income	Pair Corr
0.85	RIV	Rivernorth Opportunities	Pair Corr
0.78	T	ATT Inc Earnings Call This Week	Pair Corr
0.84	IBM	International Business	Pair Corr
0.75	KO	Coca Cola	Pair Corr
0.77	GE	GE Aerospace	Pair Corr
0.75	DD	Dupont De Nemours	Pair Corr
0.82	CSCO	Cisco Systems	Pair Corr
0.64	VZ	Verizon Communications	Pair Corr

Moving against Western Fund

0.78	MRK	Merck Company	Pair Corr
0.48	AA	Alcoa Corp	Pair Corr
0.48	CAT	Caterpillar	Pair Corr
0.47	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	HIO	HYI	DSU	WDI	EHI	IGA	IGD	DHY	CIF	EAD
HIO		0.51	-0.01	0.33	0.54	0.85	0.89	0.65	-0.02	0.21	HIO
HYI	0.51		0.6	0.93	0.82	0.68	0.49	0.52	0.67	0.88	HYI
DSU	-0.01	0.6		0.6	0.29	0.18	-0.02	0.38	0.58	0.62	DSU
WDI	0.33	0.93	0.6		0.82	0.61	0.37	0.39	0.71	0.93	WDI
EHI	0.54	0.82	0.29	0.82		0.73	0.64	0.37	0.58	0.77	EHI
IGA	0.85	0.68	0.18	0.61	0.73		0.92	0.68	0.32	0.5	IGA
IGD	0.89	0.49	-0.02	0.37	0.64	0.92		0.69	0.14	0.25	IGD
DHY	0.65	0.52	0.38	0.39	0.37	0.68	0.69		0.3	0.32	DHY
CIF	-0.02	0.67	0.58	0.71	0.58	0.32	0.14	0.3		0.8	CIF
EAD	0.21	0.88	0.62	0.93	0.77	0.5	0.25	0.32	0.8		EAD
	HIO	HYI	DSU	WDI	EHI	IGA	IGD	DHY	CIF	EAD

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

WDI	+ 0.93	HYI
EAD	+ 0.93	WDI
IGD	+ 0.92	IGA
IGD	+ 0.89	HIO
EAD	+ 0.88	HYI
IGA	+ 0.85	HIO

High negative correlations

IGD	- 0.02	DSU
CIF	- 0.02	HIO
DSU	- 0.01	HIO

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
HIO	0.40	0.04	0.21	(2.16)	0.34	(0.57)	0.99	(0.74)	3.20
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	0.40	0.05	0.21	2.82	0.44	(0.44)	0.84	(0.99)	2.70
EHI	0.41	0.06	0.25	1.56	0.33	(0.53)	0.75	(0.62)	3.66
IGA	0.55	0.12	0.24	1.39	0.54	(0.62)	1.16	(1.04)	2.95
IGD	0.58	0.10	0.20	(1.75)	0.61	(0.66)	1.27	(1.13)	2.82
DHY	0.51	0.03	0.11	0.58	0.52	(0.73)	1.41	(0.95)	2.40
CIF	0.43	0.02	0.11	(0.32)	0.46	(0.68)	0.60	(1.16)	2.96
EAD	0.31	0.02	0.17	1.66	0.37	(0.35)	0.58	(0.72)	2.22

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC