Loomis Sayles Correlations

Mutual Funds . USA . 
Fund . Loomis Sayles Small
LCGRX Fund  USD 24.76  0.19  0.76%   
The current 90-days correlation between Loomis Sayles Small and Loomis Sayles Inflation is 0.08 (i.e., Significant 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

Very poor diversification

The correlation between Loomis Sayles Small and DJI is 0.84 (i.e., Very poor 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 metropolitan statistical area.

Moving together with Loomis Mutual Fund

  0.61LIPNX Loomis Sayles InflationPairCorr
  0.88LSBDX Loomis Sayles BondPairCorr
  0.88LSBNX Loomis Sayles BondPairCorr
  0.88LSBRX Loomis Sayles BondPairCorr
  0.98LSCNX Loomis Sayles SmallPairCorr
  0.98LSCRX Loomis Sayles SmallPairCorr
  0.89LSFIX Loomis Sayles FixedPairCorr
  0.97LSHIX Loomis Sayles InstitPairCorr
  0.61LSGSX Loomis Sayles InflationPairCorr
  0.79LSIGX Loomis Sayles InvestmentPairCorr
  0.97LSIOX Loomis Sayles HighPairCorr
  0.99LSMIX Loomis Sayles SmallmidPairCorr
  0.99LSMNX Loomis Sayles SmallmidPairCorr
  0.98LSSCX Loomis Sayles SmallPairCorr
  1.0LSSIX Loomis Sayles SmallPairCorr
  1.0LSSNX Loomis Sayles SmallPairCorr
  0.98LSVAX Loomis Sayles SmallPairCorr
  0.87LBFAX Loomis Sayles BondPairCorr
  1.0VSGAX Vanguard Small CapPairCorr
  1.0VSGIX Vanguard Small CapPairCorr
  1.0VISGX Vanguard Small CapPairCorr
  0.99VEXPX Vanguard ExplorerPairCorr
  0.99VEXRX Vanguard ExplorerPairCorr
  0.99JGMIX Janus TritonPairCorr
  0.99JGMRX Janus TritonPairCorr
  0.99JGMAX Janus TritonPairCorr
  0.99JGMCX Janus TritonPairCorr
  0.99JGMNX Janus TritonPairCorr
  0.99ASG Liberty All StarPairCorr
  0.9IIF Morgan Stanley IndiaPairCorr
  0.98CII Blackrock EnhancedPairCorr
  0.8IFN India ClosedPairCorr
  0.97ETV Eaton Vance TaxPairCorr
  0.92CLM Cornerstone StrategicPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
LIPNX  0.22  0.02 (0.31) 0.98  0.23 
(0.23)
 0.42 
(0.52)
 1.26 
LIPRX  0.21  0.02 (0.33) 0.61  0.22 
(0.22)
 0.42 
(0.53)
 1.16 
LSBDX  0.17  0.05 (0.34) 1.09  0.00 
(0.20)
 0.34 
(0.26)
 0.85 
LSBRX  0.16  0.04 (0.34) 1.01  0.00 
(0.21)
 0.34 
(0.26)
 0.86 
LSCNX  0.85  0.08  0.08  0.21  0.87 
(0.97)
 2.21 
(1.79)
 5.88 
LSCRX  0.85  0.08  0.07  0.21  0.86 
(0.97)
 2.19 
(1.82)
 5.98 
LSFIX  0.16  0.04 (0.34) 0.86  0.00 
(0.20)
 0.34 
(0.25)
 0.85 
LSGBX  0.28  0.02 (0.33)(0.72) 0.26 
(0.33)
 0.66 
(0.46)
 1.67 
LSHIX  0.20  0.05 (0.18) 0.36  0.00 
(0.30)
 0.55 
(0.35)
 1.24 
LSGNX  0.27  0.02 (0.31)(0.76) 0.26 
(0.33)
 0.60 
(0.46)
 1.73 

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