Western Asset Correlations

SIMLX Fund

USD 8.19 0.01 0.12%

The current 90-days correlation between Western Asset Interm and Bbh Intermediate Municipal is 0.78 (i.e., Poor 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

Poor diversification

The correlation between Western Asset Intermediate and DJI is 0.71 (i.e., Poor 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 mutual fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Western Mutual Fund

0.61	LGASX	Clearbridge Small Cap	Pair Corr
0.75	LGFEX	Qs International Equity	Pair Corr
0.61	SAPCX	Clearbridge Appreciation	Pair Corr
0.74	LGOCX	Legg Mason Bw	Pair Corr
0.98	SSMMX	Western Asset Managed	Pair Corr
0.81	WAASX	Western Asset Total	Pair Corr
0.72	LGSCX	Qs Small Capitalization	Pair Corr
0.74	WACIX	Western Asset E	Pair Corr
0.68	WACSX	Western Asset E	Pair Corr
0.63	WABCX	Western Asset E	Pair Corr
0.84	WAGIX	Western Asset Global	Pair Corr
0.63	SSTLX	Western Asset Short	Pair Corr
0.86	WAHSX	Western Asset High	Pair Corr
0.67	WAPCX	Western Asset E	Pair Corr
0.68	WAPIX	Western Asset E	Pair Corr
0.73	WAPSX	Western Asset E	Pair Corr
0.65	WAPRX	Western Asset E	Pair Corr
0.84	SBICX	Clearbridge International	Pair Corr
0.69	SBILX	Western Asset Porate	Pair Corr
0.82	WARIX	Western Asset Total	Pair Corr
0.62	SBMLX	Clearbridge Mid Cap	Pair Corr
0.74	SBPLX	Clearbridge Dividend	Pair Corr
0.83	WAUCX	Western Asset Total	Pair Corr
0.83	WAURX	Western Asset Total	Pair Corr
0.87	WAYRX	Western Asset High	Pair Corr
0.92	SBYLX	Western Asset New	Pair Corr
0.92	SCACX	Western Asset California	Pair Corr
0.86	SCBCX	Qs Servative Growth	Pair Corr
0.86	SCGCX	Qs Moderate Growth	Pair Corr

Related Correlations Analysis

	VBISX	LSHEX	PRVBX	USCBX	RGHYX	TTRBX	APDOX	BBINX
VBISX		0.46	0.78	0.51	0.86	0.93	0.84	0.82	VBISX
LSHEX	0.46		0.76	0.74	0.7	0.52	0.77	0.83	LSHEX
PRVBX	0.78	0.76		0.52	0.94	0.83	0.96	0.9	PRVBX
USCBX	0.51	0.74	0.52		0.54	0.5	0.58	0.79	USCBX
RGHYX	0.86	0.7	0.94	0.54		0.93	0.94	0.91	RGHYX
TTRBX	0.93	0.52	0.83	0.5	0.93		0.84	0.83	TTRBX
APDOX	0.84	0.77	0.96	0.58	0.94	0.84		0.94	APDOX
BBINX	0.82	0.83	0.9	0.79	0.91	0.83	0.94		BBINX
	VBISX	LSHEX	PRVBX	USCBX	RGHYX	TTRBX	APDOX	BBINX

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
VBISX	0.09	0.00	(0.41)	0.00	0.00	(0.14)	0.29	(0.10)	0.49
LSHEX	1.98	0.30	0.13	0.40	1.85	(2.29)	6.01	(3.02)	14.38
PRVBX	0.07	0.00	(0.50)	0.10	0.00	(0.07)	0.15	(0.14)	0.36
USCBX	0.10	0.00	(0.28)	0.22	0.00	(0.16)	0.29	(0.20)	0.68
RGHYX	0.11	0.01	(0.15)	0.29	0.00	(0.15)	0.20	(0.20)	1.11
TTRBX	0.10	0.00	(0.36)	0.08	0.00	(0.14)	0.20	(0.20)	0.60
APDOX	0.10	0.07	0.09	1.18	0.00	(0.15)	0.28	(0.18)	0.56
BBINX	0.06	0.01	(0.29)	0.78	0.00	(0.14)	0.19	(0.10)	0.48

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Western Asset Correlations

Western Asset Correlation With Market

Poor diversification

Moving together with Western Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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