Western Asset Correlations

XHYIX Fund

USD 12.16 0.03 0.25%

The current 90-days correlation between Western Asset High and Old Westbury Fixed is -0.03 (i.e., Good 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

Good diversification

The correlation between Western Asset High and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset High 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 High. 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 gross domestic product.

Moving together with Western Mutual Fund

0.63

CSIIX

Columbia Small Cap

Pair Corr

Moving against Western Mutual Fund

0.64	TUIXX	Rbc Funds Trust	Pair Corr
0.42	DBFRX	Doubleline Floating Rate	Pair Corr
0.31	BBBMX	Bbh Limited Duration	Pair Corr
0.69	SHRIX	Stone Ridge High	Pair Corr
0.62	BATPX	Bats Series P	Pair Corr
0.49	CRDLX	Griffin Institutional	Pair Corr
0.34	QMHRX	Aqr Managed Futures	Pair Corr
0.31	ICIYX	Invesco Conservative	Pair Corr

Related Correlations Analysis

	OWFIX	SGYAX	ABNTX	ABNCX	CBOCX	MBSAX
OWFIX		0.65	0.93	0.95	0.99	0.94	OWFIX
SGYAX	0.65		0.84	0.81	0.69	0.71	SGYAX
ABNTX	0.93	0.84		1.0	0.94	0.9	ABNTX
ABNCX	0.95	0.81	1.0		0.95	0.91	ABNCX
CBOCX	0.99	0.69	0.94	0.95		0.92	CBOCX
MBSAX	0.94	0.71	0.9	0.91	0.92		MBSAX
	OWFIX	SGYAX	ABNTX	ABNCX	CBOCX	MBSAX

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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
OWFIX	0.16	0.01	0.35	0.09	0.13	(0.23)	0.40	(0.30)	1.00
SGYAX	0.15	0.02	0.44	(1.16)	0.00	(0.28)	0.57	(0.28)	1.28
ABNTX	0.15	0.01	0.36	0.57	0.11	(0.19)	0.30	(0.39)	1.18
ABNCX	0.15	0.01	0.39	0.23	0.11	(0.19)	0.30	(0.30)	1.09
CBOCX	0.16	0.01	0.34	0.08	0.16	(0.19)	0.32	(0.32)	0.89
MBSAX	0.19	0.01	0.31	(0.20)	0.21	(0.21)	0.36	(0.30)	1.34

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