Western Asset Correlations

WATPX Fund

USD 9.29 0.02 0.21%

The current 90-days correlation between Western Asset Inflation and Ishares Aggregate Bond is 0.73 (i.e., 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

Modest diversification

The correlation between Western Asset Inflation and DJI is 0.24 (i.e., Modest 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 inflation.

Moving together with Western Mutual Fund

0.69	WAFSX	Western Asset Inflation	Pair Corr
0.69	WAFRX	Western Asset Inflation	Pair Corr

Moving against Western Mutual Fund

0.38	LGASX	Clearbridge Small Cap	Pair Corr
0.37	SAPCX	Clearbridge Appreciation	Pair Corr
0.36	SAGCX	Clearbridge Aggressive	Pair Corr
0.31	LGFEX	Qs International Equity	Pair Corr
0.5	LMASX	Clearbridge Small Cap	Pair Corr
0.44	SCSMX	Clearbridge Small Cap	Pair Corr
0.4	SBMLX	Clearbridge Mid Cap	Pair Corr
0.37	ARMLX	Western Asset Adjustable	Pair Corr
0.36	LIESX	Qs International Equity	Pair Corr
0.34	ARMGX	Western Asset Adjustable	Pair Corr
0.33	LMARX	Clearbridge Small Cap	Pair Corr
0.32	LISGX	Clearbridge Small Cap	Pair Corr
0.32	LMBCX	Qs Small Capitalization Potential Growth	Pair Corr

Related Correlations Analysis

	BMOPX	DHGCX	PRFHX	PBNAX	FHYIX	BBINX	SGYAX
BMOPX		0.87	0.68	0.94	0.71	0.66	0.31	BMOPX
DHGCX	0.87		0.7	0.86	0.68	0.52	0.02	DHGCX
PRFHX	0.68	0.7		0.8	0.96	0.9	0.16	PRFHX
PBNAX	0.94	0.86	0.8		0.83	0.77	0.37	PBNAX
FHYIX	0.71	0.68	0.96	0.83		0.96	0.32	FHYIX
BBINX	0.66	0.52	0.9	0.77	0.96		0.45	BBINX
SGYAX	0.31	0.02	0.16	0.37	0.32	0.45		SGYAX
	BMOPX	DHGCX	PRFHX	PBNAX	FHYIX	BBINX	SGYAX

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
BMOPX	0.15	0.01	(0.20)	0.15	0.12	(0.18)	0.33	(0.33)	0.98
DHGCX	0.10	0.00	(0.42)	0.03	0.06	(0.11)	0.20	(0.20)	0.56
PRFHX	0.09	0.02	(0.24)	(6.57)	0.00	(0.14)	0.27	(0.09)	0.82
PBNAX	0.13	0.01	(0.25)	0.18	0.04	(0.16)	0.34	(0.25)	0.76
FHYIX	0.09	0.02	(0.25)	(3.61)	0.00	(0.17)	0.23	(0.22)	0.67
BBINX	0.06	0.00	(0.40)	0.00	0.00	(0.14)	0.10	(0.10)	0.58
SGYAX	0.14	0.01	(0.20)	0.13	0.00	(0.28)	0.57	(0.29)	1.01

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