EHI vs PAI: Correlation
Measured on weekly returns over the past three years, Western Asset Global High Income Fund Inc (EHI) and Western Asset Investment Grade Income Fund Inc. (PAI) carry a correlation of 0.62, a strong link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EHI and PAI?
On 3 years of weekly data the EHI/PAI correlation comes out at 0.62, strong. Little has changed lately, as the 1-year reading of 0.70 lands near the 3-year figure. The 5-year figure is 0.54, and annualized covariance runs at 71.2 %².
By 3-year correlation, PAI places #7 of the 15 assets tracked against EHI. Neither side won the trailing year by much: -0.6% against -0.6%.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
EHI vs PAI: side by side
| EHI (Western Asset Global High Income Fund Inc) | PAI (Western Asset Investment Grade Income Fund Inc.) | |
|---|---|---|
| 1-year return | -0.6% | -0.6% |
| 5-year return | -1.0% | -4.0% |
| Volatility (ann.) | 11.4% | 10.0% |
| Beta vs S&P 500 | 0.45 | 0.28 |
| Max drawdown (3Y) | -16.0% | -8.9% |
| Market cap | $0.2B | $0.1B |
| P/E (trailing) | 8.0 | 12.9 |
| Dividend yield | 14.66% | 2.65% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EHI | PAI |
|---|---|---|
| 2022 | -25.2% | -22.5% |
| 2023 | +19.2% | +9.1% |
| 2024 | +4.2% | +9.2% |
| 2025 | +9.1% | +5.4% |
| 2026 | -2.3% | -1.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EHI and PAI good diversifiers for each other?
Only partially. A correlation of 0.62 means EHI and PAI share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between EHI and PAI?
As of 2026-08-27, the correlation of weekly returns between EHI and PAI is 0.62 over 3 years, 0.70 over 1 year and 0.54 over 5 years.
Is PAI a good diversifier for EHI?
Only partially. A correlation of 0.62 means EHI and PAI share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.62 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
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Related comparisons
Hubs: EHI correlations · PAI correlations
