Western Asset Correlations

Funds . USA . 
Fund . Western Asset High
HIX Fund  USD 4.26  0.05  1.19%   
The current 90-days correlation between Western Asset High and Western Asset High is 0.81 (i.e., Very 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 0.69 (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

  0.9ERH Allspring Utilities AndPairCorr
  0.94WHIYX Ivy High IncomePairCorr
  0.94IVHIX Ivy High IncomePairCorr
  0.94IHIFX Ivy High IncomePairCorr
  0.94WRHIX Ivy High IncomePairCorr
  0.88WHIAX Ivy High IncomePairCorr
  0.8CSJZX Cohen Steers RealtyPairCorr
  0.89CSRSX Cohen Steers RealtyPairCorr
  0.87GLOIX Gamco Global OpportunityPairCorr
  0.92GICPX Gamco Global GrowthPairCorr
  0.86GLBLX Leuthold GlobalPairCorr
  0.94DIERX Dreyfus InternationalPairCorr
  0.87VESIX Vanguard European StockPairCorr
  0.91EMDIX Federated Emerging MarketPairCorr
  0.65MCBXX Blackrock FinancialPairCorr
  0.9GE GE AerospacePairCorr
  0.66PFE Pfizer IncPairCorr
  0.86BA Boeing Sell-off TrendPairCorr
  0.86AXP American ExpressPairCorr
  0.9JPM JPMorgan ChasePairCorr
  0.94BAC Bank of America Aggressive PushPairCorr
  0.81MSFT Microsoft Aggressive PushPairCorr
  0.76MMM 3M CompanyPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
HIO  0.70 (0.07) 0.00 (0.11) 0.00 
 0.00 
 1.07 
(1.39)
 7.37 
HYI  0.50 (0.03) 0.00 (0.06) 0.00 
 0.00 
 1.21 
(1.10)
 3.84 
DSU  0.69  0.02  0.00  0.09  1.52 
(0.79)
 1.22 
(0.92)
 8.58 
WDI  0.72 (0.02)(0.02) 0.00  1.75 
(0.60)
 1.23 
(1.42)
 7.77 
EHI  0.60 (0.10) 0.00 (0.22) 0.00 
 0.00 
 0.94 
(1.09)
 5.79 
IGA  0.92  0.03 (0.01)(0.22) 1.54 
(1.09)
 1.94 
(2.09)
 13.56 
IGD  0.88  0.00 (0.01) 0.05  1.64 
(0.79)
 1.52 
(1.93)
 8.85 
DHY  0.76 (0.04) 0.00 (0.26) 0.00 
 0.00 
 1.58 
(1.42)
 6.21 
CIF  0.78  0.00 (0.01) 0.05  1.30 
(0.92)
 1.24 
(1.83)
 5.91 
EAD  0.70  0.02  0.00  0.08  1.68 
(0.64)
 1.44 
(1.79)
 8.11 

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