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 0.13 (i.e., Average 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

Modest diversification

The correlation between Western Asset High and DJI is 0.2 (i.e., Modest 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
  0.8LGASX Clearbridge Small CapPairCorr
  0.77SAPCX Clearbridge AppreciationPairCorr
  0.84LGSCX Qs Small CapitalizationPairCorr
  0.75SBCLX Qs Defensive GrowthPairCorr
  0.81SBMLX Clearbridge Mid CapPairCorr
  0.78SBPLX Clearbridge DividendPairCorr
  0.8SBSDX Qs Sp 500PairCorr
  0.99WAYRX Western Asset HighPairCorr
  0.83SCBCX Qs Servative GrowthPairCorr
  0.83SCGCX Qs Moderate GrowthPairCorr

Moving against Western Mutual Fund

  0.54LGOCX Legg Mason BwPairCorr
  0.48WABCX Western Asset EPairCorr
  0.48WABRX Western Asset EPairCorr
  0.47WAPIX Western Asset EPairCorr
  0.46WACSX Western Asset EPairCorr
  0.42WABSX Western Asset IntermPairCorr
  0.42WAPCX Western Asset EPairCorr
  0.42WAPRX Western Asset EPairCorr
  0.4WACIX Western Asset EPairCorr
  0.4WAPSX Western Asset EPairCorr
  0.37WAFCX Western Asset InflationPairCorr
  0.36WAFRX Western Asset InflationPairCorr
  0.36SBICX Clearbridge InternationalPairCorr
  0.33WAFSX Western Asset InflationPairCorr
  0.33SBILX Western Asset PoratePairCorr
  0.45WATCX Western Asset IntermPairCorr
  0.44WATRX Western Asset IntermPairCorr
  0.38LMBSX Western Asset MortgagePairCorr
  0.36LIORX Clearbridge InternationalPairCorr
  0.34WATPX Western Asset InflationPairCorr

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
SAPCXSAGCX
LGSCXSAGCX
SAPCXLGASX
  
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  0.03 (0.01) 0.17  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  0.13 (0.01)(0.61) 0.00  0.11 
 0.22 
 0.77 
LGSCX  0.89 (0.02) 0.04  0.12  0.81 
 1.94 
 8.08 
WACIX  0.25 (0.03) 0.00  2.73  0.00 
 0.43 
 1.41 
WACSX  0.25 (0.04) 0.00  1.28  0.00 
 0.47 
 1.61