Loomis Sayles Correlations

LSDRX Fund

USD 9.66 0.01 0.10%

The current 90-days correlation between Loomis Sayles Interm and Inverse Government Long is 0.01 (i.e., Significant 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

Good diversification

The correlation between Loomis Sayles Intermediate and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Intermediate 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 Intermediate. 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 persons.

Moving together with Loomis Mutual Fund

0.89	NECZX	Loomis Sayles Strategic	Pair Corr
0.84	NECLX	Loomis Sayles Limited	Pair Corr
0.79	NEFHX	Loomis Sayles High	Pair Corr
0.88	NEFZX	Loomis Sayles Strategic	Pair Corr
0.81	NEHYX	Loomis Sayles High	Pair Corr
0.82	NELYX	Loomis Sayles Limited	Pair Corr
0.73	LSHIX	Loomis Sayles Instit	Pair Corr

Moving against Loomis Mutual Fund

0.56	LIPNX	Loomis Sayles Inflation	Pair Corr
0.36	LSGSX	Loomis Sayles Inflation	Pair Corr

Related Correlations Analysis

	RYAQX	DPIGX	UGSDX	FCSCX	SSAGX	USGFX	FICMX
RYAQX		0.63	0.75	0.9	0.86	0.09	0.07	RYAQX
DPIGX	0.63		0.6	0.86	0.82	0.61	0.72	DPIGX
UGSDX	0.75	0.6		0.78	0.74	0.16	0.11	UGSDX
FCSCX	0.9	0.86	0.78		0.91	0.35	0.4	FCSCX
SSAGX	0.86	0.82	0.74	0.91		0.38	0.45	SSAGX
USGFX	0.09	0.61	0.16	0.35	0.38		0.64	USGFX
FICMX	0.07	0.72	0.11	0.4	0.45	0.64		FICMX
	RYAQX	DPIGX	UGSDX	FCSCX	SSAGX	USGFX	FICMX

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
RYAQX	0.40	0.04	(0.12)	(0.15)	0.44	(0.43)	0.98	(0.62)	1.98
DPIGX	0.08	0.00	(0.69)	(0.78)	0.00	(0.13)	0.21	(0.10)	0.52
UGSDX	0.02	0.00	0.00	0.27	0.00	0.00	0.00	0.00	0.52
FCSCX	0.04	0.00	(0.57)	(0.01)	0.00	(0.18)	0.13	(0.13)	0.53
SSAGX	0.05	0.01	0.00	(2.69)	0.00	0.00	0.10	(0.10)	0.51
USGFX	0.13	0.00	(0.43)	0.02	0.12	(0.16)	0.33	(0.25)	0.91
FICMX	0.17	0.01	(0.30)	0.20	0.13	(0.22)	0.33	(0.33)	1.10

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