Loomis Sayles Correlations

LGBNX Fund

USD 9.84 0.01 0.10%

The current 90-days correlation between Loomis Sayles Investment and Materials Portfolio Fidelity is 0.25 (i.e., Modest 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

Average diversification

The correlation between Loomis Sayles Investment and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Investment 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 Investment. 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 board of governors.

Moving together with Loomis Mutual Fund

0.9	NOICX	Natixis Oakmark Inte	Pair Corr
0.9	NOIYX	Natixis Oakmark Intl	Pair Corr
0.94	LGANX	Loomis Sayles Limited	Pair Corr
1.0	LGBCX	Loomis Sayles Investment	Pair Corr
1.0	LIGAX	Loomis Sayles Investment	Pair Corr
1.0	LIGRX	Loomis Sayles Investment	Pair Corr
0.61	NRCFX	Aew Real Estate	Pair Corr
0.63	NRFAX	Aew Real Estate	Pair Corr
0.64	NRFNX	Aew Real Estate	Pair Corr

Moving against Loomis Mutual Fund

0.83	AMFAX	Asg Managed Futures	Pair Corr
0.79	AMFNX	Asg Managed Futures	Pair Corr
0.6	VNSYX	Vaughan Nelson Select	Pair Corr
0.52	LGRCX	Loomis Sayles Growth	Pair Corr
0.52	LGRNX	Loomis Sayles Growth	Pair Corr
0.52	LGRRX	Loomis Sayles Growth	Pair Corr
0.39	GCPCX	Gateway Equity Call	Pair Corr
0.37	GCPAX	Gateway Equity Call	Pair Corr
0.61	VNSCX	Vaughan Nelson Select	Pair Corr
0.6	VNSAX	Vaughan Nelson Select	Pair Corr
0.6	VNSNX	Vaughan Nelson Select	Pair Corr
0.56	VNVNX	Vaughan Nelson Value	Pair Corr
0.56	VNVYX	Vaughan Nelson Value	Pair Corr
0.55	VNVCX	Vaughan Nelson Value	Pair Corr
0.83	ASFCX	Asg Managed Futures	Pair Corr
0.83	ASFYX	Asg Managed Futures	Pair Corr

Related Correlations Analysis

	FMFTX	FUHKBX	FTUFOX	CABIX	OPTCX	PRVBX	FZDAQX	FZNQEX
FMFTX		0.23	0.24	0.42	-0.26	-0.15	0.36	-0.01	FMFTX
FUHKBX	0.23		-0.56	0.24	-0.3	-0.42	0.18	-0.48	FUHKBX
FTUFOX	0.24	-0.56		0.26	0.32	0.68	0.58	0.85	FTUFOX
CABIX	0.42	0.24	0.26		0.39	0.45	0.59	0.38	CABIX
OPTCX	-0.26	-0.3	0.32	0.39		0.79	0.16	0.62	OPTCX
PRVBX	-0.15	-0.42	0.68	0.45	0.79		0.39	0.86	PRVBX
FZDAQX	0.36	0.18	0.58	0.59	0.16	0.39		0.55	FZDAQX
FZNQEX	-0.01	-0.48	0.85	0.38	0.62	0.86	0.55		FZNQEX
	FMFTX	FUHKBX	FTUFOX	CABIX	OPTCX	PRVBX	FZDAQX	FZNQEX

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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

FZNQEX	+ 0.86	PRVBX
FZNQEX	+ 0.85	FTUFOX
PRVBX	+ 0.79	OPTCX
PRVBX	+ 0.68	FTUFOX
FZNQEX	+ 0.62	OPTCX
FZDAQX	+ 0.59	CABIX

High negative correlations

FTUFOX	- 0.56	FUHKBX
FZNQEX	- 0.48	FUHKBX
PRVBX	- 0.42	FUHKBX
OPTCX	- 0.3	FUHKBX
OPTCX	- 0.26	FMFTX
PRVBX	- 0.15	FMFTX

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
FMFTX	0.92	(0.14)	0.00	(5.00)	0.00	0.00	1.43	(2.17)	8.22
FUHKBX	0.69	(0.01)	(0.01)	(0.01)	0.93	(0.71)	1.13	(1.61)	4.79
FTUFOX	0.10	0.00	0.00	0.13	0.01	(0.10)	0.20	(0.19)	0.60
CABIX	0.38	(0.01)	(0.02)	(0.02)	0.51	(0.38)	0.73	(0.80)	2.58
OPTCX	0.06	(0.01)	(0.03)	3.08	0.07	(0.18)	0.21	(0.21)	0.93
PRVBX	0.10	0.01	0.06	(0.46)	0.00	(0.13)	0.23	(0.17)	0.53
FZDAQX	0.11	(0.01)	(0.03)	(0.05)	0.17	(0.15)	0.21	(0.21)	1.03
FZNQEX	0.08	(0.01)	(0.09)	2.03	0.10	(0.08)	0.16	(0.17)	0.49

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