Western Asset Correlations

WABRX Fund

USD 10.56 0.02 0.19%

The current 90-days correlation between Western Asset E and Energy Basic Materials is -0.04 (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. If the correlation is 0, the equities are not correlated; they are entirely random.

Western Asset Correlation With Market

Modest diversification

The correlation between Western Asset E and DJI is 0.21 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset E and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Western Asset E. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Western Mutual Fund

0.91	LGFEX	Qs International Equity	Pair Corr
0.92	LGOCX	Legg Mason Bw	Pair Corr
0.97	WAASX	Western Asset Total	Pair Corr
1.0	WACIX	Western Asset E	Pair Corr
1.0	WACSX	Western Asset E	Pair Corr
1.0	WABCX	Western Asset E	Pair Corr
0.98	WABSX	Western Asset Interm	Pair Corr
0.93	WAGIX	Western Asset Global	Pair Corr
0.96	SSTLX	Western Asset Short	Pair Corr
0.98	WAFCX	Western Asset Inflation	Pair Corr
0.89	WAFSX	Western Asset Inflation	Pair Corr
0.98	WAFRX	Western Asset Inflation	Pair Corr
0.89	WAHSX	Western Asset High	Pair Corr
1.0	WAPCX	Western Asset E	Pair Corr
1.0	WAPIX	Western Asset E	Pair Corr
0.99	WAPSX	Western Asset E	Pair Corr
1.0	WAPRX	Western Asset E	Pair Corr
0.89	SBICX	Clearbridge International	Pair Corr
1.0	SBILX	Western Asset Porate	Pair Corr
0.96	WARIX	Western Asset Total	Pair Corr
0.98	WATCX	Western Asset Interm	Pair Corr
0.99	WATRX	Western Asset Interm	Pair Corr
0.97	WAUCX	Western Asset Total	Pair Corr
0.97	WAURX	Western Asset Total	Pair Corr
0.9	WAYRX	Western Asset High	Pair Corr
0.73	SBYLX	Western Asset New	Pair Corr
0.82	SCACX	Western Asset California	Pair Corr
0.91	LIESX	Qs International Equity	Pair Corr

Moving against Western Mutual Fund

0.68	LGSCX	Qs Small Capitalization	Pair Corr
0.58	LGASX	Clearbridge Small Cap	Pair Corr
0.5	SAGCX	Clearbridge Aggressive	Pair Corr
0.38	SAPCX	Clearbridge Appreciation	Pair Corr
0.68	LMBMX	Qs Small Capitalization	Pair Corr
0.68	LMBCX	Qs Small Capitalization	Pair Corr
0.63	LMASX	Clearbridge Small Cap	Pair Corr
0.59	SBMLX	Clearbridge Mid Cap	Pair Corr
0.58	LMARX	Clearbridge Small Cap	Pair Corr
0.57	LISGX	Clearbridge Small Cap	Pair Corr
0.5	SCSMX	Clearbridge Small Cap	Pair Corr
0.46	SBSDX	Qs Sp 500	Pair Corr
0.39	SCHCX	Qs Growth Fund	Pair Corr
0.38	LLLRX	Qs Growth Fund	Pair Corr

Related Correlations Analysis

	SEPIX	FIKAX	SMAPX	HNRGX	PEO	XEMOX	TREIX	ENPSX
SEPIX		0.88	0.62	0.95	0.93	0.63	0.3	0.94	SEPIX
FIKAX	0.88		0.7	0.96	0.87	0.57	-0.09	0.9	FIKAX
SMAPX	0.62	0.7		0.67	0.6	0.84	-0.22	0.58	SMAPX
HNRGX	0.95	0.96	0.67		0.95	0.59	0.15	0.97	HNRGX
PEO	0.93	0.87	0.6	0.95		0.58	0.31	0.97	PEO
XEMOX	0.63	0.57	0.84	0.59	0.58		0.04	0.52	XEMOX
TREIX	0.3	-0.09	-0.22	0.15	0.31	0.04		0.26	TREIX
ENPSX	0.94	0.9	0.58	0.97	0.97	0.52	0.26		ENPSX
	SEPIX	FIKAX	SMAPX	HNRGX	PEO	XEMOX	TREIX	ENPSX

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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

ENPSX	+ 0.97	HNRGX
ENPSX	+ 0.97	PEO
HNRGX	+ 0.96	FIKAX
HNRGX	+ 0.95	SEPIX
PEO	+ 0.95	HNRGX
ENPSX	+ 0.94	SEPIX

High negative correlations

TREIX	- 0.22	SMAPX
TREIX	- 0.09	FIKAX

Risk-Adjusted Indicators

There is a big difference between Western Mutual Fund performing well and Western Asset Mutual 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
SEPIX	0.71	0.13	0.17	0.17	0.80	(0.79)	1.44	(1.56)	4.34
FIKAX	0.99	0.15	0.11	0.18	1.50	(0.97)	1.80	(2.54)	6.59
SMAPX	1.11	0.11	0.09	0.12	1.50	(1.19)	2.13	(2.32)	7.93
HNRGX	0.85	0.17	0.14	0.24	1.22	(0.83)	1.80	(1.95)	5.81
PEO	0.86	0.17	0.15	0.31	1.03	(0.78)	1.79	(1.87)	5.71
XEMOX	1.15	0.09	0.10	(0.99)	1.47	(1.22)	2.29	(2.24)	6.66
TREIX	0.07	0.02	0.52	(5.57)	0.00	(0.13)	0.20	(0.10)	0.60
ENPSX	1.45	0.28	0.13	0.27	1.95	(1.40)	3.17	(3.05)	8.59

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