Loomis Sayles Correlations

LIPNX Fund

USD 9.71 0.01 0.10%

The current 90-days correlation between Loomis Sayles Inflation and T Rowe Price is 0.13 (i.e., Average 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 Inflation and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Inflation 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 Inflation. 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

1.0	LIPRX	Loomis Sayles Inflation	Pair Corr
0.72	LSBDX	Loomis Sayles Bond	Pair Corr
0.71	LSBNX	Loomis Sayles Bond	Pair Corr
0.75	LSBRX	Loomis Sayles Bond	Pair Corr
0.82	LSFIX	Loomis Sayles Fixed	Pair Corr
0.94	LSGNX	Loomis Sayles Global	Pair Corr
0.97	LSGLX	Loomis Sayles Global	Pair Corr
1.0	LSGSX	Loomis Sayles Inflation	Pair Corr
0.93	LSIGX	Loomis Sayles Investment	Pair Corr
0.95	LSSAX	Loomis Sayles Securitized	Pair Corr
0.75	LBFAX	Loomis Sayles Bond	Pair Corr
1.0	VIPSX	Vanguard Inflation-protec	Pair Corr
0.96	VIPIX	Vanguard Inflation-protec	Pair Corr
0.95	VAIPX	Vanguard Inflation-protec	Pair Corr
0.99	FLIBX	American Funds Inflation	Pair Corr
0.99	FIBLX	American Funds Inflation	Pair Corr
0.96	BFICX	American Funds Inflation	Pair Corr
0.96	BFIAX	American Funds Inflation	Pair Corr
0.96	BFIFX	American Funds Inflation	Pair Corr
0.96	PARRX	Real Return Fund	Pair Corr
0.96	PRLPX	Pimco Real Return	Pair Corr

Moving against Loomis Mutual Fund

0.54	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.54	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.53	LSIOX	Loomis Sayles High	Pair Corr
0.52	LSCRX	Loomis Sayles Small	Pair Corr
0.5	LSCNX	Loomis Sayles Small	Pair Corr
0.5	LSSCX	Loomis Sayles Small	Pair Corr
0.46	LSHIX	Loomis Sayles Instit	Pair Corr
0.64	SMPIX	Semiconductor Ultrasector	Pair Corr
0.6	SMPSX	Semiconductor Ultrasector	Pair Corr
0.56	RSNRX	Victory Global Natural	Pair Corr
0.55	RGNCX	Victory Global Natural	Pair Corr
0.49	LSSIX	Loomis Sayles Small	Pair Corr
0.49	LCGRX	Loomis Sayles Small	Pair Corr
0.47	LSSNX	Loomis Sayles Small	Pair Corr
0.75	LSHUX	Horizon Spin Off	Pair Corr
0.75	LSHAX	Horizon Spin Off	Pair Corr
0.71	CLM	Cornerstone Strategic	Pair Corr
0.6	PRUFX	T Rowe Price	Pair Corr

Related Correlations Analysis

	PRDMX	LBDRX	DSCPX	USCAX	FZABX	GSYPX	TBDQX
PRDMX		0.96	0.96	0.91	-0.38	0.95	0.93	PRDMX
LBDRX	0.96		0.96	0.94	-0.38	0.96	0.88	LBDRX
DSCPX	0.96	0.96		0.98	-0.34	0.99	0.87	DSCPX
USCAX	0.91	0.94	0.98		-0.23	0.99	0.86	USCAX
FZABX	-0.38	-0.38	-0.34	-0.23		-0.35	-0.1	FZABX
GSYPX	0.95	0.96	0.99	0.99	-0.35		0.86	GSYPX
TBDQX	0.93	0.88	0.87	0.86	-0.1	0.86		TBDQX
	PRDMX	LBDRX	DSCPX	USCAX	FZABX	GSYPX	TBDQX

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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

GSYPX	+ 0.99	DSCPX
GSYPX	+ 0.99	USCAX
USCAX	+ 0.98	DSCPX
LBDRX	+ 0.96	PRDMX
DSCPX	+ 0.96	PRDMX
DSCPX	+ 0.96	LBDRX

High negative correlations

FZABX	- 0.38	LBDRX
FZABX	- 0.38	PRDMX
GSYPX	- 0.35	FZABX
FZABX	- 0.34	DSCPX
FZABX	- 0.23	USCAX
TBDQX	- 0.1	FZABX

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
PRDMX	0.72	0.18	0.22	0.31	0.37	(0.87)	1.71	(1.03)	4.72
LBDRX	0.56	0.11	(0.05)	(34.78)	0.36	(0.68)	1.14	(0.85)	4.70
DSCPX	0.77	0.13	0.02	1.04	0.58	(0.95)	1.74	(1.31)	6.20
USCAX	0.89	0.11	0.00	0.68	0.79	(1.03)	2.07	(1.50)	7.45
FZABX	0.65	(0.03)	(0.12)	0.07	0.76	(0.66)	1.18	(1.19)	4.32
GSYPX	0.83	0.14	0.02	1.06	0.63	(1.04)	1.91	(1.34)	8.06
TBDQX	0.70	0.12	0.08	0.29	0.66	(0.71)	1.67	(1.47)	5.04

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