Loomis Sayles Correlations

LSSCX Fund

USD 26.28 0.43 1.61%

The current 90-days correlation between Loomis Sayles Small and Loomis Sayles Small is 0.14 (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

Significant diversification

The correlation between Loomis Sayles Small and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Small 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 Small. 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 main economic indicators.

Moving together with Loomis Mutual Fund

0.92	LSCNX	Loomis Sayles Small	Pair Corr
0.92	LSCRX	Loomis Sayles Small	Pair Corr
0.63	LSHIX	Loomis Sayles Instit	Pair Corr
0.66	LSIOX	Loomis Sayles High	Pair Corr
0.9	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.9	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.91	LSSIX	Loomis Sayles Small	Pair Corr
0.91	LSSNX	Loomis Sayles Small	Pair Corr
0.92	LSVAX	Loomis Sayles Small	Pair Corr
0.91	LCGRX	Loomis Sayles Small	Pair Corr
0.94	VSMAX	Vanguard Small Cap	Pair Corr
0.94	VSCIX	Vanguard Small Cap	Pair Corr
0.94	VSCPX	Vanguard Small Cap	Pair Corr
0.88	NAESX	Vanguard Small Cap	Pair Corr
0.97	FSSNX	Fidelity Small Cap	Pair Corr
0.98	DFSTX	Us Small Cap	Pair Corr
0.89	PASVX	T Rowe Price	Pair Corr
0.97	PRVIX	T Rowe Price	Pair Corr
0.97	TRZVX	T Rowe Price	Pair Corr
0.89	PRSVX	T Rowe Price	Pair Corr

Moving against Loomis Mutual Fund

0.65	LSGBX	Loomis Sayles Global	Pair Corr
0.65	LSGLX	Loomis Sayles Global	Pair Corr
0.57	LSSAX	Loomis Sayles Securitized	Pair Corr
0.56	LSIGX	Loomis Sayles Investment	Pair Corr
0.52	LIPRX	Loomis Sayles Inflation	Pair Corr
0.5	LIPNX	Loomis Sayles Inflation	Pair Corr
0.5	LSGSX	Loomis Sayles Inflation	Pair Corr

Related Correlations Analysis

	LSCRX	ABIYX	SASMX	LSSIX	LSBDX
LSCRX		-0.5	0.91	0.99	0.11	LSCRX
ABIYX	-0.5		-0.47	-0.47	0.18	ABIYX
SASMX	0.91	-0.47		0.93	0.18	SASMX
LSSIX	0.99	-0.47	0.93		0.21	LSSIX
LSBDX	0.11	0.18	0.18	0.21		LSBDX
	LSCRX	ABIYX	SASMX	LSSIX	LSBDX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

LSSIX	+ 0.99	LSCRX
LSSIX	+ 0.93	SASMX
SASMX	+ 0.91	LSCRX
LSBDX	+ 0.21	LSSIX
LSBDX	+ 0.18	ABIYX
LSBDX	+ 0.18	SASMX

High negative correlations

ABIYX	- 0.5	LSCRX
LSSIX	- 0.47	ABIYX
SASMX	- 0.47	ABIYX

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
LSCRX	0.85	(0.02)	0.04	0.10	0.71	(1.06)	2.11	(1.26)	7.47
ABIYX	0.78	(0.17)	0.00	(3.00)	0.00	0.00	1.44	(1.38)	9.89
SASMX	0.92	0.13	0.03	1.05	1.04	(0.98)	2.01	(1.68)	6.96
LSSIX	0.94	(0.02)	0.04	0.11	0.98	(1.08)	1.85	(1.74)	8.14
LSBDX	0.16	0.01	(0.53)	0.27	0.06	(0.22)	0.42	(0.25)	1.09

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC