Western Asset Correlations

WAARX Fund

USD 9.18 0.01 0.11%

The current 90-days correlation between Western Asset Total and Crossmark Steward Equity is 0.2 (i.e., Modest 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 Total and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Total 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 Total. 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 metropolitan statistical area.

Moving together with Western Mutual Fund

0.8	TEGBX	Templeton Global Bond	Pair Corr
0.65	LGIEX	Qs International Equity	Pair Corr

Moving against Western Mutual Fund

0.33	SAGYX	Clearbridge Aggressive	Pair Corr
0.32	SAIFX	Clearbridge Large Cap	Pair Corr
0.43	SASMX	Clearbridge Small Cap	Pair Corr
0.33	LGVAX	Clearbridge Value Trust	Pair Corr

Related Correlations Analysis

	SMNIX	PAEIX	RTIUX	TOIIX	OWFIX	GRSPX	RBCIX
SMNIX		-0.04	-0.11	0.31	0.79	-0.66	-0.11	SMNIX
PAEIX	-0.04		0.99	0.88	0.08	0.47	0.55	PAEIX
RTIUX	-0.11	0.99		0.85	0.02	0.55	0.59	RTIUX
TOIIX	0.31	0.88	0.85		0.43	0.08	0.44	TOIIX
OWFIX	0.79	0.08	0.02	0.43		-0.52	-0.03	OWFIX
GRSPX	-0.66	0.47	0.55	0.08	-0.52		0.45	GRSPX
RBCIX	-0.11	0.55	0.59	0.44	-0.03	0.45		RBCIX
	SMNIX	PAEIX	RTIUX	TOIIX	OWFIX	GRSPX	RBCIX

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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

RTIUX	+ 0.99	PAEIX
TOIIX	+ 0.88	PAEIX
TOIIX	+ 0.85	RTIUX
OWFIX	+ 0.79	SMNIX
RBCIX	+ 0.59	RTIUX
RBCIX	+ 0.55	PAEIX

High negative correlations

GRSPX	- 0.66	SMNIX
GRSPX	- 0.52	OWFIX
RBCIX	- 0.11	SMNIX
RTIUX	- 0.11	SMNIX
PAEIX	- 0.04	SMNIX
RBCIX	- 0.03	OWFIX

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
SMNIX	0.45	0.06	0.24	1.41	0.39	(0.52)	1.00	(0.74)	2.62
PAEIX	0.94	0.17	0.11	0.15	1.43	(0.95)	1.82	(2.09)	8.61
RTIUX	0.82	0.14	0.11	0.17	1.43	(0.81)	1.71	(1.99)	8.52
TOIIX	0.85	0.23	0.15	0.31	1.41	(0.85)	2.02	(2.16)	9.67
OWFIX	0.22	0.01	0.26	(0.27)	0.23	(0.24)	0.40	(0.40)	1.37
GRSPX	1.12	(0.04)	0.00	0.38	0.00	0.00	2.09	(2.26)	10.61
RBCIX	1.56	0.16	0.10	(13.83)	2.15	(1.73)	3.48	(2.92)	12.44

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