WATFX vs. SSAFX
Compare and contrast key facts about Western Asset Core Bond Fund (WATFX) and State Street Aggregate Bond Index Portfolio (SSAFX).
WATFX is managed by Franklin Templeton. It was launched on Sep 4, 1990. SSAFX is managed by State Street. It was launched on Sep 19, 2014.
Performance
WATFX vs. SSAFX - Performance Comparison
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WATFX vs. SSAFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WATFX Western Asset Core Bond Fund | -0.86% | 8.01% | 0.44% | 5.52% | -17.32% | -2.13% | 9.12% | 10.44% | -0.62% | 5.21% |
SSAFX State Street Aggregate Bond Index Portfolio | -0.18% | 6.81% | 1.34% | 5.61% | -13.30% | -1.72% | 978.57% | 8.69% | -0.12% | 3.38% |
Returns By Period
In the year-to-date period, WATFX achieves a -0.86% return, which is significantly lower than SSAFX's -0.18% return. Over the past 10 years, WATFX has underperformed SSAFX with an annualized return of 1.58%, while SSAFX has yielded a comparatively higher 27.88% annualized return.
WATFX
- 1D
- 0.47%
- 1M
- -2.58%
- YTD
- -0.86%
- 6M
- 0.34%
- 1Y
- 4.10%
- 3Y*
- 3.12%
- 5Y*
- -0.83%
- 10Y*
- 1.58%
SSAFX
- 1D
- 0.53%
- 1M
- -1.96%
- YTD
- -0.18%
- 6M
- 0.82%
- 1Y
- 4.12%
- 3Y*
- 3.42%
- 5Y*
- 0.15%
- 10Y*
- 27.88%
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WATFX vs. SSAFX - Expense Ratio Comparison
WATFX has a 0.46% expense ratio, which is higher than SSAFX's 0.02% expense ratio.
Return for Risk
WATFX vs. SSAFX — Risk / Return Rank
WATFX
SSAFX
WATFX vs. SSAFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Western Asset Core Bond Fund (WATFX) and State Street Aggregate Bond Index Portfolio (SSAFX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| WATFX | SSAFX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.01 | 1.04 | -0.03 |
Sortino ratioReturn per unit of downside risk | 1.45 | 1.49 | -0.04 |
Omega ratioGain probability vs. loss probability | 1.18 | 1.18 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 1.69 | 1.96 | -0.27 |
Martin ratioReturn relative to average drawdown | 5.08 | 5.43 | -0.35 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| WATFX | SSAFX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.01 | 1.04 | -0.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.12 | 0.02 | -0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.29 | 0.10 | +0.19 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.56 | 0.09 | +0.47 |
Correlation
The correlation between WATFX and SSAFX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
WATFX vs. SSAFX - Dividend Comparison
WATFX's dividend yield for the trailing twelve months is around 3.86%, less than SSAFX's 4.08% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
WATFX Western Asset Core Bond Fund | 3.86% | 4.15% | 4.48% | 3.35% | 2.39% | 2.05% | 3.90% | 3.62% | 2.92% | 2.34% | 2.51% | 2.74% |
SSAFX State Street Aggregate Bond Index Portfolio | 4.08% | 3.70% | 3.76% | 3.16% | 2.49% | 1.90% | 2.41% | 2.88% | 2.82% | 2.42% | 2.21% | 3.21% |
Drawdowns
WATFX vs. SSAFX - Drawdown Comparison
The maximum WATFX drawdown since its inception was -23.69%, which is greater than SSAFX's maximum drawdown of -18.74%. Use the drawdown chart below to compare losses from any high point for WATFX and SSAFX.
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Drawdown Indicators
| WATFX | SSAFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.69% | -18.74% | -4.95% |
Max Drawdown (1Y)Largest decline over 1 year | -3.04% | -2.52% | -0.52% |
Max Drawdown (5Y)Largest decline over 5 years | -23.26% | -18.10% | -5.16% |
Max Drawdown (10Y)Largest decline over 10 years | -23.69% | -18.74% | -4.95% |
Current DrawdownCurrent decline from peak | -8.17% | -3.20% | -4.97% |
Average DrawdownAverage peak-to-trough decline | -2.96% | -4.44% | +1.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.01% | 0.91% | +0.10% |
Volatility
WATFX vs. SSAFX - Volatility Comparison
Western Asset Core Bond Fund (WATFX) and State Street Aggregate Bond Index Portfolio (SSAFX) have volatilities of 1.58% and 1.60%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WATFX | SSAFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.58% | 1.60% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 2.61% | 2.50% | +0.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.64% | 4.20% | +0.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.80% | 5.92% | +0.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.52% | 277.46% | -271.94% |