Western Asset Correlations

WAFAX Fund

USD 9.43 0.02 0.21%

The current 90-days correlation between Western Asset Inflation and Advent Claymore Convertible is 0.23 (i.e., Modest 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 Inflation and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Inflation 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 Inflation. 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 nation.

Moving together with Western Mutual Fund

0.82	TEDMX	Templeton Developing	Pair Corr
0.85	TEDIX	Franklin Mutual Global	Pair Corr
0.85	TEDRX	Franklin Mutual Global	Pair Corr
0.89	TEFRX	Templeton Foreign	Pair Corr
0.89	TEFTX	Templeton Foreign	Pair Corr
0.95	TEGBX	Templeton Global Bond	Pair Corr
0.89	TEMFX	Templeton Foreign	Pair Corr
0.86	TEMEX	Franklin Mutual Beacon	Pair Corr
0.92	TEMIX	Franklin Mutual European	Pair Corr
0.78	FQCHX	Franklin Templeton Smacs	Pair Corr
0.89	TEQIX	Franklin Mutual Quest	Pair Corr
0.93	TEURX	Franklin Mutual European	Pair Corr
0.7	FQTEX	Franklin Strategic Series	Pair Corr
0.99	WACPX	Western Asset E	Pair Corr
0.91	SBAYX	Western Asset Adjustable	Pair Corr
1.0	WAIIX	Western Asset Inflation	Pair Corr
0.9	SBIYX	Clearbridge International	Pair Corr
0.71	FRCOX	Franklin Orado Tax	Pair Corr
0.63	FRFTX	Franklin Federal Tax	Pair Corr
0.84	FRGOX	Franklin Gold Precious	Pair Corr

Moving against Western Mutual Fund

0.52	FRAAX	Franklin Growth Oppo	Pair Corr
0.5	FRGSX	Franklin Growth	Pair Corr
0.48	SBLGX	Clearbridge Large Cap	Pair Corr
0.48	SBLYX	Clearbridge Large Cap	Pair Corr
0.48	FRSGX	Franklin Small Mid	Pair Corr
0.46	SBMAX	Clearbridge Mid Cap	Pair Corr
0.42	FRVLX	Franklin Small Cap	Pair Corr
0.36	SBPYX	Clearbridge Small Cap	Pair Corr
0.36	SBSPX	Qs Sp 500	Pair Corr

Related Correlations Analysis

	XAVKX	NCIDX	LCFYX	ARBOX	VAADX	GCV	CCD
XAVKX		0.95	0.83	-0.36	0.95	0.35	0.8	XAVKX
NCIDX	0.95		0.88	-0.37	0.98	0.43	0.81	NCIDX
LCFYX	0.83	0.88		-0.1	0.83	0.61	0.72	LCFYX
ARBOX	-0.36	-0.37	-0.1		-0.52	0.42	-0.69	ARBOX
VAADX	0.95	0.98	0.83	-0.52		0.29	0.89	VAADX
GCV	0.35	0.43	0.61	0.42	0.29		0.16	GCV
CCD	0.8	0.81	0.72	-0.69	0.89	0.16		CCD
	XAVKX	NCIDX	LCFYX	ARBOX	VAADX	GCV	CCD

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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

VAADX	+ 0.98	NCIDX
NCIDX	+ 0.95	XAVKX
VAADX	+ 0.95	XAVKX
CCD	+ 0.89	VAADX
LCFYX	+ 0.88	NCIDX
LCFYX	+ 0.83	XAVKX

High negative correlations

CCD	- 0.69	ARBOX
VAADX	- 0.52	ARBOX
ARBOX	- 0.37	NCIDX
ARBOX	- 0.36	XAVKX
ARBOX	- 0.1	LCFYX

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
XAVKX	0.55	(0.05)	0.00	0.58	0.00	0.00	0.93	(1.14)	2.56
NCIDX	0.60	(0.05)	0.00	1.20	0.00	0.00	1.30	(1.38)	3.25
LCFYX	0.66	(0.03)	0.00	(0.06)	0.00	0.00	1.12	(1.42)	3.20
ARBOX	0.05	0.02	0.00	1.32	0.00	0.00	0.09	0.00	0.18
VAADX	0.65	(0.10)	0.00	3.64	0.00	0.00	1.11	(1.67)	3.26
GCV	0.91	0.05	0.04	0.10	1.18	(1.00)	2.17	(2.14)	6.16
CCD	0.80	(0.10)	0.00	(0.20)	0.00	0.00	1.41	(1.67)	7.13

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