Loomis Sayles Correlations

LGMAX Fund

USD 25.41 0.09 0.36%

The current 90-days correlation between Loomis Sayles Global and Loomis Sayles Global is 1.0 (i.e., No risk reduction). 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

Modest diversification

The correlation between Loomis Sayles Global and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Global 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 Global. 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 nation.

Moving together with Loomis Mutual Fund

0.9	NOANX	Natixis Oakmark	Pair Corr
0.8	LGBCX	Loomis Sayles Investment	Pair Corr
0.74	LGBNX	Loomis Sayles Investment	Pair Corr
1.0	LGMCX	Loomis Sayles Global	Pair Corr
1.0	LGMNX	Loomis Sayles Global	Pair Corr
0.9	LGRCX	Loomis Sayles Growth	Pair Corr
0.81	LGRNX	Loomis Sayles Growth	Pair Corr
0.85	LGRRX	Loomis Sayles Growth	Pair Corr
0.9	VNVCX	Vaughan Nelson Value	Pair Corr
0.91	VNVAX	Vaughan Nelson Value	Pair Corr
0.92	VNVNX	Vaughan Nelson Value	Pair Corr
0.92	VNVYX	Vaughan Nelson Value	Pair Corr
0.77	LIGAX	Loomis Sayles Investment	Pair Corr
0.76	LIGRX	Loomis Sayles Investment	Pair Corr
0.93	NRCFX	Aew Real Estate	Pair Corr
0.93	NRFAX	Aew Real Estate	Pair Corr
0.93	NRFNX	Aew Real Estate	Pair Corr
0.93	NRFYX	Aew Real Estate	Pair Corr
0.91	NSFLX	Natixis Sustainable	Pair Corr
0.91	NSFKX	Natixis Sustainable	Pair Corr
0.9	NSFJX	Natixis Sustainable	Pair Corr

Moving against Loomis Mutual Fund

0.41	AMFNX	Asg Managed Futures	Pair Corr
0.38	AMFAX	Asg Managed Futures	Pair Corr

Related Correlations Analysis

	LSWWX	NEFSX	LGMCX	LGRRX	CBLAX
LSWWX		0.92	1.0	0.85	0.86	LSWWX
NEFSX	0.92		0.92	0.87	0.76	NEFSX
LGMCX	1.0	0.92		0.84	0.86	LGMCX
LGRRX	0.85	0.87	0.84		0.57	LGRRX
CBLAX	0.86	0.76	0.86	0.57		CBLAX
	LSWWX	NEFSX	LGMCX	LGRRX	CBLAX

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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	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LSWWX	0.57	(0.07)	(0.17)	0.00	0.00	0.90	(0.90)	8.23
NEFSX	0.70	(0.02)	(0.06)	0.00	0.00	1.30	(1.27)	6.78
LGMCX	0.57	(0.08)	(0.19)	0.00	0.00	0.92	(0.87)	8.50
LGRRX	0.96	0.00	0.01	2.00	(0.89)	1.71	(1.78)	11.53
CBLAX	0.49	(0.06)	(0.14)	0.00	0.00	0.71	(0.94)	6.20

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