Western Asset Emerging Fund Market Value
| EMD Fund | USD 9.03 0.07 0.78% |
| Symbol | Western |
Western Asset 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Western Asset's fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Western Asset.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Western Asset on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Western Asset Emerging or generate 0.0% return on investment in Western Asset over 30 days. Western Asset is related to or competes with Virtus Global, Aberdeen Global, Miller/howard High, Cushing Mlp, Aberdeen Asia, Aberdeen Australia, and Aberdeen Japan. Western Asset Emerging Markets Debt Fund Inc More
Western Asset Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Western Asset's fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Western Asset Emerging upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9083 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 3.39 | |||
| Value At Risk | (1.32) | |||
| Potential Upside | 0.8919 |
Western Asset Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Western Asset's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Western Asset's standard deviation. In reality, there are many statistical measures that can use Western Asset historical prices to predict the future Western Asset's volatility.| Risk Adjusted Performance | 0.0305 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.044 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Western Asset's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Western Asset Emerging Backtested Returns
We consider Western Asset very steady. Western Asset Emerging shows Sharpe Ratio of 0.037, which attests that the fund had a 0.037% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Western Asset Emerging, which you can use to evaluate the volatility of the fund. Please check out Western Asset's Downside Deviation of 0.9083, market risk adjusted performance of 0.054, and Mean Deviation of 0.523 to validate if the risk estimate we provide is consistent with the expected return of 0.0258%. The entity maintains a market beta of 0.52, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Western Asset's returns are expected to increase less than the market. However, during the bear market, the loss of holding Western Asset is expected to be smaller as well.
Auto-correlation | 0.21 |
Weak predictability
Western Asset Emerging has weak predictability. Overlapping area represents the amount of predictability between Western Asset time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Western Asset Emerging price movement. The serial correlation of 0.21 indicates that over 21.0% of current Western Asset price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Western Asset Emerging lagged returns against current returns
Autocorrelation, which is Western Asset fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Western Asset's fund expected returns. We can calculate the autocorrelation of Western Asset returns to help us make a trade decision. For example, suppose you find that Western Asset has exhibited high autocorrelation historically, and you observe that the fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Western Asset regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Western Asset fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Western Asset fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Western Asset fund over time.
Current vs Lagged Prices |
| Timeline |
Western Asset Lagged Returns
When evaluating Western Asset's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Western Asset fund have on its future price. Western Asset autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Western Asset autocorrelation shows the relationship between Western Asset fund current value and its past values and can show if there is a momentum factor associated with investing in Western Asset Emerging.
Regressed Prices |
| Timeline |
Pair Trading with Western Asset
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Western Asset position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Western Asset will appreciate offsetting losses from the drop in the long position's value.Moving together with Western Fund
| 0.7 | ASG | Liberty All Star | PairCorr |
| 0.76 | ETV | Eaton Vance Tax | PairCorr |
The ability to find closely correlated positions to Western Asset could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Western Asset when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Western Asset - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Western Asset Emerging to buy it.
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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Western Asset moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Western Asset Emerging moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Western Asset can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Western Asset Correlation, Western Asset Volatility and Western Asset Alpha and Beta module to complement your research on Western Asset. You can also try the Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Western Asset technical fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.