Loomis Sayles Correlations

LCGRX Fund

USD 27.77 0.43 1.57%

The current 90-days correlation between Loomis Sayles Small and Loomis Sayles Inflation is 0.13 (i.e., Average 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

Very poor diversification

The correlation between Loomis Sayles Small and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Small 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 Small. 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 metropolitan statistical area.

Moving together with Loomis Mutual Fund

0.99	LSCNX	Loomis Sayles Small	Pair Corr
0.99	LSCRX	Loomis Sayles Small	Pair Corr
0.7	LSHIX	Loomis Sayles Instit	Pair Corr
0.72	LSIOX	Loomis Sayles High	Pair Corr
0.99	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.99	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.91	LSSCX	Loomis Sayles Small	Pair Corr
1.0	LSSIX	Loomis Sayles Small	Pair Corr
1.0	LSSNX	Loomis Sayles Small	Pair Corr
0.99	LSVAX	Loomis Sayles Small	Pair Corr
0.96	VSGAX	Vanguard Small Cap	Pair Corr
0.96	VSGIX	Vanguard Small Cap	Pair Corr
0.96	VISGX	Vanguard Small Cap	Pair Corr
0.99	VEXPX	Vanguard Explorer	Pair Corr
0.99	VEXRX	Vanguard Explorer	Pair Corr
0.95	JGMIX	Janus Triton	Pair Corr
0.95	JGMRX	Janus Triton	Pair Corr
0.95	JGMAX	Janus Triton	Pair Corr
0.95	JGMCX	Janus Triton	Pair Corr
0.95	JGMNX	Janus Triton	Pair Corr
0.85	KMKAX	Kinetics Market Oppo Steady Growth	Pair Corr
0.84	KNPAX	Kinetics Paradigm Steady Growth	Pair Corr
0.71	SMPSX	Semiconductor Ultrasector	Pair Corr
0.85	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.86	LSHCX	Horizon Spin Off Steady Growth	Pair Corr

Moving against Loomis Mutual Fund

0.65	LSGBX	Loomis Sayles Global	Pair Corr
0.65	LSGLX	Loomis Sayles Global	Pair Corr
0.61	LSGNX	Loomis Sayles Global	Pair Corr
0.57	LSSAX	Loomis Sayles Securitized	Pair Corr
0.53	LSIGX	Loomis Sayles Investment	Pair Corr
0.48	LIPRX	Loomis Sayles Inflation	Pair Corr
0.46	LIPNX	Loomis Sayles Inflation	Pair Corr
0.46	LSGSX	Loomis Sayles Inflation	Pair Corr

Related Correlations Analysis

	LIPNX	LIPRX	LSBDX	LSBNX	LSBRX	LSCNX	LSCRX	LSFIX	LSGBX	LSHIX
LIPNX		1.0	0.51	0.52	0.54	-0.5	-0.5	0.86	0.91	-0.27	LIPNX
LIPRX	1.0		0.48	0.49	0.52	-0.52	-0.52	0.85	0.92	-0.3	LIPRX
LSBDX	0.51	0.48		0.96	1.0	0.11	0.11	0.73	0.19	0.68	LSBDX
LSBNX	0.52	0.49	0.96		0.96	0.07	0.07	0.81	0.27	0.61	LSBNX
LSBRX	0.54	0.52	1.0	0.96		0.08	0.08	0.76	0.23	0.64	LSBRX
LSCNX	-0.5	-0.52	0.11	0.07	0.08		1.0	-0.27	-0.65	0.62	LSCNX
LSCRX	-0.5	-0.52	0.11	0.07	0.08	1.0		-0.26	-0.65	0.62	LSCRX
LSFIX	0.86	0.85	0.73	0.81	0.76	-0.27	-0.26		0.75	0.08	LSFIX
LSGBX	0.91	0.92	0.19	0.27	0.23	-0.65	-0.65	0.75		-0.57	LSGBX
LSHIX	-0.27	-0.3	0.68	0.61	0.64	0.62	0.62	0.08	-0.57		LSHIX
	LIPNX	LIPRX	LSBDX	LSBNX	LSBRX	LSCNX	LSCRX	LSFIX	LSGBX	LSHIX

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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

LIPRX	+ 1.0	LIPNX
LSBRX	+ 1.0	LSBDX
LSCRX	+ 1.0	LSCNX
LSBNX	+ 0.96	LSBDX
LSBRX	+ 0.96	LSBNX
LSGBX	+ 0.92	LIPRX

High negative correlations

LSGBX	- 0.65	LSCRX
LSGBX	- 0.65	LSCNX
LSHIX	- 0.57	LSGBX
LSCRX	- 0.52	LIPRX
LSCNX	- 0.52	LIPRX
LSCRX	- 0.5	LIPNX

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
LIPNX	0.22	(0.03)	0.00	(0.85)	0.00	0.00	0.41	(0.42)	1.44
LIPRX	0.22	(0.03)	0.00	(0.88)	0.00	0.00	0.31	(0.51)	1.34
LSBDX	0.16	0.01	(0.53)	0.27	0.06	(0.22)	0.42	(0.25)	1.09
LSBNX	0.16	0.01	(0.52)	0.85	0.05	(0.21)	0.42	(0.25)	1.01
LSBRX	0.16	0.01	(0.52)	0.32	0.08	(0.22)	0.43	(0.25)	1.02
LSCNX	0.85	(0.02)	0.04	0.11	0.70	(1.06)	2.07	(1.25)	7.51
LSCRX	0.85	(0.02)	0.04	0.10	0.71	(1.06)	2.11	(1.26)	7.47
LSFIX	0.17	0.00	(0.55)	0.27	0.16	(0.20)	0.33	(0.32)	0.98
LSGBX	0.27	(0.05)	0.00	0.77	0.00	0.00	0.48	(0.55)	1.90
LSHIX	0.15	0.05	(0.34)	3.00	0.00	(0.25)	0.35	(0.17)	0.86

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