Natixis Sustainable Correlations

NSFFX Fund

USD 12.89 0.05 0.39%

The current 90-days correlation between Natixis Sustainable and Davis Financial Fund is 0.65 (i.e., Poor diversification). The correlation of Natixis Sustainable 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.

Natixis Sustainable Correlation With Market

Very poor diversification

The correlation between Natixis Sustainable Future and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Natixis Sustainable Future 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 Natixis Sustainable Future. 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 census.

Moving together with Natixis Mutual Fund

0.84	NOANX	Natixis Oakmark	Pair Corr
0.89	GCPAX	Gateway Equity Call	Pair Corr
0.89	GCPCX	Gateway Equity Call	Pair Corr
0.89	GCPNX	Gateway Equity Call	Pair Corr
0.89	GCPYX	Gateway Equity Call	Pair Corr
0.94	LGMAX	Loomis Sayles Global	Pair Corr
0.94	LGMCX	Loomis Sayles Global	Pair Corr
0.95	LGMNX	Loomis Sayles Global	Pair Corr
0.85	LGRCX	Loomis Sayles Growth	Pair Corr
0.85	LGRNX	Loomis Sayles Growth	Pair Corr
0.85	LGRRX	Loomis Sayles Growth	Pair Corr
0.93	VNSYX	Vaughan Nelson Select	Pair Corr
0.94	VNSCX	Vaughan Nelson Select	Pair Corr
0.93	VNSAX	Vaughan Nelson Select	Pair Corr
0.93	VNSNX	Vaughan Nelson Select	Pair Corr
0.9	VNVCX	Vaughan Nelson Value	Pair Corr
0.9	VNVAX	Vaughan Nelson Value	Pair Corr
0.9	VNVNX	Vaughan Nelson Value	Pair Corr
0.9	VNVYX	Vaughan Nelson Value	Pair Corr
0.73	LIGCX	Loomis Sayles Intern	Pair Corr
0.75	LIGGX	Loomis Sayles Intern	Pair Corr
0.75	LIGNX	Loomis Sayles Intern	Pair Corr
0.75	LIGYX	Loomis Sayles Intern	Pair Corr
0.98	NSFLX	Natixis Sustainable	Pair Corr
0.98	NSFKX	Natixis Sustainable	Pair Corr
0.99	NSFJX	Natixis Sustainable	Pair Corr

Moving against Natixis Mutual Fund

0.44	LGBCX	Loomis Sayles Investment	Pair Corr
0.42	LGBNX	Loomis Sayles Investment	Pair Corr
0.33	LGANX	Loomis Sayles Limited	Pair Corr
0.43	LIGAX	Loomis Sayles Investment	Pair Corr
0.42	LIGRX	Loomis Sayles Investment	Pair Corr

Related Correlations Analysis

	RPFGX	IAAEX	VFAIX	FIKBX	SBFAX	RGFIX
RPFGX		0.9	0.99	1.0	0.99	0.0	RPFGX
IAAEX	0.9		0.89	0.88	0.88	0.0	IAAEX
VFAIX	0.99	0.89		1.0	1.0	0.0	VFAIX
FIKBX	1.0	0.88	1.0		1.0	0.0	FIKBX
SBFAX	0.99	0.88	1.0	1.0		0.0	SBFAX
RGFIX	0.0	0.0	0.0	0.0	0.0		RGFIX
	RPFGX	IAAEX	VFAIX	FIKBX	SBFAX	RGFIX

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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

FIKBX	+ 1.0	RPFGX
FIKBX	+ 1.0	VFAIX
SBFAX	+ 1.0	VFAIX
SBFAX	+ 1.0	FIKBX
VFAIX	+ 0.99	RPFGX
SBFAX	+ 0.99	RPFGX

High negative correlations

RGFIX	- 0.0	SBFAX
RGFIX	- 0.0	FIKBX
RGFIX	- 0.0	VFAIX
RGFIX	- 0.0	IAAEX
RGFIX	- 0.0	RPFGX

Risk-Adjusted Indicators

There is a big difference between Natixis Mutual Fund performing well and Natixis Sustainable 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 Natixis Sustainable's 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
RPFGX	0.80	0.04	0.10	0.16	0.51	(1.00)	1.85	(1.40)	7.59
IAAEX	0.54	(0.03)	(0.10)	0.09	0.53	(0.60)	1.03	(0.98)	3.17
VFAIX	0.78	0.06	0.12	0.17	0.51	(0.93)	1.77	(1.22)	8.51
FIKBX	0.84	0.07	0.16	0.18	0.50	(1.02)	1.88	(1.15)	9.76
SBFAX	0.80	0.06	0.11	0.17	0.51	(0.96)	1.72	(1.44)	8.60
RGFIX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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