Loomis Sayles Correlations

LSFNX Fund

USD 8.19 0.01 0.12%

The current 90-days correlation between Loomis Sayles Senior and Nasdaq 100 2x Strategy is -0.02 (i.e., Good 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 Senior and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Senior 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 Senior. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Loomis Mutual Fund

0.9	OOSYX	Oppenheimer Senior	Pair Corr
0.9	OOSIX	Oppenheimer Senior	Pair Corr
0.88	LFRIX	Floating Rate	Pair Corr
0.87	LARCX	Floating Rate	Pair Corr
0.88	LFRRX	Lord Abbett Inv	Pair Corr
0.88	LFRFX	Floating Rate	Pair Corr
0.85	LRRRX	Floating Rate	Pair Corr
0.87	LRRTX	Floating Rate	Pair Corr
0.88	LRRVX	Floating Rate	Pair Corr
0.88	LRRKX	Floating Rate	Pair Corr

Moving against Loomis Mutual Fund

0.44	HLDRX	Hartford Emerging	Pair Corr
0.44	HLDCX	Hartford Emerging	Pair Corr
0.4	HLDAX	Hartford Emerging	Pair Corr
0.39	HLDIX	Hartford Emerging	Pair Corr
0.32	MGGAX	Mirova Global Green	Pair Corr
0.31	MGGYX	Mirova Global Green	Pair Corr
0.78	HPQ	HP Inc	Pair Corr
0.65	JNJ	Johnson Johnson	Pair Corr
0.64	INTC	Intel	Pair Corr
0.59	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.56	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr
0.54	TRV	The Travelers Companies	Pair Corr
0.46	MCD	McDonalds Earnings Call This Week	Pair Corr
0.41	HLDTX	Hartford Emerging	Pair Corr

Related Correlations Analysis

	RYVYX	BXDCX	CBHIX	IHIAX	QMNNX	IGIEX	LOTCX
RYVYX		-0.08	-0.35	0.54	-0.16	0.77	0.18	RYVYX
BXDCX	-0.08		0.6	0.39	0.73	0.05	0.5	BXDCX
CBHIX	-0.35	0.6		-0.2	0.82	-0.48	0.58	CBHIX
IHIAX	0.54	0.39	-0.2		0.05	0.79	0.04	IHIAX
QMNNX	-0.16	0.73	0.82	0.05		-0.27	0.71	QMNNX
IGIEX	0.77	0.05	-0.48	0.79	-0.27		-0.03	IGIEX
LOTCX	0.18	0.5	0.58	0.04	0.71	-0.03		LOTCX
	RYVYX	BXDCX	CBHIX	IHIAX	QMNNX	IGIEX	LOTCX

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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

QMNNX	+ 0.82	CBHIX
IGIEX	+ 0.79	IHIAX
IGIEX	+ 0.77	RYVYX
QMNNX	+ 0.73	BXDCX
LOTCX	+ 0.71	QMNNX
CBHIX	+ 0.6	BXDCX

High negative correlations

IGIEX	- 0.48	CBHIX
CBHIX	- 0.35	RYVYX
IGIEX	- 0.27	QMNNX
IHIAX	- 0.2	CBHIX
QMNNX	- 0.16	RYVYX
BXDCX	- 0.08	RYVYX

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
RYVYX	1.89	0.00	0.02	0.09	2.63	(1.98)	3.33	(4.83)	12.68
BXDCX	0.08	0.00	(0.69)	0.00	0.00	(0.17)	0.33	(0.11)	0.54
CBHIX	0.19	0.01	(0.31)	(0.60)	0.15	(0.24)	0.36	(0.36)	1.30
IHIAX	0.19	0.01	(0.25)	0.30	0.11	(0.26)	0.51	(0.39)	1.55
QMNNX	0.35	0.12	0.10	1.04	0.00	(0.46)	0.72	(0.50)	2.31
IGIEX	0.24	(0.01)	(0.22)	0.01	0.30	(0.30)	0.48	(0.49)	2.17
LOTCX	0.46	0.05	(0.02)	0.31	0.47	(0.55)	0.78	(0.87)	3.77

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