Loomis Sayles Correlations

LGRRX Fund

USD 25.36 0.17 0.67%

The current 90-days correlation between Loomis Sayles Growth and Diamond Hill Large 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

Very weak diversification

The correlation between Loomis Sayles Growth and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Growth 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 Growth. 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 metropolitan statistical area.

Moving together with Loomis Mutual Fund

0.79	AMFAX	Asg Managed Futures	Pair Corr
0.78	AMFNX	Asg Managed Futures	Pair Corr
0.78	NOANX	Natixis Oakmark	Pair Corr
0.93	GCPAX	Gateway Equity Call	Pair Corr
0.93	GCPCX	Gateway Equity Call	Pair Corr
0.87	LGMAX	Loomis Sayles Global	Pair Corr
0.88	LGMCX	Loomis Sayles Global	Pair Corr
1.0	LGRCX	Loomis Sayles Growth	Pair Corr
1.0	LGRNX	Loomis Sayles Growth	Pair Corr
0.92	VNSYX	Vaughan Nelson Select	Pair Corr
0.92	VNSCX	Vaughan Nelson Select	Pair Corr
0.92	VNSAX	Vaughan Nelson Select	Pair Corr
0.92	VNSNX	Vaughan Nelson Select	Pair Corr
0.85	VNVYX	Vaughan Nelson Value	Pair Corr
0.79	NSFLX	Natixis Sustainable	Pair Corr
0.8	NSFKX	Natixis Sustainable	Pair Corr
0.8	NSFJX	Natixis Sustainable	Pair Corr
0.78	NSFHX	Natixis Sustainable	Pair Corr
0.69	NSFFX	Natixis Sustainable	Pair Corr
0.62	NSFEX	Natixis Sustainable	Pair Corr
0.78	ASFCX	Asg Managed Futures	Pair Corr
0.78	ASFYX	Asg Managed Futures	Pair Corr
0.63	ESGCX	Mirova Global Sustainable	Pair Corr
0.61	ESGMX	Mirova Global Sustainable	Pair Corr

Moving against Loomis Mutual Fund

0.69	LGANX	Loomis Sayles Limited	Pair Corr
0.53	NOIYX	Natixis Oakmark Intl	Pair Corr
0.52	NOICX	Natixis Oakmark Inte	Pair Corr
0.49	LGBNX	Loomis Sayles Investment	Pair Corr
0.48	LIGAX	Loomis Sayles Investment	Pair Corr
0.47	LGBCX	Loomis Sayles Investment	Pair Corr
0.47	LIGRX	Loomis Sayles Investment	Pair Corr
0.69	NELYX	Loomis Sayles Limited	Pair Corr
0.68	NECLX	Loomis Sayles Limited	Pair Corr
0.65	LSDNX	Loomis Sayles Interm	Pair Corr
0.57	NEFRX	Loomis Sayles E	Pair Corr
0.55	NECRX	Loomis Sayles E	Pair Corr
0.4	NEZAX	Loomis Sayles Strategic	Pair Corr
0.4	NEZNX	Loomis Sayles Strategic	Pair Corr
0.39	MRVNX	Mirova International	Pair Corr
0.39	NEZYX	Loomis Sayles Strategic	Pair Corr
0.37	NECZX	Loomis Sayles Strategic	Pair Corr

Related Correlations Analysis

	DHLAX	LGRCX	LGRNX	NEFSX	DHLYX
DHLAX		0.43	0.45	0.54	0.88	DHLAX
LGRCX	0.43		1.0	0.9	0.43	LGRCX
LGRNX	0.45	1.0		0.91	0.46	LGRNX
NEFSX	0.54	0.9	0.91		0.57	NEFSX
DHLYX	0.88	0.43	0.46	0.57		DHLYX
	DHLAX	LGRCX	LGRNX	NEFSX	DHLYX

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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
DHLAX	0.67	(0.05)	0.00	0.36	0.00	0.00	1.26	(1.33)	3.89
LGRCX	1.27	(0.21)	0.00	(0.23)	0.00	0.00	1.90	(2.39)	10.86
LGRNX	1.24	(0.18)	0.00	(0.20)	0.00	0.00	1.94	(2.35)	9.03
NEFSX	0.94	(0.10)	0.00	(0.15)	0.00	0.00	1.63	(2.06)	6.25
DHLYX	0.68	0.02	0.03	(0.01)	0.87	(0.70)	1.32	(1.35)	3.84

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