Loomis Sayles Correlations

LSBDX Fund

USD 11.89 0.02 0.17%

The current 90-days correlation between Loomis Sayles Bond and Loomis Sayles Inflation is 0.84 (i.e., Very 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

Average diversification

The correlation between Loomis Sayles Bond and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Bond 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 Bond. 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 unemployment.

Moving together with Loomis Mutual Fund

1.0	LSBRX	Loomis Sayles Bond	Pair Corr
0.73	LSFIX	Loomis Sayles Fixed	Pair Corr
0.68	LSHIX	Loomis Sayles Instit	Pair Corr
0.95	LBFAX	Loomis Sayles Bond	Pair Corr
0.67	PONAX	Pimco Income	Pair Corr
0.62	PONCX	Pimco Income	Pair Corr
0.71	PIPNX	Pimco Income	Pair Corr
0.67	PONRX	Pimco Income	Pair Corr
0.71	PONPX	Pimco Incme Fund	Pair Corr
0.71	PIINX	Pimco Income	Pair Corr
0.69	PIMIX	Pimco Income	Pair Corr
0.92	LBNDX	Lord Abbett Bond	Pair Corr
0.92	FSTAX	Fidelity Advisor Str	Pair Corr
0.93	FSRIX	Fidelity Advisor Str	Pair Corr
0.74	WRHIX	Ivy High Income	Pair Corr
0.71	WHIAX	Ivy High Income	Pair Corr
0.72	IHIFX	Ivy High Income	Pair Corr
0.72	IVHIX	Ivy High Income	Pair Corr
0.72	RIV	Rivernorth Opportunities	Pair Corr

Moving against Loomis Mutual Fund

0.67

CIOCX

Columbia Porate Income

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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