Loomis Sayles Correlations

NERYX Fund

USD 11.71 0.02 0.17%

The current 90-days correlation between Loomis Sayles E and Cmg Ultra Short is 0.03 (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

Modest diversification

The correlation between Loomis Sayles E and DJI is 0.25 (i.e., Modest 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 unemployment.

Moving together with Loomis Mutual Fund

0.65	LGBCX	Loomis Sayles Investment	Pair Corr
0.67	LIGRX	Loomis Sayles Investment	Pair Corr
0.71	NECRX	Loomis Sayles E	Pair Corr
0.67	NEFRX	Loomis Sayles E	Pair Corr
0.62	NELYX	Loomis Sayles Limited	Pair Corr
0.67	LSBRX	Loomis Sayles Bond	Pair Corr
0.85	LSDRX	Loomis Sayles Interm	Pair Corr
0.63	LSFIX	Loomis Sayles Fixed	Pair Corr

Related Correlations Analysis

	CMGUX	SNORX	ASCLX	BPIRX	VMSSX	JIBDX	FTFZX	TASTX
CMGUX		0.88	0.78	0.72	0.94	0.84	0.93	0.93	CMGUX
SNORX	0.88		0.94	0.88	0.86	0.81	0.74	0.84	SNORX
ASCLX	0.78	0.94		0.91	0.76	0.73	0.66	0.73	ASCLX
BPIRX	0.72	0.88	0.91		0.73	0.72	0.61	0.71	BPIRX
VMSSX	0.94	0.86	0.76	0.73		0.88	0.89	0.97	VMSSX
JIBDX	0.84	0.81	0.73	0.72	0.88		0.8	0.89	JIBDX
FTFZX	0.93	0.74	0.66	0.61	0.89	0.8		0.89	FTFZX
TASTX	0.93	0.84	0.73	0.71	0.97	0.89	0.89		TASTX
	CMGUX	SNORX	ASCLX	BPIRX	VMSSX	JIBDX	FTFZX	TASTX

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
CMGUX	0.03	0.00	0.00	0.02	0.00	0.00	0.11	0.00	0.43
SNORX	0.75	0.12	0.12	0.23	0.56	(0.83)	1.78	(1.28)	6.59
ASCLX	0.58	0.25	0.35	1.10	0.00	(0.79)	0.68	(0.58)	17.14
BPIRX	0.56	0.16	0.21	0.46	0.00	(0.70)	1.11	(0.80)	10.40
VMSSX	0.07	0.00	(0.28)	0.11	0.00	(0.27)	0.22	(0.22)	0.66
JIBDX	0.05	0.00	(0.48)	0.21	0.00	(0.08)	0.13	(0.07)	0.46
FTFZX	0.03	0.00	0.00	0.45	0.00	0.00	0.10	(0.10)	0.39
TASTX	0.06	0.00	(0.63)	0.04	0.00	(0.13)	0.10	(0.10)	0.51

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Loomis Sayles Correlations

Loomis Sayles Correlation With Market

Modest diversification

Moving together with Loomis Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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