Loomis Sayles Correlations

LSGSX Fund

USD 9.67 0.02 0.21%

The current 90-days correlation between Loomis Sayles Inflation and Technology Ultrasector Profund is 0.04 (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 Inflation and DJI is -0.12 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Inflation 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 Inflation. 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

0.76	LGBCX	Loomis Sayles Investment	Pair Corr
0.99	LIPNX	Loomis Sayles Inflation	Pair Corr
0.98	LIPRX	Loomis Sayles Inflation	Pair Corr
0.62	NEFRX	Loomis Sayles E	Pair Corr
0.63	LSGBX	Loomis Sayles Global	Pair Corr
0.66	LSGNX	Loomis Sayles Global	Pair Corr
0.67	LSGLX	Loomis Sayles Global	Pair Corr
0.94	VIPIX	Vanguard Inflation-protec	Pair Corr
0.96	VAIPX	Vanguard Inflation-protec	Pair Corr

Related Correlations Analysis

	MTCCX	RAGTX	JNGTX	PGKCX	ICTTX	ICTEX	PTTEX	TEPIX
MTCCX		0.62	0.82	0.7	0.72	0.72	0.8	0.42	MTCCX
RAGTX	0.62		0.66	0.91	0.45	0.46	0.77	0.94	RAGTX
JNGTX	0.82	0.66		0.72	0.84	0.85	0.75	0.57	JNGTX
PGKCX	0.7	0.91	0.72		0.51	0.52	0.92	0.89	PGKCX
ICTTX	0.72	0.45	0.84	0.51		1.0	0.55	0.33	ICTTX
ICTEX	0.72	0.46	0.85	0.52	1.0		0.56	0.35	ICTEX
PTTEX	0.8	0.77	0.75	0.92	0.55	0.56		0.7	PTTEX
TEPIX	0.42	0.94	0.57	0.89	0.33	0.35	0.7		TEPIX
	MTCCX	RAGTX	JNGTX	PGKCX	ICTTX	ICTEX	PTTEX	TEPIX

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
MTCCX	1.47	0.49	0.29	1.62	0.98	(1.74)	1.88	(2.68)	37.23
RAGTX	1.09	(0.01)	(0.01)	0.05	1.61	(0.99)	2.23	(2.85)	7.15
JNGTX	1.19	0.20	0.12	0.26	1.23	(1.27)	2.15	(2.59)	19.25
PGKCX	1.06	0.00	0.00	0.07	1.48	(1.00)	1.84	(2.74)	11.68
ICTTX	1.47	0.44	0.40	0.35	0.68	(1.96)	1.80	(2.05)	35.23
ICTEX	1.37	0.37	0.33	0.32	0.77	(1.80)	1.77	(2.01)	30.28
PTTEX	1.12	0.12	0.08	0.18	1.29	(1.26)	1.93	(2.66)	16.23
TEPIX	1.48	(0.05)	0.00	0.04	2.38	(1.23)	2.80	(3.96)	10.77

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Loomis Sayles Correlations

Loomis Sayles Correlation With Market

Good diversification

Moving together with Loomis Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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