Correlation Between National Tax and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both National Tax 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 National Tax and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The National Tax Free and Loomis Sayles Inflation, you can compare the effects of market volatilities on National Tax 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 National Tax with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of National Tax and Loomis Sayles.
Diversification Opportunities for National Tax and Loomis Sayles
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between National and Loomis is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding The National Tax Free and Loomis Sayles Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Inflation and National Tax 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 The National Tax Free 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 Inflation has no effect on the direction of National Tax i.e., National Tax and Loomis Sayles go up and down completely randomly.
Pair Corralation between National Tax and Loomis Sayles
Assuming the 90 days horizon The National Tax Free is expected to generate 0.6 times more return on investment than Loomis Sayles. However, The National Tax Free is 1.67 times less risky than Loomis Sayles. It trades about 0.15 of its potential returns per unit of risk. Loomis Sayles Inflation is currently generating about 0.07 per unit of risk. If you would invest 1,702 in The National Tax Free on September 21, 2024 and sell it today you would earn a total of 150.00 from holding The National Tax Free or generate 8.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
The National Tax Free vs. Loomis Sayles Inflation
Performance |
| Timeline |
| National Tax |
| Loomis Sayles Inflation |
National Tax and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with National Tax and Loomis Sayles
The main advantage of trading using opposite National Tax and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if National Tax 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.| National Tax vs. The Missouri Tax Free | National Tax vs. The Bond Fund | National Tax vs. High Yield Municipal Fund | National Tax vs. Fidelity Intermediate Municipal |
| Loomis Sayles vs. Loomis Sayles Bond | Loomis Sayles vs. Loomis Sayles Bond | Loomis Sayles vs. Loomis Sayles Bond | Loomis Sayles vs. Loomis Sayles Small |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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