Loomis Sayles Correlations

LSBNX Fund

USD 11.91 0.03 0.25%

The current 90-days correlation between Loomis Sayles Bond and Mid Cap Value Profund is 0.19 (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

Significant diversification

The correlation between Loomis Sayles Bond and DJI is 0.06 (i.e., Significant 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 board of governors.

Moving together with Loomis Mutual Fund

1.0	LSBDX	Loomis Sayles Bond	Pair Corr
1.0	LSBRX	Loomis Sayles Bond	Pair Corr
0.8	LSFIX	Loomis Sayles Fixed	Pair Corr
1.0	LBFAX	Loomis Sayles Bond	Pair Corr
0.66	PONAX	Pimco Income	Pair Corr
0.62	PONCX	Pimco Income	Pair Corr
0.7	PIPNX	Pimco Income	Pair Corr
0.66	PONRX	Pimco Income	Pair Corr
0.7	PONPX	Pimco Incme Fund	Pair Corr
0.7	PIINX	Pimco Income	Pair Corr
0.68	PIMIX	Pimco Income	Pair Corr
0.89	LBNDX	Lord Abbett Bond	Pair Corr
0.88	FSTAX	Fidelity Advisor Str	Pair Corr
0.89	FSRIX	Fidelity Advisor Str	Pair Corr
0.63	WRHIX	Ivy High Income	Pair Corr
0.61	IHIFX	Ivy High Income	Pair Corr

Moving against Loomis Mutual Fund

0.66

CIOCX

Columbia Porate Income

Pair Corr

Related Correlations Analysis

	MLPSX	BPSCX	HFMDX	MAVKX	QRSVX	VISVX
MLPSX		0.92	0.92	0.96	0.95	0.95	MLPSX
BPSCX	0.92		0.9	0.93	0.98	0.98	BPSCX
HFMDX	0.92	0.9		0.83	0.94	0.96	HFMDX
MAVKX	0.96	0.93	0.83		0.93	0.91	MAVKX
QRSVX	0.95	0.98	0.94	0.93		0.99	QRSVX
VISVX	0.95	0.98	0.96	0.91	0.99		VISVX
	MLPSX	BPSCX	HFMDX	MAVKX	QRSVX	VISVX

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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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MLPSX	0.70	0.13	0.03	1.56	0.59	(0.75)	1.65	(1.39)	5.59
BPSCX	0.85	(0.03)	0.02	0.10	0.76	(1.05)	1.77	(1.26)	7.51
HFMDX	0.93	0.02	0.05	0.14	0.98	(1.07)	2.34	(1.56)	5.63
MAVKX	0.86	0.12	0.02	0.98	0.77	(0.96)	1.97	(1.39)	7.83
QRSVX	0.78	(0.01)	0.02	0.11	0.67	(0.89)	1.89	(1.28)	6.35
VISVX	0.73	(0.01)	0.02	0.12	0.64	(0.81)	1.65	(1.35)	5.74

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