Western Asset Correlations

SGVAX Fund

USD 8.15 0.02 0.25%

The current 90-days correlation between Western Asset Mortgage and Rational Defensive Growth is 0.25 (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

Modest diversification

The correlation between Western Asset Mortgage and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Mortgage 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 Mortgage. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Western Mutual Fund

0.63	TEBIX	Franklin Mutual Beacon	Pair Corr
0.61	TEDIX	Franklin Mutual Global	Pair Corr
0.61	TEDSX	Franklin Mutual Global	Pair Corr
0.61	TEDRX	Franklin Mutual Global	Pair Corr
0.65	TEGBX	Templeton Global Bond	Pair Corr
0.72	TEGRX	Templeton Growth	Pair Corr
0.74	TEMGX	Templeton Global Smaller	Pair Corr
0.63	TEMEX	Franklin Mutual Beacon	Pair Corr
0.66	TEMIX	Franklin Mutual European	Pair Corr
0.68	TEMWX	Templeton World	Pair Corr
0.72	TEMQX	Mutual Quest	Pair Corr
0.82	FQCTX	Franklin Necticut Tax	Pair Corr
0.61	TEMZX	Templeton Emerging	Pair Corr
0.77	FQCHX	Franklin Templeton Smacs	Pair Corr
0.72	TEQIX	Franklin Mutual Quest	Pair Corr
0.72	TEPLX	Templeton Growth	Pair Corr
0.68	TWDAX	Templeton World	Pair Corr
0.73	TESGX	Templeton Global Smaller	Pair Corr
0.82	LGGAX	Clearbridge International	Pair Corr
0.66	TEURX	Franklin Mutual European	Pair Corr
0.71	LGIEX	Qs International Equity	Pair Corr
0.79	FQLAX	Franklin Louisiana Tax	Pair Corr
0.67	TEWTX	Templeton World	Pair Corr
0.63	SAPYX	Clearbridge Appreciation	Pair Corr
0.84	FQNCX	Franklin North Carolina	Pair Corr
0.8	FQMDX	Franklin Maryland Tax	Pair Corr
0.77	WAARX	Western Asset Total	Pair Corr

Moving against Western Mutual Fund

0.52

WAADX

Western Asset Smash

Pair Corr

Related Correlations Analysis

	HSUAX	HSCVX	RRSVX	TFAGX	VYRDX	FCSGX
HSUAX		0.36	0.57	0.9	0.48	0.73	HSUAX
HSCVX	0.36		0.95	0.64	0.98	0.83	HSCVX
RRSVX	0.57	0.95		0.78	0.99	0.94	RRSVX
TFAGX	0.9	0.64	0.78		0.72	0.86	TFAGX
VYRDX	0.48	0.98	0.99	0.72		0.91	VYRDX
FCSGX	0.73	0.83	0.94	0.86	0.91		FCSGX
	HSUAX	HSCVX	RRSVX	TFAGX	VYRDX	FCSGX

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Risk-Adjusted Indicators

There is a big difference between Western Mutual Fund performing well and Western Asset Mutual 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
HSUAX	0.72	0.08	0.06	0.35	0.93	(0.77)	1.31	(1.23)	6.61
HSCVX	0.72	(0.01)	(0.02)	0.00	0.88	(0.93)	1.47	(1.50)	8.08
RRSVX	0.84	0.02	0.01	0.06	1.00	(1.03)	1.69	(1.66)	10.30
TFAGX	0.66	0.02	0.01	0.08	0.94	(0.68)	1.44	(1.53)	5.84
VYRDX	0.80	0.02	0.01	0.06	1.04	(0.89)	1.66	(1.51)	10.40
FCSGX	0.87	0.07	0.05	0.19	1.08	(0.94)	1.70	(1.49)	9.09

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