Western Asset Correlations

WAHSX Fund  USD 7.08  0.01  0.14%   
The current 90-days correlation between Western Asset High and Clearbridge Aggressive Growth is 0.03 (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

Significant diversification

The correlation between Western Asset High and DJI is 0.05 (i.e., Significant 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 state.

Moving together with Western Mutual Fund

  0.82SAGCX Clearbridge AggressivePairCorr
  0.78LGASX Clearbridge Small CapPairCorr
  0.77SAPCX Clearbridge AppreciationPairCorr
  0.82LGSCX Qs Small CapitalizationPairCorr
  0.73SBCLX Qs Defensive GrowthPairCorr
  0.81SBMLX Clearbridge Mid CapPairCorr
  0.79SBPLX Clearbridge DividendPairCorr
  0.81SBSDX Qs Sp 500PairCorr
  0.99WAYRX Western Asset HighPairCorr
  0.83SCBCX Qs Servative GrowthPairCorr
  0.84SCGCX Qs Moderate GrowthPairCorr

Moving against Western Mutual Fund

  0.57LGOCX Legg Mason BwPairCorr
  0.52WABCX Western Asset EPairCorr
  0.5WACSX Western Asset EPairCorr
  0.49WABRX Western Asset EPairCorr
  0.48WAPIX Western Asset EPairCorr
  0.46WABSX Western Asset IntermPairCorr
  0.46WAPCX Western Asset EPairCorr
  0.46WAPRX Western Asset EPairCorr
  0.44WACIX Western Asset EPairCorr
  0.42WAPSX Western Asset EPairCorr
  0.41WAFCX Western Asset InflationPairCorr
  0.4WAFRX Western Asset InflationPairCorr
  0.38WAFSX Western Asset InflationPairCorr
  0.38SBILX Western Asset PoratePairCorr
  0.36SBICX Clearbridge InternationalPairCorr
  0.49WATCX Western Asset IntermPairCorr
  0.48WATRX Western Asset IntermPairCorr
  0.4LMBSX Western Asset MortgagePairCorr
  0.38WATPX Western Asset InflationPairCorr
  0.35LIORX Clearbridge InternationalPairCorr

Related Correlations Analysis

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.
High positive correlations   
LGSCXLGASX
WACSXWACIX
WACSXLGOCX
LGSCXSAGCX
LGASXSAGCX
WACIXLGOCX
  
High negative correlations   
LGOCXSAGCX
LGOCXSAPCX
LGOCXLGASX
WACSXSAGCX
LGSCXLGOCX
WACIXSAGCX

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SAGCX  0.72  0.07  0.08  0.20  0.73 
 1.56 
 4.84 
LGASX  0.77  0.02  0.05  0.15  0.57 
 1.86 
 5.76 
LGFEX  0.63 (0.08) 0.00 (0.05) 0.00 
 1.22 
 4.02 
SAPCX  0.47  0.12 (0.02)(23.17) 0.50 
 1.01 
 3.92 
LGOCX  0.35 (0.09) 0.00  2.60  0.00 
 0.60 
 2.04 
SSMMX  0.16  0.02 (0.41)(0.04) 0.21 
 0.40 
 1.53 
WAASX  0.14  0.00 (0.59) 0.17  0.09 
 0.33 
 0.77 
LGSCX  0.89 (0.02) 0.04  0.12  0.81 
 1.94 
 8.08 
WACIX  0.25 (0.03) 0.00  2.08  0.00 
 0.43 
 1.41 
WACSX  0.25 (0.03) 0.00  1.12  0.00 
 0.47 
 1.61