Western Asset Correlations

ITCAX Fund

USD 8.04 0.02 0.25%

The current 90-days correlation between Western Asset Interm and Franklin Mutual Beacon is 0.34 (i.e., Weak 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

Average diversification

The correlation between Western Asset Intermediate and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Intermediate 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 Intermediate. 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 nation.

Moving together with Western Mutual Fund

0.66	TEMGX	Templeton Global Smaller	Pair Corr
0.89	FQCTX	Franklin Necticut Tax	Pair Corr
0.9	FQCHX	Franklin Templeton Smacs	Pair Corr
0.66	TESGX	Templeton Global Smaller	Pair Corr
0.69	LGGAX	Clearbridge International	Pair Corr
0.81	FQLAX	Franklin Louisiana Tax	Pair Corr
0.88	FQNCX	Franklin North Carolina	Pair Corr
0.87	FQMDX	Franklin Maryland Tax	Pair Corr
0.84	WAARX	Western Asset Total	Pair Corr

Moving against Western Mutual Fund

0.37

WAADX

Western Asset Smash

Pair Corr

Related Correlations Analysis

	TEBIX	TEDMX	TEDIX	TEDSX	TEDRX	TEFRX	TEFTX	TEGBX	TEGRX	TEMFX
TEBIX		0.21	0.91	0.89	0.91	0.35	0.33	0.26	0.8	0.36	TEBIX
TEDMX	0.21		0.54	0.56	0.54	0.93	0.93	0.82	0.47	0.93	TEDMX
TEDIX	0.91	0.54		1.0	1.0	0.66	0.63	0.55	0.79	0.67	TEDIX
TEDSX	0.89	0.56	1.0		1.0	0.71	0.68	0.61	0.8	0.71	TEDSX
TEDRX	0.91	0.54	1.0	1.0		0.66	0.64	0.55	0.79	0.67	TEDRX
TEFRX	0.35	0.93	0.66	0.71	0.66		1.0	0.94	0.59	1.0	TEFRX
TEFTX	0.33	0.93	0.63	0.68	0.64	1.0		0.94	0.57	1.0	TEFTX
TEGBX	0.26	0.82	0.55	0.61	0.55	0.94	0.94		0.49	0.94	TEGBX
TEGRX	0.8	0.47	0.79	0.8	0.79	0.59	0.57	0.49		0.59	TEGRX
TEMFX	0.36	0.93	0.67	0.71	0.67	1.0	1.0	0.94	0.59		TEMFX
	TEBIX	TEDMX	TEDIX	TEDSX	TEDRX	TEFRX	TEFTX	TEGBX	TEGRX	TEMFX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
TEBIX	0.54	(0.15)	(0.25)	0.83	(1.05)	6.52
TEDMX	0.78	(0.05)	(0.21)	1.50	(1.68)	6.20
TEDIX	0.62	(0.22)	(0.60)	0.85	(1.05)	10.42
TEDSX	0.62	(0.22)	(0.56)	0.82	(1.35)	9.48
TEDRX	0.62	(0.22)	(0.60)	0.84	(1.08)	10.33
TEFRX	0.77	(0.17)	(0.54)	1.27	(2.02)	5.69
TEFTX	0.76	(0.17)	(0.48)	1.37	(1.97)	5.54
TEGBX	0.43	(0.19)	(6.08)	0.67	(1.01)	3.22
TEGRX	0.57	(0.10)	(0.11)	0.99	(0.94)	4.35
TEMFX	0.77	(0.18)	(0.56)	1.36	(2.06)	5.66

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