Loomis Sayles Correlations

LSFIX Fund

USD 11.99 0.03 0.25%

The current 90-days correlation between Loomis Sayles Fixed and Tax Exempt High Yield is 0.13 (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

Average diversification

The correlation between Loomis Sayles Fixed and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Fixed 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 Fixed. 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 gross domestic product.

Moving together with Loomis Mutual Fund

0.69	LGMAX	Loomis Sayles Global	Pair Corr
0.68	LGMCX	Loomis Sayles Global	Pair Corr
0.69	NECZX	Loomis Sayles Strategic	Pair Corr
0.69	NEFZX	Loomis Sayles Strategic	Pair Corr
0.61	NEHYX	Loomis Sayles High	Pair Corr
0.7	NEZYX	Loomis Sayles Strategic	Pair Corr
0.69	LSBDX	Loomis Sayles Bond	Pair Corr
0.69	LSBNX	Loomis Sayles Bond	Pair Corr
0.9	LSBRX	Loomis Sayles Bond	Pair Corr
0.64	LSDIX	Loomis Sayles Interm	Pair Corr
0.63	LSCNX	Loomis Sayles Small	Pair Corr

Moving against Loomis Mutual Fund

0.49	LIPNX	Loomis Sayles Inflation	Pair Corr
0.31	LSAGX	Loomis Sayles Global	Pair Corr
0.31	LSGGX	Loomis Sayles Global	Pair Corr

Related Correlations Analysis

	RTHAX	IPIMX	MZHIX	FHYIX	NHFIX	DMHIX
RTHAX		0.31	0.45	0.95	0.42	0.93	RTHAX
IPIMX	0.31		0.91	0.44	0.9	0.42	IPIMX
MZHIX	0.45	0.91		0.56	0.96	0.55	MZHIX
FHYIX	0.95	0.44	0.56		0.53	0.96	FHYIX
NHFIX	0.42	0.9	0.96	0.53		0.51	NHFIX
DMHIX	0.93	0.42	0.55	0.96	0.51		DMHIX
	RTHAX	IPIMX	MZHIX	FHYIX	NHFIX	DMHIX

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
RTHAX	0.06	0.01	(0.40)	3.17	0.00	(0.13)	0.21	(0.10)	0.42
IPIMX	0.12	0.01	(0.34)	0.36	0.00	(0.19)	0.34	(0.23)	0.80
MZHIX	0.12	0.00	(0.26)	0.07	0.06	(0.17)	0.25	(0.25)	1.00
FHYIX	0.08	0.01	(0.38)	(1.68)	0.00	(0.16)	0.22	(0.22)	0.55
NHFIX	0.14	0.00	(0.31)	0.12	0.00	(0.28)	0.33	(0.17)	0.83
DMHIX	0.10	0.02	(0.31)	(1.34)	0.00	(0.16)	0.30	(0.10)	0.91

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