Western Asset Correlations

WACPX Fund

USD 9.26 0.02 0.22%

The current 90-days correlation between Western Asset E and Sprott Gold Equity is -0.19 (i.e., Good 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 E and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset E 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 E. 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 american community survey.

Moving together with Western Mutual Fund

0.95	TEGBX	Templeton Global Bond	Pair Corr
0.69	TEMMX	Templeton Emerging	Pair Corr
0.62	TEMIX	Franklin Mutual European	Pair Corr
0.65	FQCTX	Franklin Necticut Tax	Pair Corr
0.69	TEMZX	Templeton Emerging	Pair Corr
0.61	FQCHX	Franklin Templeton Smacs	Pair Corr
0.73	LGGAX	Clearbridge International	Pair Corr
0.64	TEURX	Franklin Mutual European	Pair Corr
0.73	LGIEX	Qs International Equity	Pair Corr
0.68	FQNCX	Franklin North Carolina	Pair Corr
0.66	FQMDX	Franklin Maryland Tax	Pair Corr
0.86	WAARX	Western Asset Total	Pair Corr

Moving against Western Mutual Fund

0.63	TEMTX	Franklin Mutual Shares	Pair Corr
0.51	TEMWX	Templeton World	Pair Corr
0.72	SAGYX	Clearbridge Aggressive	Pair Corr
0.69	SAIFX	Clearbridge Large Cap	Pair Corr
0.64	TESIX	Franklin Mutual Shares	Pair Corr
0.64	TESRX	Franklin Mutual Shares	Pair Corr
0.51	TWDAX	Templeton World	Pair Corr
0.49	TEWTX	Templeton World	Pair Corr
0.74	SBAYX	Western Asset Adjustable	Pair Corr
0.72	LGVAX	Clearbridge Value Trust	Pair Corr
0.69	SAPYX	Clearbridge Appreciation	Pair Corr
0.65	SASMX	Clearbridge Small Cap	Pair Corr
0.61	WAADX	Western Asset Smash	Pair Corr
0.42	FQTEX	Franklin Strategic Series	Pair Corr

Related Correlations Analysis

	SGDLX	VGSBX	INIVX	QGLDX	GLRBX	SPPIX	FGDAX
SGDLX		-0.15	0.99	0.88	0.48	-0.91	0.91	SGDLX
VGSBX	-0.15		-0.2	-0.44	-0.27	-0.17	-0.03	VGSBX
INIVX	0.99	-0.2		0.89	0.44	-0.9	0.91	INIVX
QGLDX	0.88	-0.44	0.89		0.5	-0.66	0.75	QGLDX
GLRBX	0.48	-0.27	0.44	0.5		-0.29	0.33	GLRBX
SPPIX	-0.91	-0.17	-0.9	-0.66	-0.29		-0.89	SPPIX
FGDAX	0.91	-0.03	0.91	0.75	0.33	-0.89		FGDAX
	SGDLX	VGSBX	INIVX	QGLDX	GLRBX	SPPIX	FGDAX

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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

INIVX	+ 0.99	SGDLX
FGDAX	+ 0.91	SGDLX
FGDAX	+ 0.91	INIVX
QGLDX	+ 0.89	INIVX
QGLDX	+ 0.88	SGDLX
FGDAX	+ 0.75	QGLDX

High negative correlations

SPPIX	- 0.91	SGDLX
SPPIX	- 0.9	INIVX
FGDAX	- 0.89	SPPIX
SPPIX	- 0.66	QGLDX
QGLDX	- 0.44	VGSBX
SPPIX	- 0.29	GLRBX

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
SGDLX	1.35	0.00	(0.06)	0.14	1.64	(1.47)	2.78	(2.57)	9.03
VGSBX	0.28	(0.02)	0.00	0.26	0.00	0.00	0.65	(0.64)	1.71
INIVX	1.40	(0.02)	(0.06)	0.01	1.80	(1.45)	2.66	(2.74)	9.92
QGLDX	0.74	0.07	(0.05)	(0.32)	1.02	(0.76)	1.46	(1.52)	4.88
GLRBX	0.31	(0.03)	(0.22)	0.04	0.39	(0.32)	0.61	(0.70)	1.88
SPPIX	1.42	0.11	(0.01)	(0.49)	1.72	(1.56)	3.24	(2.31)	10.50
FGDAX	1.33	(0.06)	0.00	(0.28)	0.00	0.00	2.69	(2.82)	9.79

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