Loomis Sayles Correlations

NERYX Fund

USD 11.53 0.01 0.09%

The current 90-days correlation between Loomis Sayles E and Multi Manager High Yield is 0.07 (i.e., Significant 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 E and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles E 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 E. 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

0.65	NOIAX	Natixis Oakmark Inte	Pair Corr
0.66	NOICX	Natixis Oakmark Inte	Pair Corr
0.65	NOIYX	Natixis Oakmark Intl	Pair Corr
0.7	LGANX	Loomis Sayles Limited	Pair Corr
0.94	LGBCX	Loomis Sayles Investment	Pair Corr
0.99	LGBNX	Loomis Sayles Investment	Pair Corr
0.95	LIGAX	Loomis Sayles Investment	Pair Corr
0.95	LIGRX	Loomis Sayles Investment	Pair Corr
0.77	NRCFX	Aew Real Estate	Pair Corr
0.81	NRFAX	Aew Real Estate	Pair Corr
0.79	NRFNX	Aew Real Estate	Pair Corr
0.81	NRFYX	Aew Real Estate	Pair Corr

Moving against LOOMIS Mutual Fund

0.71	AMFAX	Asg Managed Futures	Pair Corr
0.71	AMFNX	Asg Managed Futures	Pair Corr

Related Correlations Analysis

	NMHYX	SGYAX	PBHAX	OGHCX	RIMOX	PHDTX	PRHYX
NMHYX		0.93	0.97	0.93	0.95	0.98	0.92	NMHYX
SGYAX	0.93		0.93	0.8	0.92	0.88	0.95	SGYAX
PBHAX	0.97	0.93		0.92	0.92	0.96	0.93	PBHAX
OGHCX	0.93	0.8	0.92		0.81	0.96	0.87	OGHCX
RIMOX	0.95	0.92	0.92	0.81		0.92	0.87	RIMOX
PHDTX	0.98	0.88	0.96	0.96	0.92		0.9	PHDTX
PRHYX	0.92	0.95	0.93	0.87	0.87	0.9		PRHYX
	NMHYX	SGYAX	PBHAX	OGHCX	RIMOX	PHDTX	PRHYX

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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
NMHYX	0.11	0.01	0.41	(0.78)	0.00	(0.15)	0.24	(0.24)	0.72
SGYAX	0.15	0.03	0.44	0.63	0.00	(0.28)	0.57	(0.28)	1.28
PBHAX	0.15	0.02	0.34	(0.57)	0.00	(0.32)	0.63	(0.21)	1.06
OGHCX	0.12	0.01	0.32	(0.35)	0.06	(0.19)	0.16	(0.31)	0.78
RIMOX	0.05	0.03	0.76	0.86	0.00	(0.08)	0.15	(0.10)	0.36
PHDTX	0.11	0.02	0.40	(2.63)	0.00	(0.15)	0.23	(0.23)	0.79
PRHYX	0.14	0.02	0.32	0.18	0.00	(0.27)	0.51	(0.34)	1.18

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