Correlation Between Calvert Moderate and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Calvert Moderate 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 Calvert Moderate and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Moderate Allocation and Loomis Sayles Smallmid, you can compare the effects of market volatilities on Calvert Moderate 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 Calvert Moderate with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Loomis Sayles.
Diversification Opportunities for Calvert Moderate and Loomis Sayles
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calvert and Loomis is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Loomis Sayles Smallmid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Smallmid and Calvert Moderate 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 Calvert Moderate Allocation 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 Smallmid has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Loomis Sayles go up and down completely randomly.
Pair Corralation between Calvert Moderate and Loomis Sayles
Assuming the 90 days horizon Calvert Moderate Allocation is expected to generate 0.39 times more return on investment than Loomis Sayles. However, Calvert Moderate Allocation is 2.58 times less risky than Loomis Sayles. It trades about 0.1 of its potential returns per unit of risk. Loomis Sayles Smallmid is currently generating about -0.08 per unit of risk. If you would invest 2,121 in Calvert Moderate Allocation on September 12, 2024 and sell it today you would earn a total of 16.00 from holding Calvert Moderate Allocation or generate 0.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Calvert Moderate Allocation vs. Loomis Sayles Smallmid
Performance |
| Timeline |
| Calvert Moderate All |
| Loomis Sayles Smallmid |
Calvert Moderate and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Moderate and Loomis Sayles
The main advantage of trading using opposite Calvert Moderate and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Moderate 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.| Calvert Moderate vs. Strategic Allocation Servative | Calvert Moderate vs. Strategic Allocation Aggressive | Calvert Moderate vs. Value Fund Investor | Calvert Moderate vs. International Growth Fund |
| Loomis Sayles vs. Franklin Lifesmart Retirement | Loomis Sayles vs. Jp Morgan Smartretirement | Loomis Sayles vs. Calvert Moderate Allocation | Loomis Sayles vs. Transamerica Cleartrack Retirement |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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