Loomis Sayles Correlations

LSHIX Fund

USD 6.01 0.02 0.33%

The current 90-days correlation between Loomis Sayles Instit and Jhancock Short Duration is 0.24 (i.e., Modest 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

Significant diversification

The correlation between Loomis Sayles Institutional and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Institutional 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 Institutional. 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

0.68	LSCNX	Loomis Sayles Small	Pair Corr
0.67	LSCRX	Loomis Sayles Small	Pair Corr
0.98	LSIOX	Loomis Sayles High	Pair Corr
0.72	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.72	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.68	LSSCX	Loomis Sayles Small	Pair Corr
0.75	LSSIX	Loomis Sayles Small	Pair Corr
0.75	LSSNX	Loomis Sayles Small	Pair Corr
0.67	LSVAX	Loomis Sayles Small	Pair Corr
0.74	LCGRX	Loomis Sayles Small	Pair Corr
0.75	VWEAX	Vanguard High Yield	Pair Corr
0.74	VWEHX	Vanguard High Yield	Pair Corr
0.87	BHYCX	Blackrock Hi Yld	Pair Corr
0.91	BHYIX	Blackrock High Yield	Pair Corr
0.89	BHYSX	Blackrock Hi Yld	Pair Corr
0.91	BHYAX	Blackrock High Yield	Pair Corr
0.94	FAHHX	American Funds American	Pair Corr
0.95	FTAHX	American Funds American	Pair Corr
0.94	AHTFX	American High Income	Pair Corr
0.91	AHTCX	American High Income	Pair Corr

Moving against Loomis Mutual Fund

0.61	LSGBX	Loomis Sayles Global	Pair Corr
0.61	LSGLX	Loomis Sayles Global	Pair Corr
0.6	LSGNX	Loomis Sayles Global	Pair Corr
0.49	LSSAX	Loomis Sayles Securitized	Pair Corr
0.48	LSIGX	Loomis Sayles Investment	Pair Corr
0.43	LIPRX	Loomis Sayles Inflation	Pair Corr
0.4	LSGSX	Loomis Sayles Inflation	Pair Corr
0.39	LIPNX	Loomis Sayles Inflation	Pair Corr
0.56	GAAGX	Gmo Alternative Allo	Pair Corr
0.56	GPBFX	Gmo E Plus	Pair Corr
0.55	GAAKX	Gmo Alternative Allo	Pair Corr
0.46	GPMFX	Guidepath Managed Futures	Pair Corr
0.39	PQTAX	Pimco Trends Managed	Pair Corr
0.38	PQTIX	Aa Pimco Tr	Pair Corr
0.36	PQTNX	Pimco Trends Managed	Pair Corr

Related Correlations Analysis

	JSNIX	GTLSX	ASCLX	VSGBX	BSGAX	SUSAX	QLENX	FTFZX
JSNIX		0.02	0.11	0.62	0.91	0.5	0.03	0.85	JSNIX
GTLSX	0.02		0.8	-0.52	0.05	0.62	0.89	0.3	GTLSX
ASCLX	0.11	0.8		-0.58	0.14	0.73	0.83	0.36	ASCLX
VSGBX	0.62	-0.52	-0.58		0.63	-0.2	-0.53	0.33	VSGBX
BSGAX	0.91	0.05	0.14	0.63		0.6	0.09	0.77	BSGAX
SUSAX	0.5	0.62	0.73	-0.2	0.6		0.67	0.64	SUSAX
QLENX	0.03	0.89	0.83	-0.53	0.09	0.67		0.34	QLENX
FTFZX	0.85	0.3	0.36	0.33	0.77	0.64	0.34		FTFZX
	JSNIX	GTLSX	ASCLX	VSGBX	BSGAX	SUSAX	QLENX	FTFZX

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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

BSGAX	+ 0.91	JSNIX
QLENX	+ 0.89	GTLSX
FTFZX	+ 0.85	JSNIX
QLENX	+ 0.83	ASCLX
ASCLX	+ 0.8	GTLSX
FTFZX	+ 0.77	BSGAX

High negative correlations

VSGBX	- 0.58	ASCLX
QLENX	- 0.53	VSGBX
VSGBX	- 0.52	GTLSX
SUSAX	- 0.2	VSGBX

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
JSNIX	0.08	0.00	(0.90)	0.15	0.00	(0.17)	0.21	(0.11)	0.64
GTLSX	0.31	0.01	(0.17)	0.15	0.22	(0.36)	0.71	(0.50)	2.57
ASCLX	0.36	0.00	(0.09)	0.12	0.36	(0.40)	0.77	(0.93)	2.91
VSGBX	0.10	0.00	(0.80)	0.19	0.11	(0.14)	0.20	(0.20)	0.78
BSGAX	0.09	0.00	(0.76)	(0.12)	0.00	(0.16)	0.24	(0.12)	0.72
SUSAX	0.06	0.01	(1.07)	(0.62)	0.00	(0.15)	0.10	(0.10)	0.51
QLENX	0.31	0.08	(0.10)	(1.54)	0.20	(0.38)	0.76	(0.57)	2.17
FTFZX	0.07	0.00	(0.63)	0.31	0.00	(0.13)	0.19	(0.10)	0.68

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