Correlation Between Ab Global and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Ab Global and Loomis Sayles at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Ab Global and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Global Risk and Loomis Sayles International, you can compare the effects of market volatilities on Ab Global and Loomis Sayles and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Ab Global with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Global and Loomis Sayles.
Diversification Opportunities for Ab Global and Loomis Sayles
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between CABIX and Loomis is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Ab Global Risk and Loomis Sayles International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Intern and Ab Global is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Ab Global Risk are associated (or correlated) with Loomis Sayles. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Loomis Sayles Intern has no effect on the direction of Ab Global i.e., Ab Global and Loomis Sayles go up and down completely randomly.
Pair Corralation between Ab Global and Loomis Sayles
Assuming the 90 days horizon Ab Global is expected to generate 2.54 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Ab Global Risk is 2.02 times less risky than Loomis Sayles. It trades about 0.06 of its potential returns per unit of risk. Loomis Sayles International is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 785.00 in Loomis Sayles International on September 12, 2024 and sell it today you would earn a total of 355.00 from holding Loomis Sayles International or generate 45.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Ab Global Risk vs. Loomis Sayles International
Performance |
| Timeline |
| Ab Global Risk |
| Loomis Sayles Intern |
Ab Global and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Global and Loomis Sayles
The main advantage of trading using opposite Ab Global and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Global position performs unexpectedly, Loomis Sayles can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Loomis Sayles will offset losses from the drop in Loomis Sayles' long position.| Ab Global vs. Prudential Government Income | Ab Global vs. Dreyfus Government Cash | Ab Global vs. Payden Government Fund | Ab Global vs. Sit Government Securities |
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Check out your portfolio center.Note that this page's information should be used as a complementary analysis 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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