Western Asset Correlations

WACIX Fund

USD 9.37 0.01 0.11%

The current 90-days correlation between Western Asset E and Fidelity American High is -0.23 (i.e., Very 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

Average diversification

The correlation between Western Asset E and DJI is 0.1 (i.e., Average 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 gross domestic product.

Moving together with Western Mutual Fund

0.81	SAGCX	Clearbridge Aggressive	Pair Corr
0.68	LGOCX	Legg Mason Bw	Pair Corr
0.93	WAPCX	Western Asset E	Pair Corr
0.8	SCGCX	Qs Moderate Growth	Pair Corr
0.87	ARMLX	Western Asset Adjustable	Pair Corr
0.78	LLLRX	Qs Growth Fund	Pair Corr
0.8	LLMRX	Qs Moderate Growth	Pair Corr
0.83	LMBMX	Qs Small Capitalization	Pair Corr
0.74	LMGEX	Qs International Equity	Pair Corr
0.78	LMISX	Qs Large Cap	Pair Corr
0.9	LMLCX	Western Asset Smash	Pair Corr
0.88	LMLRX	Qs Defensive Growth	Pair Corr
0.76	LMSMX	Western Asset Smash	Pair Corr
0.78	LMTIX	Qs Large Cap	Pair Corr
0.78	LMUSX	Qs Large Cap	Pair Corr
0.67	MCEMX	Martin Currie Emerging	Pair Corr
0.67	MEFIX	Martin Currie Emerging	Pair Corr
0.77	SMALX	Western Asset Massac	Pair Corr
0.64	SMDLX	Clearbridge Tactical	Pair Corr
0.73	LBORX	Legg Mason Bw	Pair Corr
0.88	DOXIX	Dodge Cox Income	Pair Corr
0.99	MWTNX	Metropolitan West Total	Pair Corr
0.85	MWTSX	Metropolitan West Total	Pair Corr
0.82	PTTPX	Pimco Total Return	Pair Corr
0.87	PTRRX	Total Return	Pair Corr
0.78	PTRAX	Total Return	Pair Corr
0.87	PTTRX	Total Return	Pair Corr
0.91	FIWGX	Strategic Advisers	Pair Corr

Related Correlations Analysis

	0P0000A2WI	FCQAX	NEAIX	ABTHX	PARKX	SISAX	ARTFX
0P0000A2WI		0.94	0.78	0.93	0.89	0.85	0.86	0P0000A2WI
FCQAX	0.94		0.87	1.0	0.93	0.87	0.81	FCQAX
NEAIX	0.78	0.87		0.87	0.92	0.84	0.7	NEAIX
ABTHX	0.93	1.0	0.87		0.93	0.88	0.83	ABTHX
PARKX	0.89	0.93	0.92	0.93		0.97	0.81	PARKX
SISAX	0.85	0.87	0.84	0.88	0.97		0.84	SISAX
ARTFX	0.86	0.81	0.7	0.83	0.81	0.84		ARTFX
	0P0000A2WI	FCQAX	NEAIX	ABTHX	PARKX	SISAX	ARTFX

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
0P0000A2WI	0.14	0.02	(0.43)	0.51	0.00	(0.23)	0.30	(0.15)	1.01
FCQAX	0.14	0.06	(0.34)	6.10	0.00	(0.24)	0.41	(0.21)	1.06
NEAIX	1.07	(0.08)	(0.02)	0.06	1.24	(1.18)	2.30	(2.23)	6.73
ABTHX	0.17	0.06	(0.29)	1.59	0.00	(0.26)	0.51	(0.20)	1.30
PARKX	0.34	(0.01)	(0.10)	0.10	0.38	(0.37)	0.80	(0.50)	3.21
SISAX	0.39	(0.03)	(0.10)	0.08	0.48	(0.40)	0.90	(0.62)	3.59
ARTFX	0.09	0.01	(0.65)	(0.50)	0.00	(0.16)	0.22	(0.22)	0.76

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Western Asset Correlations

Western Asset Correlation With Market

Average diversification

Moving together with Western Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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