Western Asset Expected Short fall
| DMO Fund | | | USD 11.04 -0.04 -0.36% |
Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL). Below is Western Asset's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
At
-0.63, Western Asset's Expected Short fall indicates its current reading on this measure. This reflects Western Asset's positioning relative to its own recent range within Fund Funds.
Expected Shortfall | = | Conditional VAR |
| = | -0.63 | |
Expected Short fall Peers Comparison
Western Asset falls above the -0.87 peer average for Expected Short fall. leads at 0.0 while Gabelli MultiMedia Mutual registers the lowest at -1.1917.
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for Western Asset and its peers. Each point represents one equity — position along the horizontal axis shows Expected Short fall while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare Western Asset to PeersMethodology, Assumptions & Data Sources
Western Asset has a current Expected Short fall reading of -0.63. Expected Short fall for Western Asset is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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