Loomis Sayles Correlations

NEZYX Fund

USD 12.28 0.02 0.16%

The current 90-days correlation between Loomis Sayles Strategic and World Energy Fund 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

Weak diversification

The correlation between Loomis Sayles Strategic and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Strategic 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 Strategic. 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

0.82	NOIAX	Natixis Oakmark Inte	Pair Corr
0.83	NOICX	Natixis Oakmark Inte	Pair Corr
0.76	GCPAX	Gateway Equity Call	Pair Corr
0.76	GCPCX	Gateway Equity Call	Pair Corr
0.77	GCPNX	Gateway Equity Call	Pair Corr
0.82	NOIYX	Natixis Oakmark Intl	Pair Corr
0.76	GCPYX	Gateway Equity Call	Pair Corr
0.74	LGANX	Loomis Sayles Limited	Pair Corr
0.83	LGBCX	Loomis Sayles Investment	Pair Corr
0.88	LGBNX	Loomis Sayles Investment	Pair Corr
0.81	LIGCX	Loomis Sayles Intern	Pair Corr
0.85	LIGAX	Loomis Sayles Investment	Pair Corr
0.81	LIGGX	Loomis Sayles Intern	Pair Corr
0.81	LIGNX	Loomis Sayles Intern	Pair Corr
0.86	LIGRX	Loomis Sayles Investment	Pair Corr
0.81	LIGYX	Loomis Sayles Intern	Pair Corr

Moving against Loomis Mutual Fund

0.45	AMFAX	Asg Managed Futures	Pair Corr
0.45	AMFNX	Asg Managed Futures	Pair Corr

Related Correlations Analysis

	AIWEX	PDX	ENPSX	XEMOX	TREIX	FRNRX	IEFCX	HNRGX
AIWEX		0.36	0.66	0.86	0.19	0.8	0.75	0.8	AIWEX
PDX	0.36		0.3	0.27	0.06	0.21	0.34	0.45	PDX
ENPSX	0.66	0.3		0.62	-0.15	0.91	0.95	0.86	ENPSX
XEMOX	0.86	0.27	0.62		0.47	0.8	0.77	0.83	XEMOX
TREIX	0.19	0.06	-0.15	0.47		0.0	0.14	0.3	TREIX
FRNRX	0.8	0.21	0.91	0.8	0.0		0.92	0.86	FRNRX
IEFCX	0.75	0.34	0.95	0.77	0.14	0.92		0.97	IEFCX
HNRGX	0.8	0.45	0.86	0.83	0.3	0.86	0.97		HNRGX
	AIWEX	PDX	ENPSX	XEMOX	TREIX	FRNRX	IEFCX	HNRGX

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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

HNRGX	+ 0.97	IEFCX
IEFCX	+ 0.95	ENPSX
IEFCX	+ 0.92	FRNRX
FRNRX	+ 0.91	ENPSX
XEMOX	+ 0.86	AIWEX
HNRGX	+ 0.86	ENPSX

High negative correlations

TREIX	- 0.15	ENPSX
FRNRX	- 0.0	TREIX

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
AIWEX	1.08	(0.03)	0.00	(0.13)	0.00	0.00	1.90	(1.83)	9.76
PDX	1.80	0.02	0.00	0.02	2.96	(2.08)	3.40	(3.43)	31.18
ENPSX	1.39	(0.16)	0.00	(0.21)	0.00	0.00	2.07	(3.54)	7.38
XEMOX	1.12	0.07	0.04	0.38	1.56	(1.13)	2.15	(3.03)	6.98
TREIX	0.06	0.01	0.07	2.32	0.00	(0.11)	0.10	(0.10)	0.30
FRNRX	0.83	(0.03)	0.00	(0.13)	0.00	0.00	1.47	(1.88)	4.80
IEFCX	0.84	(0.06)	0.00	(0.13)	0.00	0.00	1.25	(2.18)	4.47
HNRGX	0.90	(0.03)	0.00	(0.06)	0.00	0.00	1.54	(2.30)	4.59

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