Western Asset Correlations

WABSX Fund

USD 9.69 0.01 0.10%

The current 90-days correlation between Western Asset Interm and Diversified Bond Fund is 0.89 (i.e., Very poor 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 Intermediate and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Intermediate 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 Intermediate. 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 state.

Moving together with Western Mutual Fund

0.92	LGFEX	Qs International Equity	Pair Corr
0.91	LGOCX	Legg Mason Bw	Pair Corr
0.62	SSMMX	Western Asset Managed	Pair Corr
0.97	WAASX	Western Asset Total	Pair Corr
0.98	WACIX	Western Asset E	Pair Corr
0.98	WACSX	Western Asset E	Pair Corr
0.98	WABCX	Western Asset E	Pair Corr
0.98	WABRX	Western Asset E	Pair Corr
0.91	WAGIX	Western Asset Global	Pair Corr
0.99	SSTLX	Western Asset Short	Pair Corr
0.96	WAFCX	Western Asset Inflation	Pair Corr
0.96	WAFSX	Western Asset Inflation	Pair Corr
0.96	WAFRX	Western Asset Inflation	Pair Corr
0.88	WAHSX	Western Asset High	Pair Corr
0.98	WAPCX	Western Asset E	Pair Corr
0.79	WAPIX	Western Asset E	Pair Corr
0.98	WAPSX	Western Asset E	Pair Corr
0.97	WAPRX	Western Asset E	Pair Corr
0.9	SBICX	Clearbridge International	Pair Corr
0.96	SBILX	Western Asset Porate	Pair Corr
0.96	WARIX	Western Asset Total	Pair Corr
1.0	WATCX	Western Asset Interm	Pair Corr
1.0	WATRX	Western Asset Interm	Pair Corr
0.96	WATPX	Western Asset Inflation	Pair Corr
0.97	WAUCX	Western Asset Total	Pair Corr
0.97	WAURX	Western Asset Total	Pair Corr
0.89	WAYRX	Western Asset High	Pair Corr
0.65	SCACX	Western Asset California	Pair Corr

Moving against Western Mutual Fund

0.73	LGSCX	Qs Small Capitalization	Pair Corr
0.64	LGASX	Clearbridge Small Cap	Pair Corr
0.56	SAGCX	Clearbridge Aggressive	Pair Corr
0.47	SAPCX	Clearbridge Appreciation	Pair Corr
0.74	LMBMX	Qs Small Capitalization	Pair Corr
0.64	SBMLX	Clearbridge Mid Cap	Pair Corr
0.64	LISGX	Clearbridge Small Cap	Pair Corr
0.56	SCHCX	Qs Growth Fund	Pair Corr
0.55	SBSDX	Qs Sp 500	Pair Corr
0.54	LLLRX	Qs Growth Fund	Pair Corr
0.5	SCGCX	Qs Moderate Growth	Pair Corr
0.5	LLMRX	Qs Moderate Growth	Pair Corr

Related Correlations Analysis

	CDBCX	SRDAX	ACDOX	LIGFX	PGBAX	MDVSX	HIIDX
CDBCX		-0.41	0.96	0.5	0.94	0.29	0.86	CDBCX
SRDAX	-0.41		-0.41	0.05	-0.32	0.19	-0.22	SRDAX
ACDOX	0.96	-0.41		0.45	0.96	0.23	0.87	ACDOX
LIGFX	0.5	0.05	0.45		0.63	0.93	0.65	LIGFX
PGBAX	0.94	-0.32	0.96	0.63		0.45	0.91	PGBAX
MDVSX	0.29	0.19	0.23	0.93	0.45		0.46	MDVSX
HIIDX	0.86	-0.22	0.87	0.65	0.91	0.46		HIIDX
	CDBCX	SRDAX	ACDOX	LIGFX	PGBAX	MDVSX	HIIDX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

ACDOX	+ 0.96	CDBCX
PGBAX	+ 0.96	ACDOX
PGBAX	+ 0.94	CDBCX
MDVSX	+ 0.93	LIGFX
HIIDX	+ 0.91	PGBAX
HIIDX	+ 0.87	ACDOX

High negative correlations

ACDOX	- 0.41	SRDAX
SRDAX	- 0.41	CDBCX
PGBAX	- 0.32	SRDAX
HIIDX	- 0.22	SRDAX

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
CDBCX	0.24	0.01	0.05	0.42	0.20	(0.29)	0.56	(0.44)	1.34
SRDAX	0.16	0.00	0.05	0.00	0.11	(0.20)	0.29	(0.37)	0.76
ACDOX	0.25	0.01	0.04	(0.10)	0.24	(0.30)	0.55	(0.44)	1.46
LIGFX	0.31	0.01	0.04	0.04	0.33	(0.33)	0.55	(0.55)	1.75
PGBAX	0.14	0.01	0.06	(0.17)	0.07	(0.18)	0.34	(0.25)	0.85
MDVSX	0.61	0.07	0.08	0.08	0.74	(0.67)	1.34	(1.41)	3.79
HIIDX	0.59	0.10	0.12	0.16	0.66	(0.63)	1.27	(0.88)	5.23

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