Western Asset Correlations

MHF Fund

USD 7.10 0.01 0.14%

The current 90-days correlation between Western Asset Municipal and Blackrock Muniholdings Quality is -0.05 (i.e., 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.

Western Asset Correlation With Market

Average diversification

The correlation between Western Asset Municipal and DJI is 0.16 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Municipal and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Western Asset Municipal. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Western Fund

0.66	PCN	Pimco Corporate Income	Pair Corr
0.72	BAC	Bank of America Sell-off Trend	Pair Corr
0.79	CVX	Chevron Corp Earnings Call Today	Pair Corr
0.79	HD	Home Depot	Pair Corr

Related Correlations Analysis

	MMU	MUE	DTF	JHS	NXN	NMT	FRRPF	EEA	CMU
MMU		0.84	0.65	0.4	0.69	0.61	0.33	0.5	0.85	MMU
MUE	0.84		0.55	0.67	0.77	0.62	0.55	0.48	0.87	MUE
DTF	0.65	0.55		0.11	0.53	0.4	0.05	0.42	0.46	DTF
JHS	0.4	0.67	0.11		0.34	0.3	0.48	0.28	0.61	JHS
NXN	0.69	0.77	0.53	0.34		0.68	0.67	0.55	0.62	NXN
NMT	0.61	0.62	0.4	0.3	0.68		0.47	0.59	0.45	NMT
FRRPF	0.33	0.55	0.05	0.48	0.67	0.47		0.1	0.46	FRRPF
EEA	0.5	0.48	0.42	0.28	0.55	0.59	0.1		0.31	EEA
CMU	0.85	0.87	0.46	0.61	0.62	0.45	0.46	0.31		CMU
	MMU	MUE	DTF	JHS	NXN	NMT	FRRPF	EEA	CMU

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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
MMU	0.47	0.02	(0.09)	0.29	0.57	(0.51)	0.89	(0.97)	3.21
MUE	0.59	0.01	(0.08)	0.16	0.84	(0.54)	1.21	(1.20)	3.18
DTF	0.33	0.00	(0.16)	0.20	0.46	(0.40)	0.81	(0.71)	2.50
JHS	0.38	(0.04)	0.00	(0.15)	0.00	0.00	0.72	(0.97)	2.14
NXN	0.29	(0.04)	0.00	2.49	0.00	0.00	0.53	(0.61)	1.47
NMT	0.42	0.00	(0.15)	0.31	0.58	(0.49)	1.14	(0.86)	3.28
FRRPF	1.23	(0.42)	0.00	3.18	0.00	0.00	2.03	(5.27)	12.13
EEA	0.63	(0.01)	(0.11)	(0.72)	0.81	(0.73)	1.56	(1.40)	3.61
CMU	0.43	0.00	(0.14)	0.18	0.55	(0.52)	0.85	(1.11)	2.84

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Western Asset Correlations

Western Asset Correlation With Market

Average diversification

Moving together with Western Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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