Loomis Sayles Strategic Fund Market Value
| NEFZX Fund | USD 11.63 0.03 0.26% |
| Symbol | Loomis |
Loomis Sayles 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Loomis Sayles' mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Loomis Sayles.
| 03/17/2024 |
| 04/16/2024 |
If you would invest 0.00 in Loomis Sayles on March 17, 2024 and sell it all today you would earn a total of 0.00 from holding Loomis Sayles Strategic or generate 0.0% return on investment in Loomis Sayles over 30 days. Loomis Sayles is related to or competes with Asg Managed, Asg Managed, Natixis Oakmark, Natixis Oakmark, Natixis Oakmark, Gateway Equity, and Gateway Equity. The fund will invest substantially all of its assets in income producing securities with a focus on U.S More
Loomis Sayles Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Loomis Sayles' mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Loomis Sayles Strategic upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 1.54 | |||
| Value At Risk | (0.68) | |||
| Potential Upside | 0.4292 |
Loomis Sayles Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Loomis Sayles' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Loomis Sayles' standard deviation. In reality, there are many statistical measures that can use Loomis Sayles historical prices to predict the future Loomis Sayles' volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.04) | |||
| Treynor Ratio | (0.57) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Loomis Sayles' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Loomis Sayles Strategic Backtested Returns
We consider Loomis Sayles very steady. Loomis Sayles Strategic has Sharpe Ratio of 0.0138, which conveys that the entity had a 0.0138% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Loomis Sayles, which you can use to evaluate the volatility of the fund. Please verify Loomis Sayles' Mean Deviation of 0.2575, risk adjusted performance of (0.01), and Standard Deviation of 0.3492 to check out if the risk estimate we provide is consistent with the expected return of 0.0048%. The fund secures a Beta (Market Risk) of 0.0188, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Loomis Sayles' returns are expected to increase less than the market. However, during the bear market, the loss of holding Loomis Sayles is expected to be smaller as well.
Auto-correlation | -0.52 |
Good reverse predictability
Loomis Sayles Strategic has good reverse predictability. Overlapping area represents the amount of predictability between Loomis Sayles time series from 17th of March 2024 to 1st of April 2024 and 1st of April 2024 to 16th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Loomis Sayles Strategic price movement. The serial correlation of -0.52 indicates that about 52.0% of current Loomis Sayles price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Loomis Sayles Strategic lagged returns against current returns
Autocorrelation, which is Loomis Sayles mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Loomis Sayles' mutual fund expected returns. We can calculate the autocorrelation of Loomis Sayles returns to help us make a trade decision. For example, suppose you find that Loomis Sayles has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Loomis Sayles regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Loomis Sayles mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Loomis Sayles mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Loomis Sayles mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Loomis Sayles Lagged Returns
When evaluating Loomis Sayles' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Loomis Sayles mutual fund have on its future price. Loomis Sayles autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Loomis Sayles autocorrelation shows the relationship between Loomis Sayles mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Loomis Sayles Strategic.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Loomis Sayles Correlation, Loomis Sayles Volatility and Loomis Sayles Alpha and Beta module to complement your research on Loomis Sayles. Note that the Loomis Sayles Strategic information on this page should be used as a complementary analysis to other Loomis Sayles' statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Loomis Sayles technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.