Loomis Sayles Correlations

NELYX Fund

USD 10.85 0.02 0.18%

The current 90-days correlation between Loomis Sayles Limited and Wmcanx is -0.13 (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

Average diversification

The correlation between Loomis Sayles Limited and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Limited 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 Limited. 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 manufacturing.

Moving together with Loomis Mutual Fund

0.9	NOIAX	Natixis Oakmark Inte	Pair Corr
0.9	NOICX	Natixis Oakmark Inte	Pair Corr
0.9	NOIYX	Natixis Oakmark Intl	Pair Corr
0.85	LGANX	Loomis Sayles Limited	Pair Corr
0.89	LGBCX	Loomis Sayles Investment	Pair Corr
0.89	LGBNX	Loomis Sayles Investment	Pair Corr
0.89	LIGAX	Loomis Sayles Investment	Pair Corr
0.87	LIGRX	Loomis Sayles Investment	Pair Corr

Moving against Loomis Mutual Fund

0.85	AMFNX	Asg Managed Futures	Pair Corr
0.84	AMFAX	Asg Managed Futures	Pair Corr
0.63	LGRRX	Loomis Sayles Growth	Pair Corr
0.48	GCPCX	Gateway Equity Call	Pair Corr
0.48	VNSCX	Vaughan Nelson Select	Pair Corr
0.47	VNSYX	Vaughan Nelson Select	Pair Corr
0.47	VNSNX	Vaughan Nelson Select	Pair Corr
0.46	GCPAX	Gateway Equity Call	Pair Corr
0.46	GCPYX	Gateway Equity Call	Pair Corr
0.45	GCPNX	Gateway Equity Call	Pair Corr
0.45	VNSAX	Vaughan Nelson Select	Pair Corr
0.33	LGRNX	Loomis Sayles Growth	Pair Corr
0.32	NOANX	Natixis Oakmark	Pair Corr
0.66	VNVYX	Vaughan Nelson Value	Pair Corr

Related Correlations Analysis

	WMCANX	FURYAX	HDCAX	FANISX	FFCGX	FLAKQX
WMCANX		0.87	0.91	-0.32	0.96	0.83	WMCANX
FURYAX	0.87		0.86	-0.52	0.85	0.6	FURYAX
HDCAX	0.91	0.86		-0.36	0.94	0.75	HDCAX
FANISX	-0.32	-0.52	-0.36		-0.35	-0.12	FANISX
FFCGX	0.96	0.85	0.94	-0.35		0.77	FFCGX
FLAKQX	0.83	0.6	0.75	-0.12	0.77		FLAKQX
	WMCANX	FURYAX	HDCAX	FANISX	FFCGX	FLAKQX

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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

FFCGX	+ 0.96	WMCANX
FFCGX	+ 0.94	HDCAX
HDCAX	+ 0.91	WMCANX
FURYAX	+ 0.87	WMCANX
HDCAX	+ 0.86	FURYAX
FFCGX	+ 0.85	FURYAX

High negative correlations

FANISX	- 0.52	FURYAX
FANISX	- 0.36	HDCAX
FFCGX	- 0.35	FANISX
FANISX	- 0.32	WMCANX
FLAKQX	- 0.12	FANISX

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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
WMCANX	0.59	(0.02)	0.12	1.37	(1.29)	3.48
FURYAX	0.67	(0.06)	0.31	1.21	(1.39)	2.96
HDCAX	0.53	(0.04)	(0.38)	1.00	(1.03)	2.83
FANISX	0.43	(0.07)	(1.23)	0.77	(0.55)	6.06
FFCGX	0.74	(0.03)	(0.43)	1.37	(1.56)	4.66
FLAKQX	0.81	0.00	(0.10)	1.74	(2.40)	4.80

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