Loomis Sayles Correlations

LSSIX Fund

USD 30.49 0.10 0.33%

The current 90-days correlation between Loomis Sayles Small and Iaadx is 0.27 (i.e., Modest 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 0.76 (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 gross domestic product.

Moving together with Loomis Mutual Fund

0.87	LSMIX	Loomis Sayles Smallmid	Pair Corr
0.87	LSMNX	Loomis Sayles Smallmid	Pair Corr
1.0	LSSNX	Loomis Sayles Small	Pair Corr
1.0	LCGRX	Loomis Sayles Small	Pair Corr
0.8	VSGAX	Vanguard Small Cap	Pair Corr
0.8	VSGIX	Vanguard Small Cap	Pair Corr
0.8	VISGX	Vanguard Small Cap	Pair Corr
0.91	VEXPX	Vanguard Explorer	Pair Corr
0.91	VEXRX	Vanguard Explorer	Pair Corr
0.76	JGMIX	Janus Triton	Pair Corr
0.76	JGMRX	Janus Triton	Pair Corr
0.75	JGMAX	Janus Triton	Pair Corr
0.77	JGMCX	Janus Triton	Pair Corr
0.75	JGMNX	Janus Triton	Pair Corr
0.64	VTSAX	Vanguard Total Stock	Pair Corr
0.64	VTSMX	Vanguard Total Stock	Pair Corr
0.64	VSMPX	Vanguard Total Stock	Pair Corr
0.64	VSTSX	Vanguard Total Stock	Pair Corr
0.64	VITSX	Vanguard Total Stock	Pair Corr

Related Correlations Analysis

	IAADX	VOLJX	RPBAX	FABWX	LMUSX	FKHEMX	HDCAX
IAADX		0.76	0.76	0.79	0.83	0.78	0.86	IAADX
VOLJX	0.76		0.97	0.96	0.95	0.97	0.91	VOLJX
RPBAX	0.76	0.97		0.97	0.95	0.98	0.92	RPBAX
FABWX	0.79	0.96	0.97		0.97	0.96	0.92	FABWX
LMUSX	0.83	0.95	0.95	0.97		0.94	0.92	LMUSX
FKHEMX	0.78	0.97	0.98	0.96	0.94		0.94	FKHEMX
HDCAX	0.86	0.91	0.92	0.92	0.92	0.94		HDCAX
	IAADX	VOLJX	RPBAX	FABWX	LMUSX	FKHEMX	HDCAX

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
IAADX	0.18	0.04	(0.05)	0.45	0.00	(0.26)	0.42	(0.31)	1.25
VOLJX	0.57	0.02	0.01	0.08	0.96	(0.55)	1.36	(1.22)	3.88
RPBAX	0.36	0.01	(0.02)	0.08	0.49	(0.34)	0.79	(0.74)	2.13
FABWX	0.62	0.02	0.02	0.08	0.92	(0.60)	1.14	(1.45)	4.04
LMUSX	0.56	0.03	0.03	0.09	0.76	(0.52)	1.25	(1.38)	3.59
FKHEMX	0.61	0.04	0.04	0.10	0.76	(0.64)	1.40	(1.21)	3.75
HDCAX	0.48	0.06	0.05	0.18	0.51	(0.52)	1.01	(0.99)	2.95

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Loomis Sayles Correlations

Loomis Sayles Correlation With Market

Poor diversification

Moving together with Loomis Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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