Loomis Sayles Correlations

NELYX Fund

USD 10.82 0.01 0.09%

The current 90-days correlation between Loomis Sayles Limited and Fidelity Series Government is 0.84 (i.e., Very poor 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

Average diversification

The correlation between Loomis Sayles Limited and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Limited 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 Limited. 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 manufacturing.

Moving together with Loomis Mutual Fund

0.81	NOIAX	Natixis Oakmark Inte	Pair Corr
0.78	NOICX	Natixis Oakmark Inte	Pair Corr
0.66	GCPAX	Gateway Equity Call	Pair Corr
0.63	GCPCX	Gateway Equity Call	Pair Corr
0.67	GCPNX	Gateway Equity Call	Pair Corr
0.81	NOIYX	Natixis Oakmark Intl	Pair Corr
0.66	GCPYX	Gateway Equity Call	Pair Corr
0.94	LGANX	Loomis Sayles Limited	Pair Corr
0.66	LIGCX	Loomis Sayles Intern	Pair Corr
0.67	LIGGX	Loomis Sayles Intern	Pair Corr
0.68	LIGNX	Loomis Sayles Intern	Pair Corr
0.68	LIGYX	Loomis Sayles Intern	Pair Corr

Moving against Loomis Mutual Fund

0.38	VNVCX	Vaughan Nelson Value	Pair Corr
0.37	NSFBX	Natixis Sustainable	Pair Corr
0.36	VNVAX	Vaughan Nelson Value	Pair Corr
0.35	VNVNX	Vaughan Nelson Value	Pair Corr
0.35	VNVYX	Vaughan Nelson Value	Pair Corr

Related Correlations Analysis

	FHNFX	CGTCX	RGVJX	DNCGX	FCSCX	RGVCX
FHNFX		0.99	0.98	0.98	0.19	0.99	FHNFX
CGTCX	0.99		0.99	0.98	0.24	1.0	CGTCX
RGVJX	0.98	0.99		0.97	0.35	0.99	RGVJX
DNCGX	0.98	0.98	0.97		0.2	0.98	DNCGX
FCSCX	0.19	0.24	0.35	0.2		0.28	FCSCX
RGVCX	0.99	1.0	0.99	0.98	0.28		RGVCX
	FHNFX	CGTCX	RGVJX	DNCGX	FCSCX	RGVCX

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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
FHNFX	0.22	0.01	0.05	0.25	0.20	(0.25)	0.55	(0.44)	1.44
CGTCX	0.24	0.01	0.06	0.17	0.24	(0.29)	0.60	(0.43)	1.64
RGVJX	0.24	0.02	0.07	0.23	0.23	(0.29)	0.60	(0.42)	1.63
DNCGX	0.21	0.01	0.07	0.23	0.17	(0.24)	0.48	(0.40)	1.21
FCSCX	0.06	0.01	0.12	1.89	0.00	(0.21)	0.13	(0.13)	0.67
RGVCX	0.23	0.02	0.06	0.24	0.21	(0.30)	0.51	(0.42)	1.62

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