Loomis Sayles Small Fund Market Value
| LSSNX Fund | USD 32.53 0.47 1.42% |
| 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.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in Loomis Sayles on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding Loomis Sayles Small or generate 0.0% return on investment in Loomis Sayles over 480 days. Loomis Sayles is related to or competes with Mainstay Large, Mfs Value, Harbor Capital, Goldman Sachs, and Eagle Mid. The fund normally will invest at least 80 percent of its net assets in the equity securities of small-cap companies, inc... 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 Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9367 | |||
| Information Ratio | 0.0841 | |||
| Maximum Drawdown | 8.15 | |||
| Value At Risk | (1.42) | |||
| Potential Upside | 1.73 |
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 | 0.1377 | |||
| Jensen Alpha | 0.1874 | |||
| Total Risk Alpha | 0.0227 | |||
| Sortino Ratio | 0.111 | |||
| Treynor Ratio | 0.8058 |
Loomis Sayles Small Backtested Returns
Loomis Sayles appears to be very steady, given 3 months investment horizon. Loomis Sayles Small has Sharpe Ratio of 0.16, which conveys that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Loomis Sayles, which you can use to evaluate the volatility of the fund. Please exercise Loomis Sayles' Downside Deviation of 0.9367, risk adjusted performance of 0.1377, and Mean Deviation of 0.8706 to check out if our risk estimates are consistent with your expectations. The fund secures a Beta (Market Risk) of 0.27, 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 | 0.61 |
Good predictability
Loomis Sayles Small has good predictability. Overlapping area represents the amount of predictability between Loomis Sayles time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th of December 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 Small price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current Loomis Sayles price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 2.48 |
Loomis Sayles Small 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 Small.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Loomis Mutual Fund
Loomis Sayles financial ratios help investors to determine whether Loomis Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Loomis with respect to the benefits of owning Loomis Sayles security.
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