Loomis Sayles Correlations

LIPRX Fund

USD 9.62 0.03 0.31%

The current 90-days correlation between Loomis Sayles Inflation and American Funds Inflation is 0.93 (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 0.05 (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 metropolitan statistical area.

Moving together with Loomis Mutual Fund

1.0	LIPNX	Loomis Sayles Inflation	Pair Corr
0.88	LSFIX	Loomis Sayles Fixed	Pair Corr
0.97	LSGBX	Loomis Sayles Global	Pair Corr
0.97	LSGNX	Loomis Sayles Global	Pair Corr
0.97	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
0.94	FLIBX	American Funds Inflation	Pair Corr
0.93	FIBLX	American Funds Inflation	Pair Corr
0.99	BFICX	American Funds Inflation	Pair Corr
0.99	BFIAX	American Funds Inflation	Pair Corr
0.98	BFIFX	American Funds Inflation	Pair Corr
1.0	PARRX	Real Return Fund	Pair Corr
0.99	PRLPX	Pimco Real Return	Pair Corr
0.82	BRUFX	Bruce Fund Bruce	Pair Corr

Moving against Loomis Mutual Fund

0.59	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.59	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.56	LSCNX	Loomis Sayles Small	Pair Corr
0.56	LSSCX	Loomis Sayles Small	Pair Corr
0.55	LSCRX	Loomis Sayles Small	Pair Corr
0.55	LSVAX	Loomis Sayles Small	Pair Corr
0.54	LSSNX	Loomis Sayles Small	Pair Corr
0.53	LSSIX	Loomis Sayles Small	Pair Corr
0.44	LSIOX	Loomis Sayles High	Pair Corr
0.43	LSHIX	Loomis Sayles Instit	Pair Corr
0.77	RYBKX	Banking Fund Class	Pair Corr
0.74	XGEIX	Guggenheim Energy Income	Pair Corr
0.64	FSKAX	Fidelity Total Market	Pair Corr
0.62	SPGSX	State Street Premier	Pair Corr
0.62	WWLAX	Westwood Largecap Value	Pair Corr
0.53	LCGRX	Loomis Sayles Small	Pair Corr
0.39	AMFFX	American Mutual	Pair Corr

Related Correlations Analysis

	BFIFX	PRIPX	GTIP	MDDCX	MCOAX
BFIFX		0.99	0.99	0.42	-0.37	BFIFX
PRIPX	0.99		1.0	0.35	-0.43	PRIPX
GTIP	0.99	1.0		0.36	-0.4	GTIP
MDDCX	0.42	0.35	0.36		0.14	MDDCX
MCOAX	-0.37	-0.43	-0.4	0.14		MCOAX
	BFIFX	PRIPX	GTIP	MDDCX	MCOAX

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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

GTIP	+ 1.0	PRIPX
PRIPX	+ 0.99	BFIFX
GTIP	+ 0.99	BFIFX
MDDCX	+ 0.42	BFIFX
MDDCX	+ 0.36	GTIP
MDDCX	+ 0.35	PRIPX

High negative correlations

MCOAX	- 0.43	PRIPX
MCOAX	- 0.4	GTIP
MCOAX	- 0.37	BFIFX

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
BFIFX	0.20	(0.02)	0.00	(8.37)	0.00	0.00	0.32	(0.43)	1.26
PRIPX	0.22	(0.03)	0.00	(0.89)	0.00	0.00	0.37	(0.47)	1.12
GTIP	0.20	(0.03)	0.00	(1.91)	0.00	0.00	0.34	(0.41)	1.12
MDDCX	0.76	(0.11)	0.00	(0.17)	0.00	0.00	1.56	(2.04)	5.02
MCOAX	0.34	0.01	(0.12)	0.14	0.32	(0.37)	0.77	(0.62)	1.85

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