Western Asset Correlations

HIX Fund

USD 4.25 0.02 0.47%

The current 90-days correlation between Western Asset High and Western Asset High is 0.21 (i.e., Modest 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

Poor diversification

The correlation between Western Asset High and DJI is 0.67 (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

0.73	ETV	Eaton Vance Tax	Pair Corr
0.67	DNP	Dnp Select Income	Pair Corr
0.69	ETJ	Eaton Vance Risk	Pair Corr
0.79	ADX	Adams Diversified Equity	Pair Corr
0.65	GUT	Gabelli Utility Closed	Pair Corr
0.73	RIV	Rivernorth Opportunities	Pair Corr
0.82	FHREX	Fidelity Freedom Blend	Pair Corr
0.88	GEMYX	Emerging Markets Equity	Pair Corr
0.66	VSGAX	Vanguard Small Cap	Pair Corr
0.76	APHWX	Artisan Value Income	Pair Corr
0.83	FMFEX	Materials Portfolio	Pair Corr
0.62	ILABX	Voya Bond Index	Pair Corr
0.84	TIHIX	Transamerica International	Pair Corr
0.66	VSTCX	Vanguard Strategic	Pair Corr
0.71	QCBMIX	Cref Bond Market	Pair Corr
0.71	NAPIX	Voya Multi Manager	Pair Corr
0.72	AVDVX	Avantis International	Pair Corr
0.76	SBTIX	Salient Tactical Plus	Pair Corr
0.79	TRRLX	T Rowe Price	Pair Corr
0.85	FTCCX	Franklin Conservative	Pair Corr
0.73	APITX	Api Growth Fund	Pair Corr
0.63	GARIX	Gotham Absolute Return	Pair Corr
0.87	HGXSX	Hartford Global Impact	Pair Corr
0.61	BRIUX	Baron Real Estate	Pair Corr
0.8	IISTX	Voya Index Solution	Pair Corr
0.85	IRSNX	Voya Target Retirement	Pair Corr
0.73	PACYX	Putnam Dynamic Asset	Pair Corr
0.78	DRILX	Dimensional 2060 Target	Pair Corr
0.75	QCSCPX	Cref Social Choice	Pair Corr

Related Correlations Analysis

	HIO	HPF	NCZ	HYI	TRACX	PPT	XFLT	VKI	HRMVX	HNMVX
HIO		0.49	0.81	0.72	0.72	0.81	-0.6	0.34	0.75	0.62	HIO
HPF	0.49		0.48	0.6	0.19	0.58	-0.1	0.19	0.24	0.16	HPF
NCZ	0.81	0.48		0.89	0.89	0.78	-0.33	0.7	0.93	0.89	NCZ
HYI	0.72	0.6	0.89		0.72	0.82	-0.1	0.65	0.78	0.8	HYI
TRACX	0.72	0.19	0.89	0.72		0.63	-0.3	0.67	0.99	0.92	TRACX
PPT	0.81	0.58	0.78	0.82	0.63		-0.35	0.41	0.69	0.65	PPT
XFLT	-0.6	-0.1	-0.33	-0.1	-0.3	-0.35		-0.09	-0.34	-0.18	XFLT
VKI	0.34	0.19	0.7	0.65	0.67	0.41	-0.09		0.73	0.79	VKI
HRMVX	0.75	0.24	0.93	0.78	0.99	0.69	-0.34	0.73		0.95	HRMVX
HNMVX	0.62	0.16	0.89	0.8	0.92	0.65	-0.18	0.79	0.95		HNMVX
	HIO	HPF	NCZ	HYI	TRACX	PPT	XFLT	VKI	HRMVX	HNMVX

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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

HRMVX	+ 0.99	TRACX
HNMVX	+ 0.95	HRMVX
HRMVX	+ 0.93	NCZ
HNMVX	+ 0.92	TRACX
HYI	+ 0.89	NCZ
TRACX	+ 0.89	NCZ

High negative correlations

XFLT	- 0.6	HIO
XFLT	- 0.35	PPT
HRMVX	- 0.34	XFLT
XFLT	- 0.33	NCZ
XFLT	- 0.3	TRACX
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
HIO	0.42	0.03	(0.02)	0.20	0.37	(0.52)	0.82	(0.79)	2.18
HPF	0.29	(0.03)	0.00	(0.11)	0.00	0.00	0.57	(0.56)	1.25
NCZ	0.71	0.07	0.06	0.17	0.72	(0.78)	1.38	(1.35)	4.02
HYI	0.25	0.00	(0.13)	0.06	0.27	(0.28)	0.63	(0.55)	1.47
TRACX	0.78	0.13	0.15	0.18	0.61	(0.94)	2.28	(1.42)	4.90
PPT	0.47	0.02	(0.06)	0.15	0.48	(0.60)	1.13	(0.85)	2.54
XFLT	0.83	(0.23)	0.00	(0.84)	0.00	0.00	1.59	(1.99)	5.27
VKI	0.42	0.09	0.04	(1.42)	0.39	(0.53)	1.01	(0.91)	2.55
HRMVX	0.68	0.11	0.13	0.18	0.53	(0.77)	2.15	(1.15)	3.78
HNMVX	0.81	0.23	0.29	0.30	0.32	(1.00)	2.26	(1.14)	9.78

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