Western Asset Correlations

WAYRX Fund

USD 6.92 0.01 0.14%

The current 90-days correlation between Western Asset High and American Century Diversified 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

Very weak diversification

The correlation between Western Asset High and DJI is 0.51 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset High 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 High. 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

0.92	WACIX	Western Asset E	Pair Corr
0.9	WACSX	Western Asset E	Pair Corr
0.88	WABRX	Western Asset E	Pair Corr
0.88	WABSX	Western Asset Interm	Pair Corr
0.99	WAHSX	Western Asset High	Pair Corr
0.89	WAPIX	Western Asset E	Pair Corr
0.92	WAPSX	Western Asset E	Pair Corr
0.91	WAPRX	Western Asset E	Pair Corr
0.92	WARIX	Western Asset Total	Pair Corr
0.88	WATCX	Western Asset Interm	Pair Corr
0.88	WATRX	Western Asset Interm	Pair Corr
0.92	WAURX	Western Asset Total	Pair Corr
0.76	SCACX	Western Asset California	Pair Corr
0.98	SDSIX	Western Asset Global	Pair Corr
0.92	ARMLX	Western Asset Adjustable	Pair Corr
0.93	LMBSX	Western Asset Mortgage	Pair Corr
0.88	LMAOX	Legg Mason Bw	Pair Corr
0.87	LMAQX	Legg Mason Bw	Pair Corr
0.95	LMECX	Western Asset Smash	Pair Corr
0.93	SGVSX	Western Asset Mortgage	Pair Corr

Moving against Western Mutual Fund

0.42	LMBMX	Qs Small Capitalization	Pair Corr
0.34	LMTIX	Qs Large Cap	Pair Corr
0.34	LMUSX	Qs Large Cap	Pair Corr
0.33	LMISX	Qs Large Cap	Pair Corr

Related Correlations Analysis

	ACDOX	DIFIX	OIDAX	FZABX	XWDIX	QDARX	CDBCX	MDBLX
ACDOX		0.96	0.65	0.82	0.67	0.88	0.99	0.99	ACDOX
DIFIX	0.96		0.78	0.9	0.7	0.84	0.95	0.95	DIFIX
OIDAX	0.65	0.78		0.84	0.66	0.5	0.64	0.64	OIDAX
FZABX	0.82	0.9	0.84		0.51	0.84	0.79	0.81	FZABX
XWDIX	0.67	0.7	0.66	0.51		0.39	0.7	0.67	XWDIX
QDARX	0.88	0.84	0.5	0.84	0.39		0.85	0.89	QDARX
CDBCX	0.99	0.95	0.64	0.79	0.7	0.85		0.99	CDBCX
MDBLX	0.99	0.95	0.64	0.81	0.67	0.89	0.99		MDBLX
	ACDOX	DIFIX	OIDAX	FZABX	XWDIX	QDARX	CDBCX	MDBLX

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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
ACDOX	0.24	0.02	0.27	0.35	0.21	(0.30)	0.55	(0.43)	1.46
DIFIX	0.28	0.02	0.16	0.01	0.35	(0.33)	0.58	(0.57)	1.51
OIDAX	0.72	(0.01)	0.00	(0.10)	0.00	0.00	1.42	(1.46)	5.03
FZABX	0.74	0.11	0.12	0.10	1.01	(0.73)	1.45	(1.37)	6.16
XWDIX	0.20	(0.02)	0.00	(0.34)	0.00	0.00	0.33	(0.46)	1.59
QDARX	0.08	0.04	0.89	1.36	0.00	(0.13)	0.25	(0.08)	0.49
CDBCX	0.23	0.01	0.24	0.27	0.22	(0.30)	0.56	(0.44)	1.34
MDBLX	0.23	0.02	0.31	0.31	0.15	(0.30)	0.50	(0.38)	1.38

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