Loomis Sayles Correlations

LSMIX Fund

USD 14.56 0.20 1.39%

The current 90-days correlation between Loomis Sayles Smallmid and Wells Fargo Advantage is 0.17 (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

Almost no diversification

The correlation between Loomis Sayles Smallmid and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Smallmid 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 Smallmid. 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

0.98	LSCNX	Loomis Sayles Small	Pair Corr
0.98	LSCRX	Loomis Sayles Small	Pair Corr
0.65	LSHIX	Loomis Sayles Instit	Pair Corr
0.68	LSIOX	Loomis Sayles High	Pair Corr
1.0	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.9	LSSCX	Loomis Sayles Small	Pair Corr
0.99	LSSIX	Loomis Sayles Small	Pair Corr
0.99	LSSNX	Loomis Sayles Small	Pair Corr
0.98	LSVAX	Loomis Sayles Small	Pair Corr
0.99	LCGRX	Loomis Sayles Small	Pair Corr
0.93	PAMCX	T Rowe Price	Pair Corr
0.85	RRMGX	T Rowe Price	Pair Corr
0.86	TRQZX	T Rowe Price	Pair Corr
0.85	RPMGX	T Rowe Price	Pair Corr
0.9	PRJIX	T Rowe Price	Pair Corr
0.95	PRNHX	T Rowe Price	Pair Corr
0.9	TRUZX	T Rowe Price	Pair Corr
0.9	PCBIX	Midcap Fund Institutional	Pair Corr
0.84	PEMGX	Midcap Fund Class	Pair Corr
0.84	PMBCX	Midcap Fund Class	Pair Corr

Moving against Loomis Mutual Fund

0.7	LSGBX	Loomis Sayles Global	Pair Corr
0.7	LSGLX	Loomis Sayles Global	Pair Corr
0.67	LSGNX	Loomis Sayles Global	Pair Corr
0.64	LSSAX	Loomis Sayles Securitized	Pair Corr
0.6	LSIGX	Loomis Sayles Investment	Pair Corr
0.56	LIPRX	Loomis Sayles Inflation	Pair Corr
0.53	LIPNX	Loomis Sayles Inflation	Pair Corr
0.53	LSGSX	Loomis Sayles Inflation	Pair Corr
0.32	LSFIX	Loomis Sayles Fixed	Pair Corr
0.51	LIIAX	Columbia Porate Income	Pair Corr
0.51	CIFRX	Columbia Porate Income	Pair Corr
0.5	SRINX	Columbia Porate Income	Pair Corr

Related Correlations Analysis

	EKWDX	INIVX	FRGOX	SPPIX	OGMCX	EKWCX	OCMAX
EKWDX		0.99	0.98	-0.93	0.97	1.0	0.93	EKWDX
INIVX	0.99		0.99	-0.9	0.98	0.99	0.9	INIVX
FRGOX	0.98	0.99		-0.91	0.99	0.98	0.93	FRGOX
SPPIX	-0.93	-0.9	-0.91		-0.89	-0.94	-0.96	SPPIX
OGMCX	0.97	0.98	0.99	-0.89		0.97	0.92	OGMCX
EKWCX	1.0	0.99	0.98	-0.94	0.97		0.93	EKWCX
OCMAX	0.93	0.9	0.93	-0.96	0.92	0.93		OCMAX
	EKWDX	INIVX	FRGOX	SPPIX	OGMCX	EKWCX	OCMAX

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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

EKWCX	+ 1.0	EKWDX
INIVX	+ 0.99	EKWDX
FRGOX	+ 0.99	INIVX
EKWCX	+ 0.99	INIVX
OGMCX	+ 0.99	FRGOX
FRGOX	+ 0.98	EKWDX

High negative correlations

OCMAX	- 0.96	SPPIX
EKWCX	- 0.94	SPPIX
SPPIX	- 0.93	EKWDX
SPPIX	- 0.91	FRGOX
SPPIX	- 0.9	INIVX
OGMCX	- 0.89	SPPIX

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
EKWDX	1.31	0.04	(0.03)	0.28	1.63	(1.46)	2.61	(2.83)	9.85
INIVX	1.38	0.01	(0.04)	0.16	1.71	(1.49)	2.66	(2.65)	9.92
FRGOX	1.43	(0.02)	(0.04)	0.08	1.76	(1.53)	3.13	(3.01)	9.03
SPPIX	1.37	0.07	(0.05)	(0.13)	1.72	(1.50)	3.14	(2.31)	10.50
OGMCX	1.42	0.00	(0.03)	0.12	1.66	(1.54)	2.67	(2.79)	8.66
EKWCX	1.31	0.03	(0.04)	0.27	1.64	(1.46)	2.62	(2.84)	9.87
OCMAX	1.36	(0.06)	0.00	(0.06)	0.00	0.00	3.44	(2.89)	10.91

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