Western Asset Correlations

MMU Fund

USD 10.41 0.06 0.58%

The current 90-days correlation between Western Asset Managed and Blackrock Muniholdings Quality is 0.58 (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

Modest diversification

The correlation between Western Asset Managed and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Managed 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 Managed. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Western Fund

0.69	PHK	Pimco High Income	Pair Corr
0.72	USA	Liberty All Star	Pair Corr
0.64	DFEOX	Us E Equity	Pair Corr
0.74	GSWPX	Goldman Sachs Smallmid	Pair Corr
0.75	EVT	Eaton Vance Tax	Pair Corr
0.73	ARTNX	Artisan Select Equity	Pair Corr
0.71	ALCEX	Avantis Large Cap	Pair Corr
0.82	LTMIX	Thornburg Limited Term	Pair Corr
0.68	JRODX	J Hancock Ii	Pair Corr

Moving against Western Fund

0.42	TWN	Taiwan Closed	Pair Corr
0.4	TTP	Tortoise Pipeline And	Pair Corr

Related Correlations Analysis

	MHF	MUE	DTF	JHS	MVF	KTF	MHD	NXC	MHN
MHF		0.68	0.63	0.2	0.78	0.51	0.71	0.19	0.64	MHF
MUE	0.68		0.58	0.66	0.88	0.87	0.93	0.35	0.9	MUE
DTF	0.63	0.58		0.13	0.56	0.31	0.53	-0.03	0.5	DTF
JHS	0.2	0.66	0.13		0.52	0.7	0.71	0.41	0.7	JHS
MVF	0.78	0.88	0.56	0.52		0.77	0.92	0.48	0.91	MVF
KTF	0.51	0.87	0.31	0.7	0.77		0.83	0.51	0.87	KTF
MHD	0.71	0.93	0.53	0.71	0.92	0.83		0.44	0.94	MHD
NXC	0.19	0.35	-0.03	0.41	0.48	0.51	0.44		0.53	NXC
MHN	0.64	0.9	0.5	0.7	0.91	0.87	0.94	0.53		MHN
	MHF	MUE	DTF	JHS	MVF	KTF	MHD	NXC	MHN

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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

MHN	+ 0.94	MHD
MHD	+ 0.93	MUE
MHD	+ 0.92	MVF
MHN	+ 0.91	MVF
MHN	+ 0.9	MUE
MVF	+ 0.88	MUE

High negative correlations

NXC

- 0.03

DTF

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
MHF	0.59	0.01	(0.07)	0.12	0.74	(0.66)	1.30	(1.41)	3.64
MUE	0.59	(0.01)	(0.07)	0.03	0.83	(0.55)	1.21	(1.20)	3.18
DTF	0.34	0.02	(0.12)	(0.21)	0.42	(0.44)	0.83	(0.71)	2.78
JHS	0.38	(0.05)	0.00	(0.31)	0.00	0.00	0.64	(0.97)	2.14
MVF	0.57	(0.03)	0.00	(0.09)	0.00	0.00	1.11	(1.10)	3.94
KTF	0.46	(0.08)	0.00	(0.89)	0.00	0.00	0.97	(1.12)	2.84
MHD	0.61	(0.04)	0.00	(0.18)	0.00	0.00	1.15	(1.15)	2.75
NXC	0.43	(0.06)	0.00	(0.25)	0.00	0.00	0.82	(0.97)	3.97
MHN	0.49	(0.05)	0.00	(0.26)	0.00	0.00	0.96	(1.13)	2.69

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