Loomis Sayles Correlations

LSSNX Fund

USD 27.17 0.15 0.55%

The current 90-days correlation between Loomis Sayles Small and Mainstay Large Cap is 0.82 (i.e., Very poor 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

Poor diversification

The correlation between Loomis Sayles Small and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Small 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 Small. 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

0.89	LSCNX	Loomis Sayles Small	Pair Corr
0.89	LSCRX	Loomis Sayles Small	Pair Corr
0.92	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.92	LSMNX	Loomis Sayles Smallmid	Pair Corr
0.89	LSSCX	Loomis Sayles Small	Pair Corr
1.0	LSSIX	Loomis Sayles Small	Pair Corr
0.86	LSVAX	Loomis Sayles Small	Pair Corr
1.0	LCGRX	Loomis Sayles Small	Pair Corr
0.96	VSGAX	Vanguard Small Cap	Pair Corr
0.96	VSGIX	Vanguard Small Cap	Pair Corr
0.96	VISGX	Vanguard Small Cap	Pair Corr
0.99	VEXPX	Vanguard Explorer	Pair Corr
0.99	VEXRX	Vanguard Explorer	Pair Corr
0.93	JGMIX	Janus Triton	Pair Corr
0.93	JGMRX	Janus Triton	Pair Corr
0.93	JGMAX	Janus Triton	Pair Corr
0.93	JGMCX	Janus Triton	Pair Corr
0.93	JGMNX	Janus Triton	Pair Corr
0.96	GCAVX	Gmo Small Cap	Pair Corr

Moving against Loomis Mutual Fund

0.78	LSSAX	Loomis Sayles Securitized	Pair Corr
0.7	LIPNX	Loomis Sayles Inflation	Pair Corr
0.7	LSGSX	Loomis Sayles Inflation	Pair Corr
0.69	LIPRX	Loomis Sayles Inflation	Pair Corr
0.69	LSBDX	Loomis Sayles Bond	Pair Corr
0.69	LSBNX	Loomis Sayles Bond	Pair Corr
0.69	LSBRX	Loomis Sayles Bond	Pair Corr
0.69	LSFIX	Loomis Sayles Fixed	Pair Corr
0.69	LSIGX	Loomis Sayles Investment	Pair Corr
0.68	LSGBX	Loomis Sayles Global	Pair Corr
0.68	LSGNX	Loomis Sayles Global	Pair Corr
0.68	LSGLX	Loomis Sayles Global	Pair Corr
0.42	LSIOX	Loomis Sayles High	Pair Corr
0.37	LSHIX	Loomis Sayles Instit	Pair Corr
0.92	GAAVX	Gmo Alternative Allo	Pair Corr
0.71	GABFX	Gmo Asset Allocation	Pair Corr
0.68	LBFAX	Loomis Sayles Bond	Pair Corr
0.42	GHVIX	Gmo High Yield	Pair Corr

Related Correlations Analysis

	MLRSX	MEIKX	HNACX	GSSUX	HRAUX
MLRSX		0.18	0.86	0.94	0.85	MLRSX
MEIKX	0.18		-0.05	0.27	-0.14	MEIKX
HNACX	0.86	-0.05		0.83	0.91	HNACX
GSSUX	0.94	0.27	0.83		0.8	GSSUX
HRAUX	0.85	-0.14	0.91	0.8		HRAUX
	MLRSX	MEIKX	HNACX	GSSUX	HRAUX

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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

GSSUX	+ 0.94	MLRSX
HRAUX	+ 0.91	HNACX
HNACX	+ 0.86	MLRSX
HRAUX	+ 0.85	MLRSX
GSSUX	+ 0.83	HNACX
HRAUX	+ 0.8	GSSUX

High negative correlations

HRAUX	- 0.14	MEIKX
HNACX	- 0.05	MEIKX

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
MLRSX	1.10	(0.07)	0.00	(0.14)	0.00	0.00	1.78	(2.91)	6.67
MEIKX	0.64	0.05	0.09	0.00	0.79	(0.68)	1.07	(1.38)	3.40
HNACX	1.29	(0.24)	0.00	(0.32)	0.00	0.00	1.79	(3.49)	10.49
GSSUX	0.90	(0.09)	0.00	(0.17)	0.00	0.00	1.38	(2.10)	4.86
HRAUX	1.45	(0.26)	0.00	(0.26)	0.00	0.00	1.93	(4.05)	13.62

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