Loomis Sayles Correlations

LGMNX Fund

USD 24.58 0.25 1.03%

The current 90-days correlation between Loomis Sayles Global and Pnc Balanced Allocation is -0.03 (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

Significant diversification

The correlation between Loomis Sayles Global and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Global 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 Global. 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

0.78	NOANX	Natixis Oakmark	Pair Corr
0.93	GCPAX	Gateway Equity Call	Pair Corr
0.92	GCPCX	Gateway Equity Call	Pair Corr
0.93	GCPNX	Gateway Equity Call	Pair Corr
0.93	GCPYX	Gateway Equity Call	Pair Corr
1.0	LGMAX	Loomis Sayles Global	Pair Corr
1.0	LGMCX	Loomis Sayles Global	Pair Corr
0.87	LGRCX	Loomis Sayles Growth	Pair Corr
0.88	LGRNX	Loomis Sayles Growth	Pair Corr
0.88	LGRRX	Loomis Sayles Growth	Pair Corr
0.82	VNSYX	Vaughan Nelson Select	Pair Corr
0.84	VNSCX	Vaughan Nelson Select	Pair Corr
0.84	VNSAX	Vaughan Nelson Select	Pair Corr
0.82	VNSNX	Vaughan Nelson Select	Pair Corr
0.83	VNVCX	Vaughan Nelson Value	Pair Corr
0.84	VNVAX	Vaughan Nelson Value	Pair Corr
0.84	VNVNX	Vaughan Nelson Value	Pair Corr
0.84	VNVYX	Vaughan Nelson Value	Pair Corr
0.67	LIGCX	Loomis Sayles Intern	Pair Corr
0.76	LIGGX	Loomis Sayles Intern	Pair Corr
0.65	LIGNX	Loomis Sayles Intern	Pair Corr
0.76	LIGYX	Loomis Sayles Intern	Pair Corr
0.9	NSFLX	Natixis Sustainable	Pair Corr
0.91	NSFKX	Natixis Sustainable	Pair Corr
0.8	NSFJX	Natixis Sustainable	Pair Corr
0.82	NSFOX	Natixis Sustainable	Pair Corr

Moving against Loomis Mutual Fund

0.38

LGANX

Loomis Sayles Limited

Pair Corr

Related Correlations Analysis

	PBLIX	BXFIX	TACLX	SMYIX	SGICX	GMLVX	LMLRX
PBLIX		0.43	0.82	0.77	0.4	0.43	0.86	PBLIX
BXFIX	0.43		0.61	0.2	-0.12	0.42	0.52	BXFIX
TACLX	0.82	0.61		0.69	0.22	0.56	0.93	TACLX
SMYIX	0.77	0.2	0.69		0.42	0.19	0.84	SMYIX
SGICX	0.4	-0.12	0.22	0.42		0.03	0.3	SGICX
GMLVX	0.43	0.42	0.56	0.19	0.03		0.54	GMLVX
LMLRX	0.86	0.52	0.93	0.84	0.3	0.54		LMLRX
	PBLIX	BXFIX	TACLX	SMYIX	SGICX	GMLVX	LMLRX

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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

LMLRX	+ 0.93	TACLX
LMLRX	+ 0.86	PBLIX
LMLRX	+ 0.84	SMYIX
TACLX	+ 0.82	PBLIX
SMYIX	+ 0.77	PBLIX
SMYIX	+ 0.69	TACLX

High negative correlations

SGICX

- 0.12

BXFIX

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
PBLIX	0.65	(0.04)	0.00	0.22	0.00	0.00	1.13	(1.35)	3.78
BXFIX	0.08	(0.01)	0.21	0.27	0.06	(0.28)	0.23	(0.12)	0.93
TACLX	0.66	0.01	0.00	(0.02)	0.00	0.00	1.28	(1.48)	3.10
SMYIX	0.84	(0.05)	0.00	(0.08)	0.00	0.00	1.57	(1.72)	4.51
SGICX	0.92	(0.32)	0.00	(1.88)	0.00	0.00	1.09	(1.37)	19.11
GMLVX	0.71	0.03	0.05	0.05	0.92	(0.76)	1.57	(1.62)	5.51
LMLRX	0.33	(0.01)	0.00	(0.07)	0.00	0.00	0.61	(0.69)	2.17

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