Western Asset Correlations

WAFRX Fund

USD 9.24 0.02 0.22%

The current 90-days correlation between Western Asset Inflation and Nt International Small Mid 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. 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 -0.34 (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 various price indices.

Moving together with Western Mutual Fund

0.61	VIPIX	Vanguard Inflation-protec	Pair Corr
0.98	VAIPX	Vanguard Inflation-protec	Pair Corr
0.97	VIPSX	Vanguard Inflation-protec	Pair Corr
0.96	BFICX	American Funds Inflation	Pair Corr
0.95	BFIAX	American Funds Inflation	Pair Corr
0.96	BFIFX	American Funds Inflation	Pair Corr
0.92	FIBLX	American Funds Inflation	Pair Corr
0.95	FSPWX	Fidelity Sai Inflation	Pair Corr
0.96	FSTDX	Fidelity Series 5	Pair Corr

Moving against Western Mutual Fund

0.42	DD	Dupont De Nemours	Pair Corr
0.39	CAT	Caterpillar Earnings Call This Week	Pair Corr
0.34	BAC	Bank of America	Pair Corr
0.33	JPM	JPMorgan Chase	Pair Corr
0.32	AXP	American Express Earnings Call This Week	Pair Corr

Related Correlations Analysis

	GMSMX	FCSGX	ARTSX	HSCVX	OWSMX	ANTMX
GMSMX		0.97	0.94	0.88	0.96	0.95	GMSMX
FCSGX	0.97		0.92	0.86	0.91	0.9	FCSGX
ARTSX	0.94	0.92		0.95	0.95	0.92	ARTSX
HSCVX	0.88	0.86	0.95		0.92	0.86	HSCVX
OWSMX	0.96	0.91	0.95	0.92		0.98	OWSMX
ANTMX	0.95	0.9	0.92	0.86	0.98		ANTMX
	GMSMX	FCSGX	ARTSX	HSCVX	OWSMX	ANTMX

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
GMSMX	0.85	0.11	0.12	0.17	0.74	(0.95)	2.04	(1.47)	7.72
FCSGX	1.11	0.28	0.26	0.30	0.74	(1.29)	2.03	(1.73)	18.80
ARTSX	1.14	0.17	0.16	0.18	0.94	(1.36)	2.12	(1.92)	13.44
HSCVX	0.69	0.06	0.07	0.13	0.66	(0.82)	2.18	(1.40)	4.16
OWSMX	0.57	0.08	0.11	0.18	0.44	(0.68)	1.40	(1.19)	2.73
ANTMX	0.70	0.08	0.07	0.17	0.81	(0.73)	1.40	(1.43)	3.31

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