Western Asset Correlations

MMU Fund

USD 10.45 0.07 0.67%

The current 90-days correlation between Western Asset Managed and Blackrock Muniholdings Quality is 0.59 (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. If the correlation is 0, the equities are not correlated; they are entirely random.

Western Asset Correlation With Market

Average diversification

The correlation between Western Asset Managed and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Managed and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Western Asset Managed. 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

0.9	NEA	Nuveen Amt Free	Pair Corr
0.91	NVG	Nuveen Amt Free	Pair Corr
0.9	NAD	Nuveen Dividend Advantage	Pair Corr
0.77	PTY	Pimco Corporate Income	Pair Corr
0.8	PZVNX	Pzena International Value	Pair Corr
0.62	FCEEX	Franklin Fund Allocator	Pair Corr
0.71	RRQPX	American Funds Retirement	Pair Corr
0.76	LBHIX	Thrivent High Yield	Pair Corr
0.68	JAARX	Alternative Asset	Pair Corr
0.69	JAAAX	Alternative Asset	Pair Corr
0.75	JHYUX	Jpmorgan High Yield	Pair Corr
0.68	ARDC	Ares Dynamic Credit	Pair Corr
0.76	TIERX	Tiaa Cref International	Pair Corr
0.77	DIEFX	Destinations International	Pair Corr
0.87	USGFX	Us Government Securities	Pair Corr
0.84	BERIX	Berwyn Income	Pair Corr
0.75	SEBFX	Saturna Sustainable Bond	Pair Corr
0.74	HYT	Blackrock Corporate High	Pair Corr
0.79	RRPPX	American Funds Retirement	Pair Corr
0.73	RQEAX	Resq Dynamic Allocation	Pair Corr
0.76	REIFX	Rems International Real	Pair Corr
0.74	TRIEX	Tiaa Cref International	Pair Corr
0.83	PBBIX	Fundvantage Trust	Pair Corr
0.62	MFIRX	Ms Global Fixed	Pair Corr
0.66	REMVX	Rbc Emerging Markets	Pair Corr
0.74	PQDMX	Prudential Qma Intl	Pair Corr
0.8	BSIIX	Blackrock Strategic	Pair Corr
0.8	DHIYX	Diamond Hill Interna	Pair Corr
0.84	PDVAX	Diversified Income	Pair Corr

Moving against Western Fund

0.7	SRPSX	Short Real Estate	Pair Corr
0.51	RYIFX	Guggenheim Managed	Pair Corr
0.31	NOM	Nuveen Missouri Quality	Pair Corr
0.4	SHRMX	Stone Ridge High	Pair Corr

Related Correlations Analysis

	MHF	MUE	DTF	JHS	MVF	KTF	MHD	NXC	MHN
MHF		0.38	0.77	-0.09	0.62	0.41	0.52	0.32	0.41	MHF
MUE	0.38		0.47	0.65	0.85	0.93	0.94	0.7	0.92	MUE
DTF	0.77	0.47		-0.05	0.6	0.38	0.59	0.16	0.44	DTF
JHS	-0.09	0.65	-0.05		0.34	0.66	0.54	0.3	0.63	JHS
MVF	0.62	0.85	0.6	0.34		0.83	0.92	0.75	0.89	MVF
KTF	0.41	0.93	0.38	0.66	0.83		0.87	0.75	0.92	KTF
MHD	0.52	0.94	0.59	0.54	0.92	0.87		0.68	0.93	MHD
NXC	0.32	0.7	0.16	0.3	0.75	0.75	0.68		0.69	NXC
MHN	0.41	0.92	0.44	0.63	0.89	0.92	0.93	0.69		MHN
	MHF	MUE	DTF	JHS	MVF	KTF	MHD	NXC	MHN

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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

MHD	+ 0.94	MUE
KTF	+ 0.93	MUE
MHN	+ 0.93	MHD
MHN	+ 0.92	MUE
MHD	+ 0.92	MVF
MHN	+ 0.92	KTF

High negative correlations

JHS	- 0.09	MHF
JHS	- 0.05	DTF

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
MHF	0.67	0.12	0.12	0.31	0.89	(0.73)	1.63	(1.42)	5.26
MUE	0.55	0.00	0.01	0.01	0.79	(0.51)	1.21	(1.23)	3.29
DTF	0.31	0.00	0.04	0.00	0.46	(0.31)	0.72	(0.62)	2.06
JHS	0.39	0.00	0.02	(0.13)	0.45	(0.43)	0.64	(0.80)	2.14
MVF	0.55	0.01	0.02	0.06	0.67	(0.61)	1.11	(1.10)	3.96
KTF	0.35	(0.01)	0.00	(0.10)	0.00	0.00	0.75	(0.94)	2.23
MHD	0.55	0.01	0.02	0.06	0.74	(0.50)	1.14	(1.06)	2.79
NXC	0.41	(0.01)	0.00	(0.06)	0.00	0.00	0.85	(0.96)	4.06
MHN	0.48	0.01	0.02	0.03	0.58	(0.54)	0.93	(1.05)	2.71

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