Loomis Sayles Correlations

LSGBX Fund

USD 14.40 0.01 0.07%

The current 90-days correlation between Loomis Sayles Global and Loomis Sayles Bond 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 Global and DJI is -0.17 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Global 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 Global. 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 bureau of labor statistics.

Moving together with Loomis Mutual Fund

0.91	LIPNX	Loomis Sayles Inflation	Pair Corr
0.92	LIPRX	Loomis Sayles Inflation	Pair Corr
0.75	LSFIX	Loomis Sayles Fixed	Pair Corr
1.0	LSGLX	Loomis Sayles Global	Pair Corr
0.91	LSGSX	Loomis Sayles Inflation	Pair Corr
0.94	LSIGX	Loomis Sayles Investment	Pair Corr
0.96	LSSAX	Loomis Sayles Securitized	Pair Corr
0.99	FGBRX	Templeton Global Bond	Pair Corr
0.99	FBNRX	Templeton Global Bond	Pair Corr
0.98	FCWBX	Capital World Bond	Pair Corr
0.98	RCWBX	Capital World Bond	Pair Corr
1.0	CCWFX	Capital World Bond	Pair Corr
1.0	CCWCX	Capital World Bond	Pair Corr
1.0	RCWEX	Capital World Bond	Pair Corr
1.0	CCWEX	Capital World Bond	Pair Corr
1.0	RCWCX	Capital World Bond	Pair Corr
1.0	RCWGX	Capital World Bond	Pair Corr

Moving against Loomis Mutual Fund

0.7	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.7	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.65	LSCNX	Loomis Sayles Small	Pair Corr
0.65	LSCRX	Loomis Sayles Small	Pair Corr
0.65	LSSCX	Loomis Sayles Small	Pair Corr
0.65	LSSIX	Loomis Sayles Small	Pair Corr
0.61	LSIOX	Loomis Sayles High	Pair Corr
0.57	LSHIX	Loomis Sayles Instit	Pair Corr
0.91	KNPAX	Kinetics Paradigm Steady Growth	Pair Corr
0.89	LSHCX	Horizon Spin Off Steady Growth	Pair Corr
0.89	KMKAX	Kinetics Market Oppo Steady Growth	Pair Corr
0.89	KNPYX	Kinetics Paradigm Steady Growth	Pair Corr
0.71	SMPSX	Semiconductor Ultrasector	Pair Corr
0.65	LSSNX	Loomis Sayles Small	Pair Corr
0.65	LSVAX	Loomis Sayles Small	Pair Corr
0.65	LCGRX	Loomis Sayles Small	Pair Corr
0.91	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.89	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr

Related Correlations Analysis

	LSBRX	RPIBX	WTIBX	BJBHX
LSBRX		0.23	0.37	0.67	LSBRX
RPIBX	0.23		0.95	-0.47	RPIBX
WTIBX	0.37	0.95		-0.35	WTIBX
BJBHX	0.67	-0.47	-0.35		BJBHX
	LSBRX	RPIBX	WTIBX	BJBHX

Click cells to compare fundamentals

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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

WTIBX	+ 0.95	RPIBX
BJBHX	+ 0.67	LSBRX
WTIBX	+ 0.37	LSBRX
RPIBX	+ 0.23	LSBRX

High negative correlations

BJBHX	- 0.47	RPIBX
BJBHX	- 0.35	WTIBX

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
LSBRX	0.16	0.01	(0.52)	0.32	0.08	(0.22)	0.43	(0.25)	1.02
RPIBX	0.33	(0.09)	0.00	(1.63)	0.00	0.00	0.55	(0.69)	2.39
WTIBX	0.21	(0.05)	0.00	(0.61)	0.00	0.00	0.42	(0.63)	1.28
BJBHX	0.09	0.02	(0.55)	1.08	0.00	(0.17)	0.26	(0.13)	0.64

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