Loomis Sayles Correlations

Mutual Funds . USA . 
Fund . Loomis Sayles Securitized
LSSAX Fund  USD 7.75  0.02  0.26%   
The current 90-days correlation between Loomis Sayles Securitized and Loomis Sayles Inflation is 0.03 (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

Significant diversification

The correlation between Loomis Sayles Securitized and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Securitized 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 Securitized. 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 nation.

Moving together with Loomis Mutual Fund

  0.85LIPNX Loomis Sayles InflationPairCorr
  0.91LIPRX Loomis Sayles InflationPairCorr
  0.68LSBNX Loomis Sayles BondPairCorr
  0.61LSBRX Loomis Sayles BondPairCorr
  0.66LSFIX Loomis Sayles FixedPairCorr
  0.83LSGBX Loomis Sayles GlobalPairCorr
  0.83LSGNX Loomis Sayles GlobalPairCorr
  0.83LSGLX Loomis Sayles GlobalPairCorr
  0.91LSGSX Loomis Sayles InflationPairCorr
  0.77LSIGX Loomis Sayles InvestmentPairCorr
  0.69LBFAX Loomis Sayles BondPairCorr
  0.88VBTLX Vanguard Total BondPairCorr
  0.88VBMFX Vanguard Total BondPairCorr
  0.79VBTIX Vanguard Total BondPairCorr
  0.79VTBSX Vanguard Total BondPairCorr
  0.79VTBIX Vanguard Total BondPairCorr
  0.82VTBNX Vanguard Total BondPairCorr
  0.87FBOFX American FundsPairCorr
  0.72FFBOX American FundsPairCorr
  0.81BFAFX Bond FundPairCorr
  0.82ABNDX Bond FundPairCorr

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  0.22  0.03 (0.30)(2.12) 0.20 
(0.24)
 0.42 
(0.53)
 1.38 
LSBDX  0.16  0.04 (0.36) 1.39  0.00 
(0.20)
 0.34 
(0.26)
 0.85 
LSBNX  0.18  0.06 (0.34)(2.47) 0.00 
(0.22)
 0.42 
(0.26)
 1.04 
LSBRX  0.16  0.04 (0.36) 1.33  0.00 
(0.21)
 0.34 
(0.26)
 0.86 
LSCNX  0.82  0.28  0.14 (2.20) 0.69 
(0.97)
 2.21 
(1.48)
 5.88 
LSCRX  0.85  0.26  0.09 (1.25) 0.87 
(0.97)
 2.19 
(1.82)
 5.98 
LSFIX  0.18  0.06 (0.32)(3.20) 0.00 
(0.22)
 0.34 
(0.26)
 1.21 
LSGBX  0.29  0.02 (0.30) 1.65  0.25 
(0.34)
 0.66 
(0.46)
 1.67 
LSHIX  0.19  0.06 (0.17) 0.45  0.00 
(0.30)
 0.55 
(0.34)
 1.24 

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