Western Asset Correlations
| SBAYX Fund | USD 9.15 0.01 0.11% |
The current 90-days correlation between Western Asset Adjustable and Western Asset Adjustable is 0.19 (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 Adjustable and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Adjustable and DJI in the same portfolio, assuming nothing else is changed.
Western |
Moving together with Western Mutual Fund
Moving against Western Mutual Fund
| 0.47 | TEMGX | Templeton Global Smaller | PairCorr |
| 0.38 | TEMWX | Templeton World | PairCorr |
| 0.32 | TEMTX | Franklin Mutual Shares | PairCorr |
| 0.51 | SAGYX | Clearbridge Aggressive | PairCorr |
| 0.47 | TESGX | Templeton Global Smaller | PairCorr |
| 0.46 | SAIFX | Clearbridge Large Cap | PairCorr |
| 0.38 | TWDAX | Templeton World | PairCorr |
| 0.38 | TEWTX | Templeton World | PairCorr |
| 0.34 | FQCTX | Franklin Necticut Tax | PairCorr |
| 0.33 | TESRX | Franklin Mutual Shares | PairCorr |
| 0.32 | FQLAX | Franklin Louisiana Tax | PairCorr |
| 0.31 | TESIX | Franklin Mutual Shares | PairCorr |
| 0.61 | SASMX | Clearbridge Small Cap | PairCorr |
| 0.49 | LGVAX | Clearbridge Value Trust | PairCorr |
| 0.45 | SAPYX | Clearbridge Appreciation | PairCorr |
| 0.34 | FQNCX | Franklin North Carolina | PairCorr |
Related Correlations Analysis
| 0.83 | 0.59 | -0.02 | 0.68 | ARMGX | ||
| 0.83 | 0.47 | -0.22 | 0.71 | PSHAX | ||
| 0.59 | 0.47 | 0.54 | 0.7 | SGVAX | ||
| -0.02 | -0.22 | 0.54 | 0.18 | SBLTX | ||
| 0.68 | 0.71 | 0.7 | 0.18 | TRBUX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
| High negative correlations
|
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 Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ARMGX | 0.04 | 0.00 | 0.54 | (2.36) | 0.00 | 0.11 | 0.55 | |||
| PSHAX | 0.04 | 0.00 | 0.67 | (0.16) | 0.00 | 0.10 | 0.41 | |||
| SGVAX | 0.32 | (0.02) | 0.00 | 1.91 | 0.00 | 0.61 | 2.40 | |||
| SBLTX | 0.29 | (0.05) | 0.00 | 0.42 | 0.00 | 0.50 | 2.91 | |||
| TRBUX | 0.02 | (0.01) | 0.00 | (1.79) | 0.00 | 0.00 | 0.59 |