Western Asset Correlations

HIX Fund

USD 4.29 0.02 0.47%

The current 90-days correlation between Western Asset High and Western Asset High is 0.59 (i.e., Very weak 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

Very weak diversification

The correlation between Western Asset High and DJI is 0.42 (i.e., Very weak 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

0.67

FDEGX

Fidelity Growth Stra

Pair Corr

Moving against Western Fund

0.73	UIPIX	Ultrashort Mid Cap	Pair Corr
0.54	AHLPX	American Beacon Ahl	Pair Corr
0.34	PYARX	Payden Absolute Return	Pair Corr
0.32	PYAIX	Payden Absolute Return	Pair Corr
0.54	RPIEX	T Rowe Price	Pair Corr
0.41	MURSX	Msif Real Estate	Pair Corr

Related Correlations Analysis

	HIO	HYI	DSU	WDI	EHI	IGA	IGD	DHY	CIF	EAD
HIO		0.31	0.61	0.03	0.63	0.25	0.3	0.25	0.53	0.69	HIO
HYI	0.31		0.2	0.55	0.58	0.38	0.31	0.48	0.48	0.43	HYI
DSU	0.61	0.2		-0.26	0.45	0.25	0.32	0.26	0.42	0.71	DSU
WDI	0.03	0.55	-0.26		0.34	0.28	0.26	0.28	0.35	0.06	WDI
EHI	0.63	0.58	0.45	0.34		0.44	0.41	0.38	0.73	0.72	EHI
IGA	0.25	0.38	0.25	0.28	0.44		0.85	0.55	0.31	0.46	IGA
IGD	0.3	0.31	0.32	0.26	0.41	0.85		0.71	0.39	0.49	IGD
DHY	0.25	0.48	0.26	0.28	0.38	0.55	0.71		0.37	0.48	DHY
CIF	0.53	0.48	0.42	0.35	0.73	0.31	0.39	0.37		0.75	CIF
EAD	0.69	0.43	0.71	0.06	0.72	0.46	0.49	0.48	0.75		EAD
	HIO	HYI	DSU	WDI	EHI	IGA	IGD	DHY	CIF	EAD

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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

IGD	+ 0.85	IGA
EAD	+ 0.75	CIF
CIF	+ 0.73	EHI
EAD	+ 0.72	EHI
EAD	+ 0.71	DSU
DHY	+ 0.71	IGD

High negative correlations

WDI

- 0.26

DSU

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	0.51	0.00	(0.02)	0.02	0.54	(0.82)	1.29	(1.27)	3.58
HYI	0.47	(0.01)	(0.04)	(0.03)	0.55	(0.52)	0.93	(0.92)	2.57
DSU	0.48	(0.01)	(0.04)	(0.04)	0.57	(0.57)	0.94	(0.94)	2.44
WDI	0.53	(0.05)	0.00	(0.18)	0.00	0.00	0.84	(1.52)	3.43
EHI	0.59	0.02	0.01	0.09	0.66	(0.67)	1.22	(1.20)	3.03
IGA	0.50	0.01	(0.01)	0.09	0.64	(0.56)	1.19	(1.09)	3.74
IGD	0.71	0.00	(0.02)	0.01	0.92	(0.75)	1.14	(1.29)	3.85
DHY	0.66	(0.03)	0.00	(0.12)	0.00	0.00	1.38	(1.41)	3.24
CIF	0.41	0.01	(0.01)	0.05	0.45	(0.74)	1.16	(1.14)	2.89
EAD	0.43	0.01	0.00	0.06	0.52	(0.45)	1.03	(0.89)	3.08

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