Western Asset Correlations

IGI Stock

USD 16.54 0.01 0.06%

The current 90-days correlation between Western Asset Investment and Pioneer Floating Rate is -0.14 (i.e., Good 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 good diversification

The correlation between Western Asset Investment and DJI is -0.34 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Investment 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 Investment. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Western Stock

0.81	V	Visa Class A	Pair Corr
0.68	MA	Mastercard	Pair Corr
0.81	WSBF	Waterstone Financial	Pair Corr
0.64	GDST	Goldenstone Acquisition	Pair Corr
0.65	SNFCA	Security National Earnings Call Tomorrow	Pair Corr
0.67	BBDC	Barings BDC	Pair Corr
0.72	COOP	Mr Cooper Group	Pair Corr
0.68	AC	Associated Capital	Pair Corr
0.71	BK	Bank of New York	Pair Corr

Moving against Western Stock

0.78	ORGN	Origin Materials	Pair Corr
0.59	WD	Walker Dunlop	Pair Corr
0.53	SYF	Synchrony Financial	Pair Corr
0.32	AXP	American Express	Pair Corr
0.31	ECPG	Encore Capital Group	Pair Corr
0.75	PYPL	PayPal Holdings Sell-off Trend	Pair Corr
0.64	BITF	Bitfarms Aggressive Push	Pair Corr
0.61	DHIL	Diamond Hill Investment	Pair Corr
0.51	CODI	Compass Diversified	Pair Corr
0.41	AX	Axos Financial	Pair Corr
0.35	SOFI	SoFi Technologies Aggressive Push	Pair Corr
0.69	LC	LendingClub Corp	Pair Corr
0.61	EG	Everest Group	Pair Corr
0.56	BX	Blackstone Group	Pair Corr
0.56	KB	KB Financial Group	Pair Corr
0.51	CM	Canadian Imperial Bank	Pair Corr
0.44	CG	Carlyle Group Normal Trading	Pair Corr

Related Correlations Analysis

	PHD	GAB-PG	MAV	JGH	HIO	GDO	EHI	EEA	HTY	MHI
PHD		-0.16	0.33	0.55	-0.13	-0.02	0.17	0.01	0.0	0.24	PHD
GAB-PG	-0.16		0.17	0.12	0.29	0.45	0.16	0.39	0.0	0.25	GAB-PG
MAV	0.33	0.17		0.73	0.45	0.41	0.62	0.51	0.0	0.77	MAV
JGH	0.55	0.12	0.73		0.5	0.62	0.84	0.69	0.0	0.64	JGH
HIO	-0.13	0.29	0.45	0.5		0.83	0.64	0.88	0.0	0.29	HIO
GDO	-0.02	0.45	0.41	0.62	0.83		0.72	0.9	0.0	0.36	GDO
EHI	0.17	0.16	0.62	0.84	0.64	0.72		0.77	0.0	0.55	EHI
EEA	0.01	0.39	0.51	0.69	0.88	0.9	0.77		0.0	0.39	EEA
HTY	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	HTY
MHI	0.24	0.25	0.77	0.64	0.29	0.36	0.55	0.39	0.0		MHI
	PHD	GAB-PG	MAV	JGH	HIO	GDO	EHI	EEA	HTY	MHI

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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	+ 0.9	GDO
EEA	+ 0.88	HIO
EHI	+ 0.84	JGH
GDO	+ 0.83	HIO
MHI	+ 0.77	MAV
EEA	+ 0.77	EHI

High negative correlations

GAB-PG	- 0.16	PHD
HIO	- 0.13	PHD
GDO	- 0.02	PHD
MHI	- 0.0	HTY
HTY	- 0.0	EEA
HTY	- 0.0	EHI

Risk-Adjusted Indicators

There is a big difference between Western Stock performing well and Western Asset Company 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
PHD	0.28	(0.02)	0.00	(0.17)	0.00	0.00	0.53	(0.63)	1.69
GAB-PG	0.41	(0.04)	0.00	(0.49)	0.00	0.00	0.76	(1.37)	2.32
MAV	0.47	(0.02)	0.00	(0.06)	0.00	0.00	0.95	(1.07)	2.71
JGH	0.37	0.02	0.04	0.13	0.49	(0.36)	0.68	(0.76)	2.33
HIO	0.46	0.09	0.16	0.34	0.29	(0.64)	1.00	(0.74)	4.11
GDO	0.46	0.06	0.08	(0.34)	0.55	(0.57)	1.06	(0.80)	2.74
EHI	0.45	0.06	0.10	0.20	0.41	(0.56)	0.92	(0.74)	3.70
EEA	0.67	0.13	0.13	0.32	0.81	(0.72)	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
MHI	0.56	(0.01)	(0.02)	(0.03)	0.63	(0.61)	1.62	(1.07)	3.02

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