Western Asset Correlations

HIX Fund

USD 4.16 0.01 0.24%

The current 90-days correlation between Western Asset High and Western Asset High is 0.76 (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 High and DJI is 0.66 (i.e., Poor 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 Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Western Asset High. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Western Fund

0.84	VVR	Invesco Senior Income	Pair Corr
0.88	NEA	Nuveen Amt Free Sell-off Trend	Pair Corr
0.67	FAX	Aberdeen Asia Pacific	Pair Corr
0.85	NVG	Nuveen Amt Free	Pair Corr
0.8	EIM	Eaton Vance Mbf	Pair Corr
0.78	NFICX	Neuberger Berman Floating	Pair Corr
0.69	OAKIX	Oakmark International	Pair Corr
0.74	PIDCX	Pioneer Solutions	Pair Corr
0.62	DODFX	Dodge International Stock	Pair Corr
0.71	CYBIX	Calvert High Yield	Pair Corr
0.68	NFRIX	Nuveen Symphony Floating	Pair Corr
0.81	MXFIX	Mainstay Floating Rate	Pair Corr

Moving against Western Fund

0.8	HSGFX	Hussman Strategic Growth	Pair Corr
0.54	SRAAX	Simt Real Return	Pair Corr
0.5	JASSX	James Alpha Structured	Pair Corr
0.49	FRGOX	Franklin Gold Precious	Pair Corr
0.49	RULFX	Rbc Ultra Short	Pair Corr
0.46	OGMIX	Oppenheimer Gold Special	Pair Corr
0.39	ABNZX	Ab Bond Inflation	Pair Corr
0.38	TSDCX	Touchstone Ultra Short	Pair Corr
0.31	VBIUX	Vanguard Intermediate-ter	Pair Corr
0.88	SHPSX	Short Small Cap	Pair Corr
0.53	CREMX	Redwood Real Estate	Pair Corr
0.47	SUBFX	Scout Unconstrained Bond	Pair Corr
0.43	MSTBX	Morningstar Defensive	Pair Corr
0.39	ABNOX	Ab Bond Inflation	Pair Corr
0.37	GEADX	Goldman Sachs Enhanced	Pair Corr
0.33	HRSTX	Rational Real Strategies	Pair Corr

Related Correlations Analysis

	HIO	HYI	DSU	WDI	EHI	IGA	IGD	DHY	CIF	EAD
HIO		0.81	0.84	0.79	0.93	0.46	0.55	0.92	0.74	0.85	HIO
HYI	0.81		0.89	0.95	0.87	0.5	0.51	0.88	0.91	0.94	HYI
DSU	0.84	0.89		0.93	0.84	0.66	0.65	0.85	0.94	0.96	DSU
WDI	0.79	0.95	0.93		0.88	0.52	0.51	0.89	0.92	0.97	WDI
EHI	0.93	0.87	0.84	0.88		0.39	0.46	0.97	0.77	0.9	EHI
IGA	0.46	0.5	0.66	0.52	0.39		0.91	0.38	0.75	0.64	IGA
IGD	0.55	0.51	0.65	0.51	0.46	0.91		0.46	0.73	0.63	IGD
DHY	0.92	0.88	0.85	0.89	0.97	0.38	0.46		0.78	0.9	DHY
CIF	0.74	0.91	0.94	0.92	0.77	0.75	0.73	0.78		0.95	CIF
EAD	0.85	0.94	0.96	0.97	0.9	0.64	0.63	0.9	0.95		EAD
	HIO	HYI	DSU	WDI	EHI	IGA	IGD	DHY	CIF	EAD

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Risk-Adjusted Indicators

There is a big difference between Western Fund performing well and Western Asset 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
HIO	0.76	0.05	0.04	0.04	1.34	(0.86)	1.51	(1.40)	7.56
HYI	0.48	0.02	0.07	0.03	0.78	(0.47)	1.21	(0.77)	3.95
DSU	0.68	0.03	0.04	0.02	1.51	(0.76)	1.19	(0.91)	8.51
WDI	0.75	0.01	0.00	(0.03)	0.00	0.00	1.36	(1.44)	7.71
EHI	0.54	0.00	0.00	(0.06)	0.00	0.00	0.82	(0.95)	6.16
IGA	1.01	0.14	0.08	0.11	1.62	(1.11)	1.95	(2.11)	13.68
IGD	0.82	0.14	0.08	0.15	1.58	(0.81)	1.50	(1.95)	8.93
DHY	0.76	0.00	0.00	(0.05)	0.00	0.00	1.55	(1.44)	7.28
CIF	0.78	0.05	0.04	0.05	1.23	(1.06)	1.82	(1.85)	6.64
EAD	0.73	0.03	0.03	0.00	1.58	(0.68)	1.43	(1.92)	8.04

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