Western Asset Correlations

XMMUX Fund

USD 11.30 0.05 0.44%

The current 90-days correlation between Western Asset Managed and Cohen Steers Mlp is 0.19 (i.e., Average 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

Good diversification

The correlation between Western Asset Managed and DJI is -0.09 (i.e., Good 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 Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Western Asset Managed. 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 employment.

Moving together with Western Mutual Fund

0.66	HD	Home Depot	Pair Corr
0.74	TRV	The Travelers Companies	Pair Corr
0.73	AA	Alcoa Corp	Pair Corr

Moving against Western Mutual Fund

0.53	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr
0.41	PFE	Pfizer Inc Fiscal Year End 4th of February 2025	Pair Corr

Related Correlations Analysis

	MLOCX	AIWEX	GLPAX	FRNRX	SMAPX	TREIX
MLOCX		0.89	0.69	0.76	0.78	0.19	MLOCX
AIWEX	0.89		0.88	0.52	0.94	0.5	AIWEX
GLPAX	0.69	0.88		0.14	0.97	0.75	GLPAX
FRNRX	0.76	0.52	0.14		0.28	-0.35	FRNRX
SMAPX	0.78	0.94	0.97	0.28		0.7	SMAPX
TREIX	0.19	0.5	0.75	-0.35	0.7		TREIX
	MLOCX	AIWEX	GLPAX	FRNRX	SMAPX	TREIX

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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

SMAPX	+ 0.97	GLPAX
SMAPX	+ 0.94	AIWEX
AIWEX	+ 0.89	MLOCX
GLPAX	+ 0.88	AIWEX
SMAPX	+ 0.78	MLOCX
FRNRX	+ 0.76	MLOCX

High negative correlations

TREIX

- 0.35

FRNRX

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
MLOCX	0.68	0.04	0.03	0.20	0.88	(0.70)	1.16	(1.69)	3.87
AIWEX	0.90	0.14	0.12	0.36	0.89	(1.07)	1.97	(1.66)	7.37
GLPAX	0.64	0.16	0.17	0.55	0.57	(0.70)	1.56	(1.28)	4.45
FRNRX	0.73	(0.02)	0.00	(0.05)	0.00	0.00	1.23	(1.70)	5.23
SMAPX	0.86	0.19	0.15	0.55	0.90	(0.95)	2.10	(1.83)	5.45
TREIX	0.05	0.01	(0.08)	(2.02)	0.00	(0.10)	0.10	(0.10)	0.31

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