Loomis Sayles Correlations

LSIIX Fund

USD 9.81 0.03 0.31%

The current 90-days correlation between Loomis Sayles Investment and Towpath Technology is 0.34 (i.e., Weak 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

Modest diversification

The correlation between Loomis Sayles Investment and DJI is 0.2 (i.e., Modest 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 gross domestic product.

Moving together with Loomis Mutual Fund

0.62	GCPAX	Gateway Equity Call	Pair Corr
0.64	GCPCX	Gateway Equity Call	Pair Corr
0.61	GCPNX	Gateway Equity Call	Pair Corr
0.61	GCPYX	Gateway Equity Call	Pair Corr
0.99	LGBCX	Loomis Sayles Investment	Pair Corr
1.0	LGBNX	Loomis Sayles Investment	Pair Corr
0.73	LGMAX	Loomis Sayles Global	Pair Corr
0.72	LGMCX	Loomis Sayles Global	Pair Corr
0.74	LGMNX	Loomis Sayles Global	Pair Corr
0.73	LGRCX	Loomis Sayles Growth	Pair Corr
0.75	LGRNX	Loomis Sayles Growth	Pair Corr
0.75	LGRRX	Loomis Sayles Growth	Pair Corr
0.61	VNVAX	Vaughan Nelson Value	Pair Corr
0.61	VNVNX	Vaughan Nelson Value	Pair Corr
0.61	VNVYX	Vaughan Nelson Value	Pair Corr
0.75	LIGCX	Loomis Sayles Intern	Pair Corr
1.0	LIGAX	Loomis Sayles Investment	Pair Corr
0.74	LIGGX	Loomis Sayles Intern	Pair Corr
0.74	LIGYX	Loomis Sayles Intern	Pair Corr
0.71	NRCFX	Aew Real Estate	Pair Corr
0.72	NRFAX	Aew Real Estate	Pair Corr
0.72	NRFYX	Aew Real Estate	Pair Corr
0.79	NSFLX	Natixis Sustainable	Pair Corr
0.8	NSFKX	Natixis Sustainable	Pair Corr
0.76	NSFJX	Natixis Sustainable	Pair Corr
0.82	NSFOX	Natixis Sustainable	Pair Corr
0.7	NSFDX	Natixis Sustainable	Pair Corr
0.62	NSFBX	Natixis Sustainable	Pair Corr
0.74	NSFGX	Natixis Sustainable	Pair Corr
0.76	NSFFX	Natixis Sustainable	Pair Corr
0.67	NSFEX	Natixis Sustainable	Pair Corr

Moving against Loomis Mutual Fund

0.43	AMFNX	Asg Managed Futures	Pair Corr
0.41	AMFAX	Asg Managed Futures	Pair Corr
0.46	ASFYX	Asg Managed Futures	Pair Corr
0.43	ASFCX	Asg Managed Futures	Pair Corr

Related Correlations Analysis

	TOWTX	RYTIX	RAGTX	HTECX	PGKCX	PTTEX	ICTEX
TOWTX		0.5	0.55	0.7	0.28	-0.04	0.62	TOWTX
RYTIX	0.5		0.38	0.82	0.8	0.67	0.54	RYTIX
RAGTX	0.55	0.38		0.42	0.54	-0.05	-0.07	RAGTX
HTECX	0.7	0.82	0.42		0.59	0.34	0.68	HTECX
PGKCX	0.28	0.8	0.54	0.59		0.75	0.27	PGKCX
PTTEX	-0.04	0.67	-0.05	0.34	0.75		0.3	PTTEX
ICTEX	0.62	0.54	-0.07	0.68	0.27	0.3		ICTEX
	TOWTX	RYTIX	RAGTX	HTECX	PGKCX	PTTEX	ICTEX

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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

HTECX	+ 0.82	RYTIX
PGKCX	+ 0.8	RYTIX
PTTEX	+ 0.75	PGKCX
HTECX	+ 0.7	TOWTX
ICTEX	+ 0.68	HTECX
PTTEX	+ 0.67	RYTIX

High negative correlations

ICTEX	- 0.07	RAGTX
PTTEX	- 0.05	RAGTX
PTTEX	- 0.04	TOWTX

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
TOWTX	0.62	0.03	0.02	0.07	0.98	(0.66)	1.19	(1.21)	4.86
RYTIX	1.07	0.03	0.02	0.05	1.67	(1.02)	1.99	(2.31)	6.85
RAGTX	1.07	0.07	0.04	0.15	1.48	(1.12)	2.20	(2.43)	7.51
HTECX	1.01	0.01	0.00	0.01	1.53	(0.95)	1.67	(2.31)	7.23
PGKCX	1.20	0.00	0.00	0.01	1.96	(1.08)	2.15	(2.55)	9.51
PTTEX	1.06	(0.08)	0.00	(0.19)	0.00	0.00	1.82	(2.45)	7.89
ICTEX	0.84	(0.07)	0.00	(0.11)	0.00	0.00	1.45	(1.95)	6.23

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