Western Asset Municipal Fund Market Value
| STXAX Fund | USD 12.78 0.01 0.08% |
| 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 mutual 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.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Western Asset on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Western Asset Municipal or generate 0.0% return on investment in Western Asset over 30 days. Western Asset is related to or competes with Nuveen High, American High, American High, and Invesco High. Under normal circumstances, the fund invests at least 80 percent of its assets in municipal securities 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 mutual 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 Municipal upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2993 | |||
| Information Ratio | (0.39) | |||
| Maximum Drawdown | 1.4 | |||
| Value At Risk | (0.31) | |||
| Potential Upside | 0.3876 |
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 | 0.006 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.29) | |||
| Treynor Ratio | (0.01) |
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 Municipal Backtested Returns
We consider Western Asset very steady. Western Asset Municipal shows Sharpe Ratio of 0.0398, which attests that the fund had a 0.0398% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Western Asset Municipal, which you can use to evaluate the volatility of the fund. Please check out Western Asset's Market Risk Adjusted Performance of (0), downside deviation of 0.2993, and Mean Deviation of 0.1463 to validate if the risk estimate we provide is consistent with the expected return of 0.009%. The entity maintains a market beta of 0.0986, which attests to not very significant fluctuations relative to the market. 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 | 0.75 |
Good predictability
Western Asset Municipal has good predictability. Overlapping area represents the amount of predictability between Western Asset time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Municipal price movement. The serial correlation of 0.75 indicates that around 75.0% of current Western Asset price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.75 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Western Asset Municipal lagged returns against current returns
Autocorrelation, which is Western Asset mutual 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 mutual 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 mutual 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 mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Western Asset mutual 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 mutual 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 mutual 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 mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Western Asset Municipal.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Western Asset in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Western Asset's short interest history, or implied volatility extrapolated from Western Asset options trading.
Currently Active Assets on Macroaxis
Check out Western Asset Correlation, Western Asset Volatility and Western Asset Alpha and Beta module to complement your research on Western Asset. Note that the Western Asset Municipal information on this page should be used as a complementary analysis to other Western Asset's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
Western Asset technical mutual 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.