LOOMIS SAYLES Expected Short fall
| LSSCX Fund | | | USD 23.07 -0.19 -0.82% |
Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL). Below is LOOMIS SAYLES's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
At
-0.93, LOOMIS SAYLES exhibits its current reading on this measure in Expected Short fall. This reflects LOOMIS SAYLES's positioning relative to its own recent range within Mutual Fund Funds.
Expected Shortfall | = | Conditional VAR |
| = | -0.93 | |
Expected Short fall Peers Comparison
The peer group averages -0.89 for Expected Short fall, with LOOMIS SAYLES at -0.9333 falling below that level. Readings span -1.2374 (Wasatch Micro Cap) to 0.0 ().
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for Loomis Sayles and its peers. Each point represents one equity — position along the horizontal axis shows Expected Short fall while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare LOOMIS SAYLES to PeersMethodology, Assumptions & Data Sources
The current Expected Short fall for LOOMIS SAYLES is -0.93. LOOMIS SAYLES's Expected Short fall is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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