Loomis Sayles Correlations

LSGSX Fund

USD 9.64 0.04 0.41%

The current 90-days correlation between Loomis Sayles Inflation and Loomis Sayles Limited is 0.74 (i.e., Poor diversification). The correlation of Loomis Sayles 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Loomis Sayles Correlation With Market

Good diversification

The correlation between Loomis Sayles Inflation and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Inflation and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Loomis Sayles Inflation. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with Loomis Mutual Fund

0.99	VIPSX	Vanguard Inflation-protec	Pair Corr
0.67	VIPIX	Vanguard Inflation-protec	Pair Corr
0.99	VAIPX	Vanguard Inflation-protec	Pair Corr
0.72	FLIBX	American Funds Inflation	Pair Corr
0.96	FIBLX	American Funds Inflation	Pair Corr
0.93	BFICX	American Funds Inflation	Pair Corr
0.95	BFIAX	American Funds Inflation	Pair Corr
0.96	BFIFX	American Funds Inflation	Pair Corr
0.98	PARRX	Real Return Fund	Pair Corr
0.98	PRLPX	Pimco Real Return	Pair Corr

Moving against Loomis Mutual Fund

0.44	MCD	McDonalds	Pair Corr
0.41	WMT	Walmart Sell-off Trend	Pair Corr

Related Correlations Analysis

	LGANX	LGBCX	LGBBX	LGBNX	YIDPX	LGMAX	LGMCX	LGMNX	LGRCX
LGANX		0.95	0.0	0.95	0.0	0.65	0.65	0.65	0.67	LGANX
LGBCX	0.95		0.0	1.0	0.0	0.71	0.7	0.71	0.71	LGBCX
LGBBX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	LGBBX
LGBNX	0.95	1.0	0.0		0.0	0.74	0.73	0.74	0.75	LGBNX
YIDPX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	YIDPX
LGMAX	0.65	0.71	0.0	0.74	0.0		1.0	1.0	0.98	LGMAX
LGMCX	0.65	0.7	0.0	0.73	0.0	1.0		1.0	0.98	LGMCX
LGMNX	0.65	0.71	0.0	0.74	0.0	1.0	1.0		0.98	LGMNX
LGRCX	0.67	0.71	0.0	0.75	0.0	0.98	0.98	0.98		LGRCX
	LGANX	LGBCX	LGBBX	LGBNX	YIDPX	LGMAX	LGMCX	LGMNX	LGRCX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

LGBNX	+ 1.0	LGBCX
LGMCX	+ 1.0	LGMAX
LGMNX	+ 1.0	LGMAX
LGMNX	+ 1.0	LGMCX
LGRCX	+ 0.98	LGMAX
LGRCX	+ 0.98	LGMCX

High negative correlations

LGRCX	- 0.0	YIDPX
LGMNX	- 0.0	YIDPX
LGMCX	- 0.0	YIDPX
LGMAX	- 0.0	YIDPX
YIDPX	- 0.0	LGBNX
LGRCX	- 0.0	LGBBX

Risk-Adjusted Indicators

There is a big difference between Loomis Mutual Fund performing well and Loomis Sayles Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Loomis Sayles' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LGANX	0.11	0.01	(1.35)	(0.72)	0.00	(0.15)	0.19	(0.18)	0.83
LGBCX	0.21	0.01	(0.64)	0.29	0.17	(0.26)	0.42	(0.41)	1.16
LGBBX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
LGBNX	0.21	0.01	(0.67)	0.43	0.14	(0.25)	0.42	(0.41)	1.14
YIDPX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
LGMAX	0.39	0.03	(0.14)	0.26	0.28	(0.43)	1.17	(0.72)	3.56
LGMCX	0.40	0.03	(0.13)	0.28	0.27	(0.44)	1.14	(0.71)	3.57
LGMNX	0.39	0.03	(0.14)	0.27	0.27	(0.43)	1.15	(0.73)	3.59
LGRCX	0.74	0.18	0.16	0.47	0.26	(0.97)	1.57	(1.05)	5.43

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