EHI vs WDI: Correlation
How closely do Western Asset Global High Income Fund Inc (EHI) and Western Asset Diversified Income Fund (WDI) trade together? Their weekly returns over three years give a correlation of 0.69, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EHI and WDI?
On 3 years of weekly data the EHI/WDI correlation comes out at 0.69, strong. Little has changed lately, as the 1-year reading of 0.64 lands near the 3-year figure. The 5-year figure is 0.57, and annualized covariance runs at 92.3 %².
Among the 15 assets we track against EHI, WDI ranks #5 by 3-year correlation. Twelve-month performance is nearly a tie, at -0.6% for EHI and -2.3% for WDI.
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 WDI: side by side
| EHI (Western Asset Global High Income Fund Inc) | WDI (Western Asset Diversified Income Fund) | |
|---|---|---|
| 1-year return | -0.6% | -2.3% |
| 5-year return | -1.0% | +14.7% |
| Volatility (ann.) | 11.4% | 11.7% |
| Beta vs S&P 500 | 0.45 | 0.46 |
| Max drawdown (3Y) | -16.0% | -14.1% |
| Market cap | $0.2B | $0.7B |
| P/E (trailing) | 8.0 | 9.3 |
| Dividend yield | 14.66% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EHI | WDI |
|---|---|---|
| 2022 | -25.2% | -23.3% |
| 2023 | +19.2% | +25.1% |
| 2024 | +4.2% | +13.9% |
| 2025 | +9.1% | +10.7% |
| 2026 | -2.3% | +0.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EHI and WDI good diversifiers for each other?
Somewhat, no more. With 0.69 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between EHI and WDI?
As of 2026-08-27, the correlation of weekly returns between EHI and WDI is 0.69 over 3 years, 0.64 over 1 year and 0.57 over 5 years.
Is WDI a good diversifier for EHI?
Somewhat, no more. With 0.69 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.69 mean?
A reading of 0.69 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/ehi-vs-wdi.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/ehi-vs-wdi/)
No key needed, free to use. Full endpoint list in the API documentation.
Related comparisons
Hubs: EHI correlations · WDI correlations
