Loomis Sayles Correlations

LIPNX Fund

USD 9.58 0.01 0.10%

The current 90-days correlation between Loomis Sayles Inflation and Loomis Sayles Inflation is 0.97 (i.e., Almost no 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

Significant diversification

The correlation between Loomis Sayles Inflation and DJI is 0.04 (i.e., Significant 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 board of governors.

Moving together with Loomis Mutual Fund

1.0	LIPRX	Loomis Sayles Inflation	Pair Corr
0.89	LSFIX	Loomis Sayles Fixed	Pair Corr
0.95	LSGBX	Loomis Sayles Global	Pair Corr
0.95	LSGNX	Loomis Sayles Global	Pair Corr
0.95	LSGLX	Loomis Sayles Global	Pair Corr
1.0	LSGSX	Loomis Sayles Inflation	Pair Corr
0.98	LSIGX	Loomis Sayles Investment	Pair Corr
0.96	LSSAX	Loomis Sayles Securitized	Pair Corr
1.0	VIPSX	Vanguard Inflation-protec	Pair Corr
1.0	VIPIX	Vanguard Inflation-protec	Pair Corr
1.0	VAIPX	Vanguard Inflation-protec	Pair Corr
0.99	FLIBX	American Funds Inflation	Pair Corr
0.99	FIBLX	American Funds Inflation	Pair Corr
0.99	BFICX	American Funds Inflation	Pair Corr
0.99	BFIAX	American Funds Inflation	Pair Corr
0.99	BFIFX	American Funds Inflation	Pair Corr
1.0	PARRX	Real Return Fund	Pair Corr
0.99	PRLPX	Pimco Real Return	Pair Corr

Moving against Loomis Mutual Fund

0.57	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.57	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.53	LSCNX	Loomis Sayles Small	Pair Corr
0.53	LSSCX	Loomis Sayles Small	Pair Corr
0.52	LSCRX	Loomis Sayles Small	Pair Corr
0.52	LSVAX	Loomis Sayles Small	Pair Corr
0.5	LSSIX	Loomis Sayles Small	Pair Corr
0.5	LSSNX	Loomis Sayles Small	Pair Corr
0.35	LSIOX	Loomis Sayles High	Pair Corr
0.31	LSHIX	Loomis Sayles Instit	Pair Corr
0.66	FTCAX	Templeton Strained Bond	Pair Corr
0.6	PYARX	Payden Absolute Return	Pair Corr
0.58	PYAIX	Payden Absolute Return	Pair Corr
0.56	GMSMX	Guidemark Smallmid Cap	Pair Corr
0.54	USA	Liberty All Star	Pair Corr
0.53	IGOAX	Rational Inflation Growth	Pair Corr
0.5	LCGRX	Loomis Sayles Small	Pair Corr
0.47	CSDGX	Copeland Smid Cap	Pair Corr
0.42	BCAAX	Brandywineglobal C	Pair Corr

Related Correlations Analysis

	LIPNX	LIPRX	LSBDX	LSBNX	LSCNX	LSCRX	LSFIX	LSGBX	LSHIX	LSGLX
LIPNX		1.0	0.51	0.52	-0.53	-0.52	0.89	0.95	-0.31	0.95	LIPNX
LIPRX	1.0		0.48	0.49	-0.54	-0.54	0.88	0.96	-0.34	0.96	LIPRX
LSBDX	0.51	0.48		1.0	0.07	0.07	0.81	0.28	0.64	0.27	LSBDX
LSBNX	0.52	0.49	1.0		0.07	0.07	0.81	0.27	0.64	0.27	LSBNX
LSCNX	-0.53	-0.54	0.07	0.07		1.0	-0.27	-0.65	0.65	-0.66	LSCNX
LSCRX	-0.52	-0.54	0.07	0.07	1.0		-0.26	-0.65	0.64	-0.65	LSCRX
LSFIX	0.89	0.88	0.81	0.81	-0.27	-0.26		0.75	0.11	0.75	LSFIX
LSGBX	0.95	0.96	0.28	0.27	-0.65	-0.65	0.75		-0.55	1.0	LSGBX
LSHIX	-0.31	-0.34	0.64	0.64	0.65	0.64	0.11	-0.55		-0.55	LSHIX
LSGLX	0.95	0.96	0.27	0.27	-0.66	-0.65	0.75	1.0	-0.55		LSGLX
	LIPNX	LIPRX	LSBDX	LSBNX	LSCNX	LSCRX	LSFIX	LSGBX	LSHIX	LSGLX

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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
LSBNX	+ 1.0	LSBDX
LSCRX	+ 1.0	LSCNX
LSGLX	+ 1.0	LSGBX
LSGBX	+ 0.96	LIPRX
LSGLX	+ 0.96	LIPRX

High negative correlations

LSGLX	- 0.66	LSCNX
LSGLX	- 0.65	LSCRX
LSGBX	- 0.65	LSCRX
LSGBX	- 0.65	LSCNX
LSGLX	- 0.55	LSHIX
LSHIX	- 0.55	LSGBX

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	0.21	(0.02)	0.00	(1.51)	0.00	0.00	0.41	(0.42)	1.44
LIPRX	0.21	(0.03)	0.00	(1.11)	0.00	0.00	0.31	(0.51)	1.34
LSBDX	0.15	0.01	(0.52)	3.65	0.00	(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
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	0.03	(0.34)	0.37	0.00	(0.25)	0.35	(0.17)	0.86
LSGLX	0.27	(0.05)	0.00	0.81	0.00	0.00	0.49	(0.56)	1.95

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