Loomis Sayles Correlations

LSBDX Fund

USD 11.99 0.03 0.25%

The current 90-days correlation between Loomis Sayles Bond and Invesco Energy Fund is -0.13 (i.e., Good 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

Good diversification

The correlation between Loomis Sayles Bond and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Bond 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 Bond. 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 unemployment.

Moving together with Loomis Mutual Fund

0.85	LIPNX	Loomis Sayles Inflation	Pair Corr
0.84	LIPRX	Loomis Sayles Inflation	Pair Corr
0.98	LSBNX	Loomis Sayles Bond	Pair Corr
1.0	LSBRX	Loomis Sayles Bond	Pair Corr
0.86	LSCNX	Loomis Sayles Small	Pair Corr
0.86	LSCRX	Loomis Sayles Small	Pair Corr
0.98	LSFIX	Loomis Sayles Fixed	Pair Corr
0.88	LSGBX	Loomis Sayles Global	Pair Corr
0.96	LSHIX	Loomis Sayles Instit	Pair Corr
0.88	LSGNX	Loomis Sayles Global	Pair Corr
0.87	LSGLX	Loomis Sayles Global	Pair Corr
0.85	LSGSX	Loomis Sayles Inflation	Pair Corr
0.97	LSIGX	Loomis Sayles Investment	Pair Corr
0.89	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.89	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.63	LSSAX	Loomis Sayles Securitized	Pair Corr
0.86	LSSCX	Loomis Sayles Small	Pair Corr
0.88	LSSIX	Loomis Sayles Small	Pair Corr
0.88	LSSNX	Loomis Sayles Small	Pair Corr
0.86	LSVAX	Loomis Sayles Small	Pair Corr
0.98	LBFAX	Loomis Sayles Bond	Pair Corr
0.88	LCGRX	Loomis Sayles Small	Pair Corr
0.96	PONAX	Pimco Income	Pair Corr
0.97	PONCX	Pimco Income	Pair Corr
0.97	PIPNX	Pimco Income	Pair Corr
0.96	PONRX	Pimco Income	Pair Corr
0.97	PONPX	Pimco Incme Fund	Pair Corr
0.96	PIINX	Pimco Income	Pair Corr
0.97	PIMIX	Pimco Income	Pair Corr
0.98	LBNDX	Lord Abbett Bond	Pair Corr
0.98	FSTAX	Fidelity Advisor Str	Pair Corr
0.98	FSRIX	Fidelity Advisor Str	Pair Corr
0.88	PDI	Pimco Dynamic Income	Pair Corr

Moving against Loomis Mutual Fund

0.86	USPSX	Profunds Ultrashort	Pair Corr
0.86	USPIX	Profunds Ultrashort	Pair Corr
0.85	UIPIX	Ultrashort Mid Cap	Pair Corr
0.74	TCSUX	Cleartrack 2020 Class	Pair Corr
0.73	TCTGX	Transamerica Cleartrack	Pair Corr
0.73	TCTJX	Transamerica Cleartrack	Pair Corr
0.72	TDKTX	Cleartrack 2015 Class	Pair Corr

Related Correlations Analysis

	IEFCX	AIWEX	FIKAX	SEPIX	GMOWX	PNRCX	ALTEX
IEFCX		0.96	0.99	0.98	0.97	0.92	0.94	IEFCX
AIWEX	0.96		0.96	0.94	0.95	0.97	0.98	AIWEX
FIKAX	0.99	0.96		0.98	0.98	0.92	0.95	FIKAX
SEPIX	0.98	0.94	0.98		0.98	0.91	0.94	SEPIX
GMOWX	0.97	0.95	0.98	0.98		0.92	0.97	GMOWX
PNRCX	0.92	0.97	0.92	0.91	0.92		0.95	PNRCX
ALTEX	0.94	0.98	0.95	0.94	0.97	0.95		ALTEX
	IEFCX	AIWEX	FIKAX	SEPIX	GMOWX	PNRCX	ALTEX

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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
IEFCX	1.15	0.38	0.00	(0.54)	1.37	(1.31)	2.04	(2.14)	13.39
AIWEX	1.06	0.53	0.11	(1.09)	1.06	(1.25)	2.23	(1.65)	12.20
FIKAX	1.27	0.42	0.02	(0.57)	1.54	(1.54)	2.72	(2.32)	15.27
SEPIX	1.03	0.37	0.00	(0.54)	1.11	(1.21)	2.07	(1.43)	13.70
GMOWX	1.50	0.54	0.08	(0.74)	1.53	(1.76)	3.16	(2.74)	14.46
PNRCX	0.89	0.22	0.14	0.60	0.49	(1.09)	2.19	(1.11)	11.43
ALTEX	1.35	0.58	0.14	(1.13)	1.15	(1.70)	2.76	(2.03)	12.15

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