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Loomis Sayles Strategic Income Fund (NEFZX) Sharpe Ratio: 1.50

Mutual Fund · Currency in USD · Last updated Jun 3, 2026

The investment seeks high current income with a secondary objective of capital growth. The fund will invest substantially all of its assets in income producing securities (including below investment grade securities, or "junk bonds") with a focus on U.S. corporate bonds, convertible securities, foreign debt instruments, including those in emerging markets and related foreign currency transactions, and U.S. government securities. The fund is not limited in the percentage of its assets that it may invest in these instruments.

NEFZX's Sharpe Ratio of 1.50 indicates that for each unit of volatility, it generates 1.50 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 3, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

NEFZX Sharpe Ratio Rank

NEFZX Sharpe Ratio Rank: 26.727
Below Average

NEFZX ranks above 26.7% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

NEFZX Sharpe Ratio Market Positioning

The chart shows NEFZX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.42 or lower
  • Yellow zone (middle 50%): 1.42 to 2.51
  • Green zone (top 25%): 2.51 or higher
  • Top 1%: 4.65+
  • Median: 2.09 — half of all investments score higher

How it compares to other similar mutual funds

The table compares Loomis Sayles Strategic Income Fund's Sharpe Ratio with other mutual funds in the Multisector Bonds category across multiple time periods, showing how NEFZX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 3, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
NWXHXNationwide Amundi Strategic Income Fund6.18
NWXEXNationwide Strategic Income A5.72
BWDTXBoyd Watterson Limited Duration Enhanced Income Fund4.78
ICMUXIntrepid Income Fund4.44
CBLDXCrossingBridge Low Duration High Yield Fund3.81
RFXIXRational Special Situations Income Fund3.56
ESIIXEaton Vance Strategic Income Fund Class I3.55
ETSIXEaton Vance Strategic Income Fund Class I3.47
RGCYXRussell Investments Opportunistic Credit Fund3.42
MZLSXMuzinich Low Duration Fund3.25
NEFZXLoomis Sayles Strategic Income Fund1.50

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows NEFZX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when NEFZX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

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