Loomis Sayles Correlations

LIPNX Fund

USD 9.77 0.02 0.20%

The current 90-days correlation between Loomis Sayles Inflation and Loomis Sayles Inflation is 0.89 (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

Significant diversification

The correlation between Loomis Sayles Inflation and DJI is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Inflation 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 Inflation. 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 state.

Moving together with Loomis Mutual Fund

0.89	LGBCX	Loomis Sayles Investment	Pair Corr
0.85	LIGRX	Loomis Sayles Investment	Pair Corr
0.97	LIPRX	Loomis Sayles Inflation	Pair Corr
0.88	NECRX	Loomis Sayles E	Pair Corr
0.64	NECZX	Loomis Sayles Strategic	Pair Corr
0.61	NECLX	Loomis Sayles Limited	Pair Corr
0.61	NEFZX	Loomis Sayles Strategic	Pair Corr
0.82	NERYX	Loomis Sayles E	Pair Corr
0.61	NEZYX	Loomis Sayles Strategic	Pair Corr
0.62	LSBDX	Loomis Sayles Bond	Pair Corr
0.63	LSBRX	Loomis Sayles Bond	Pair Corr
0.61	LSDIX	Loomis Sayles Interm	Pair Corr
0.62	LSDRX	Loomis Sayles Interm	Pair Corr
0.62	LSFIX	Loomis Sayles Fixed	Pair Corr

Moving against Loomis Mutual Fund

0.52	LSFAX	Loomis Sayles Senior	Pair Corr
0.48	LSFCX	Loomis Sayles Senior	Pair Corr
0.51	LSFYX	Loomis Sayles Senior	Pair Corr

Related Correlations Analysis

	LIPNX	LIPRX	LSBDX	LSBNX	LSCNX	LSCRX	LSFIX	LSGBX	LSHIX	LSGLX
LIPNX		0.97	0.62	0.59	0.05	0.04	0.62	0.52	0.39	0.52	LIPNX
LIPRX	0.97		0.51	0.48	0.1	0.1	0.53	0.6	0.36	0.59	LIPRX
LSBDX	0.62	0.51		0.99	-0.15	-0.15	0.99	0.02	0.64	-0.01	LSBDX
LSBNX	0.59	0.48	0.99		-0.13	-0.14	0.98	0.01	0.63	-0.01	LSBNX
LSCNX	0.05	0.1	-0.15	-0.13		1.0	-0.11	0.53	0.33	0.55	LSCNX
LSCRX	0.04	0.1	-0.15	-0.14	1.0		-0.11	0.53	0.32	0.55	LSCRX
LSFIX	0.62	0.53	0.99	0.98	-0.11	-0.11		0.09	0.67	0.06	LSFIX
LSGBX	0.52	0.6	0.02	0.01	0.53	0.53	0.09		0.35	1.0	LSGBX
LSHIX	0.39	0.36	0.64	0.63	0.33	0.32	0.67	0.35		0.33	LSHIX
LSGLX	0.52	0.59	-0.01	-0.01	0.55	0.55	0.06	1.0	0.33		LSGLX
	LIPNX	LIPRX	LSBDX	LSBNX	LSCNX	LSCRX	LSFIX	LSGBX	LSHIX	LSGLX

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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

LSCRX	+ 1.0	LSCNX
LSGLX	+ 1.0	LSGBX
LSBNX	+ 0.99	LSBDX
LSFIX	+ 0.99	LSBDX
LSFIX	+ 0.98	LSBNX
LIPRX	+ 0.97	LIPNX

High negative correlations

LSCRX	- 0.15	LSBDX
LSCNX	- 0.15	LSBDX
LSCRX	- 0.14	LSBNX
LSCNX	- 0.13	LSBNX
LSFIX	- 0.11	LSCRX
LSFIX	- 0.11	LSCNX

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
LIPNX	0.15	0.00	(0.32)	(0.44)	0.16	(0.17)	0.31	(0.20)	0.92
LIPRX	0.15	(0.01)	(0.32)	(0.07)	0.15	(0.20)	0.21	(0.31)	0.82
LSBDX	0.09	0.01	(0.36)	0.15	0.00	(0.13)	0.17	(0.16)	0.58
LSBNX	0.10	0.01	(0.35)	0.18	0.00	(0.14)	0.17	(0.17)	0.58
LSCNX	0.77	(0.10)	0.00	(0.02)	0.00	0.00	1.57	(1.65)	4.75
LSCRX	0.77	(0.10)	0.00	(0.02)	0.00	0.00	1.59	(1.63)	4.77
LSFIX	0.11	0.01	(0.38)	0.17	0.00	(0.14)	0.24	(0.24)	0.49
LSGBX	0.20	(0.01)	(0.27)	(0.04)	0.20	(0.25)	0.39	(0.45)	1.10
LSHIX	0.13	0.00	(0.21)	0.06	0.03	(0.21)	0.33	(0.33)	0.84
LSGLX	0.19	(0.01)	(0.27)	(0.11)	0.20	(0.26)	0.40	(0.40)	1.13

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