Western Asset Correlations

SBI Fund

USD 7.80 0.05 0.65%

The current 90-days correlation between Western Asset Interm and Western Asset Investment is 0.05 (i.e., Significant 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

Weak diversification

The correlation between Western Asset Intermediate and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Intermediate and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Western Asset Intermediate. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in bureau of labor statistics.

Moving against Western Fund

0.51	RSDTX	Short Duration Bond	Pair Corr
0.48	SWHFX	Schwab Health Care	Pair Corr
0.34	CII	Blackrock Enhanced	Pair Corr
0.31	AGOCX	Prudential Jennison	Pair Corr
0.52	RSYTX	Strategic Bond	Pair Corr
0.35	FPURX	Fidelity Puritan	Pair Corr

Related Correlations Analysis

	IGI	PAI	AADBX	BCV	DMO	TSCPX	GGZ	SEAIX	SSGAX
IGI		0.6	0.18	0.53	0.03	-0.01	0.17	0.09	0.09	IGI
PAI	0.6		0.41	0.4	-0.35	0.35	0.57	0.4	0.39	PAI
AADBX	0.18	0.41		0.05	-0.85	0.91	0.85	0.86	0.86	AADBX
BCV	0.53	0.4	0.05		0.19	-0.08	-0.02	-0.06	-0.07	BCV
DMO	0.03	-0.35	-0.85	0.19		-0.87	-0.84	-0.81	-0.82	DMO
TSCPX	-0.01	0.35	0.91	-0.08	-0.87		0.9	0.95	0.95	TSCPX
GGZ	0.17	0.57	0.85	-0.02	-0.84	0.9		0.91	0.9	GGZ
SEAIX	0.09	0.4	0.86	-0.06	-0.81	0.95	0.91		1.0	SEAIX
SSGAX	0.09	0.39	0.86	-0.07	-0.82	0.95	0.9	1.0		SSGAX
	IGI	PAI	AADBX	BCV	DMO	TSCPX	GGZ	SEAIX	SSGAX

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

SSGAX	+ 1.0	SEAIX
SEAIX	+ 0.95	TSCPX
SSGAX	+ 0.95	TSCPX
TSCPX	+ 0.91	AADBX
SEAIX	+ 0.91	GGZ
GGZ	+ 0.9	TSCPX

High negative correlations

TSCPX	- 0.87	DMO
DMO	- 0.85	AADBX
GGZ	- 0.84	DMO
SSGAX	- 0.82	DMO
SEAIX	- 0.81	DMO
DMO	- 0.35	PAI

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
IGI	0.25	(0.02)	0.00	(0.13)	0.00	0.00	0.54	(0.48)	2.13
PAI	0.30	(0.04)	0.00	(0.10)	0.00	0.00	0.64	(0.56)	2.29
AADBX	0.41	0.00	(0.06)	0.08	0.46	(0.44)	0.90	(0.66)	1.99
BCV	1.00	(0.02)	(0.03)	0.06	1.23	(1.08)	2.16	(2.27)	6.32
DMO	0.50	(0.07)	0.00	(0.33)	0.00	0.00	1.04	(1.02)	3.85
TSCPX	1.01	0.17	0.13	0.24	1.07	(1.17)	2.28	(1.90)	7.91
GGZ	0.73	0.09	0.00	(3.48)	1.07	(0.78)	1.48	(1.66)	5.18
SEAIX	0.59	0.12	0.14	0.26	0.39	(0.70)	1.13	(0.99)	8.40
SSGAX	0.60	0.10	0.10	0.22	0.45	(0.69)	1.09	(1.05)	8.66

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