Western Asset Correlations

HIO Fund

USD 3.81 0.03 0.79%

The current 90-days correlation between Western Asset High and Western Asset High is 0.21 (i.e., Modest diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Western Asset moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Western Asset High moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Western Asset Correlation With Market

Poor diversification

The correlation between Western Asset High and DJI is 0.63 (i.e., Poor 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 Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Western Asset High. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Western Fund

0.75	ETV	Eaton Vance Tax	Pair Corr
0.75	DNP	Dnp Select Income	Pair Corr
0.65	ADX	Adams Diversified Equity	Pair Corr
0.71	RIV	Rivernorth Opportunities	Pair Corr
0.62	CGTCX	Us Government Securities	Pair Corr
0.72	FHREX	Fidelity Freedom Blend	Pair Corr
0.75	GEMYX	Emerging Markets Equity	Pair Corr
0.8	APHWX	Artisan Value Income	Pair Corr
0.75	FMFEX	Materials Portfolio	Pair Corr
0.72	ILABX	Voya Bond Index	Pair Corr
0.75	TIHIX	Transamerica International	Pair Corr
0.74	QCBMIX	Cref Bond Market	Pair Corr
0.68	AVDVX	Avantis International	Pair Corr
0.66	TRRLX	T Rowe Price	Pair Corr
0.65	FTCCX	Franklin Conservative	Pair Corr
0.81	HGXSX	Hartford Global Impact	Pair Corr
0.7	BRIUX	Baron Real Estate	Pair Corr
0.72	IISTX	Voya Index Solution	Pair Corr
0.63	IRSNX	Voya Target Retirement	Pair Corr
0.62	PACYX	Putnam Dynamic Asset	Pair Corr
0.72	DRILX	Dimensional 2060 Target	Pair Corr
0.66	QCSCPX	Cref Social Choice	Pair Corr

Related Correlations Analysis

	HIX	HPF	PPT	BGT	NCZ	CIHDX	XFLT	HYI	HNMVX	HRMVX
HIX		0.62	0.89	0.82	0.85	0.83	-0.24	0.9	0.73	0.74	HIX
HPF	0.62		0.58	0.44	0.48	0.36	-0.1	0.6	0.16	0.24	HPF
PPT	0.89	0.58		0.7	0.78	0.74	-0.35	0.82	0.65	0.69	PPT
BGT	0.82	0.44	0.7		0.82	0.83	0.08	0.86	0.85	0.79	BGT
NCZ	0.85	0.48	0.78	0.82		0.95	-0.33	0.89	0.89	0.93	NCZ
CIHDX	0.83	0.36	0.74	0.83	0.95		-0.37	0.86	0.93	0.95	CIHDX
XFLT	-0.24	-0.1	-0.35	0.08	-0.33	-0.37		-0.1	-0.18	-0.34	XFLT
HYI	0.9	0.6	0.82	0.86	0.89	0.86	-0.1		0.8	0.78	HYI
HNMVX	0.73	0.16	0.65	0.85	0.89	0.93	-0.18	0.8		0.95	HNMVX
HRMVX	0.74	0.24	0.69	0.79	0.93	0.95	-0.34	0.78	0.95		HRMVX
	HIX	HPF	PPT	BGT	NCZ	CIHDX	XFLT	HYI	HNMVX	HRMVX

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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

CIHDX	+ 0.95	NCZ
HRMVX	+ 0.95	CIHDX
HRMVX	+ 0.95	HNMVX
HRMVX	+ 0.93	NCZ
HNMVX	+ 0.93	CIHDX
HYI	+ 0.9	HIX

High negative correlations

XFLT	- 0.37	CIHDX
XFLT	- 0.35	PPT
HRMVX	- 0.34	XFLT
XFLT	- 0.33	NCZ
XFLT	- 0.24	HIX
HNMVX	- 0.18	XFLT

Risk-Adjusted Indicators

There is a big difference between Western Fund performing well and Western Asset 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
HIX	0.47	0.03	(0.03)	0.44	0.50	(0.57)	1.00	(0.99)	2.49
HPF	0.29	(0.03)	0.00	(0.11)	0.00	0.00	0.57	(0.56)	1.25
PPT	0.47	0.02	(0.06)	0.15	0.48	(0.60)	1.13	(0.85)	2.54
BGT	0.36	0.01	(0.06)	0.16	0.59	(0.33)	0.65	(0.87)	2.41
NCZ	0.71	0.07	0.06	0.17	0.72	(0.78)	1.38	(1.35)	4.02
CIHDX	0.55	0.18	0.19	0.49	0.41	(0.66)	1.46	(1.05)	3.58
XFLT	0.83	(0.23)	0.00	(0.84)	0.00	0.00	1.59	(1.99)	5.27
HYI	0.25	0.00	(0.13)	0.06	0.27	(0.28)	0.63	(0.55)	1.47
HNMVX	0.81	0.23	0.29	0.30	0.32	(1.00)	2.26	(1.14)	9.78
HRMVX	0.68	0.11	0.13	0.18	0.53	(0.77)	2.15	(1.15)	3.78

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