Western Asset Correlations

WAFCX Fund

USD 9.06 0.01 0.11%

The current 90-days correlation between Western Asset Inflation and Great West Government Mortgage is 0.75 (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

Very good diversification

The correlation between Western Asset Inflation and DJI is -0.31 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Inflation and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Western Asset Inflation. 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 unemployment.

Moving together with Western Mutual Fund

0.93	VIPIX	Vanguard Inflation	Pair Corr
0.93	VAIPX	Vanguard Inflation-protec	Pair Corr
0.94	VIPSX	Vanguard Inflation	Pair Corr
0.97	BFICX	American Funds Inflation	Pair Corr
0.92	BFIAX	American Funds Inflation	Pair Corr
0.92	BFIFX	American Funds Inflation	Pair Corr
0.8	FLIBX	American Funds Inflation	Pair Corr
0.85	FIBLX	American Funds Inflation	Pair Corr
0.9	FSPWX	Fidelity Sai Inflation	Pair Corr
0.94	FSTDX	Fidelity Series 5	Pair Corr

Moving against Western Mutual Fund

0.5	SNWCX	Snow Capital Small	Pair Corr
0.4	BRUFX	Bruce Fund Bruce	Pair Corr
0.35	KF	Korea Closed	Pair Corr
0.54	CHCGX	Chesapeake Growth	Pair Corr
0.53	SMDIX	Hartford Schroders	Pair Corr
0.52	CREMX	Redwood Real Estate	Pair Corr
0.52	CUSDX	Six Circles Ultra	Pair Corr
0.5	GMCQX	Gmo Equity Allocation	Pair Corr
0.5	ARRFX	Amg River Road	Pair Corr
0.46	PLAAX	Pace Large Growth	Pair Corr
0.46	TWCGX	Growth Fund Investor	Pair Corr
0.42	DBLSX	Doubleline Low Duration	Pair Corr
0.41	ASMOX	Aqr Small Cap	Pair Corr
0.41	SDGFX	Sdit Short Duration	Pair Corr
0.41	MHESX	Mh Elite Select	Pair Corr
0.37	IEYAX	Ivy Energy Fund	Pair Corr
0.33	BVAOX	Broadview Opportunity	Pair Corr
0.32	SFBPX	Great-west Securefoundation	Pair Corr

Related Correlations Analysis

	RGVJX	SSAGX	UGSFX	IATXX	MXGMX	SMAAX	MXDQX
RGVJX		0.56	0.99	0.0	0.78	0.43	0.83	RGVJX
SSAGX	0.56		0.49	0.0	0.35	0.85	0.41	SSAGX
UGSFX	0.99	0.49		0.0	0.82	0.41	0.86	UGSFX
IATXX	0.0	0.0	0.0		0.0	0.0	0.0	IATXX
MXGMX	0.78	0.35	0.82	0.0		0.44	0.97	MXGMX
SMAAX	0.43	0.85	0.41	0.0	0.44		0.48	SMAAX
MXDQX	0.83	0.41	0.86	0.0	0.97	0.48		MXDQX
	RGVJX	SSAGX	UGSFX	IATXX	MXGMX	SMAAX	MXDQX

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

UGSFX	+ 0.99	RGVJX
MXDQX	+ 0.97	MXGMX
MXDQX	+ 0.86	UGSFX
SMAAX	+ 0.85	SSAGX
MXDQX	+ 0.83	RGVJX
MXGMX	+ 0.82	UGSFX

High negative correlations

MXDQX	- 0.0	IATXX
SMAAX	- 0.0	IATXX
MXGMX	- 0.0	IATXX
IATXX	- 0.0	UGSFX
IATXX	- 0.0	SSAGX
IATXX	- 0.0	RGVJX

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
RGVJX	0.13	(0.01)	(0.39)	(0.28)	0.16	(0.15)	0.25	(0.25)	0.66
SSAGX	0.05	0.00	0.00	0.00	0.00	0.00	0.10	(0.10)	0.51
UGSFX	0.13	(0.01)	0.00	(0.33)	0.00	0.00	0.25	(0.25)	0.58
IATXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MXGMX	0.14	(0.01)	(0.33)	(0.14)	0.18	(0.17)	0.27	(0.27)	0.72
SMAAX	0.07	0.01	(0.54)	5.72	0.00	(0.13)	0.20	(0.10)	0.48
MXDQX	0.15	(0.01)	(0.37)	(0.16)	0.17	(0.19)	0.25	(0.24)	0.74

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