Correlation Between Capri Holdings and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Capri Holdings 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 Capri Holdings and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capri Holdings and Loomis Sayles Fixed, you can compare the effects of market volatilities on Capri Holdings 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 Capri Holdings with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capri Holdings and Loomis Sayles.
Diversification Opportunities for Capri Holdings and Loomis Sayles
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Capri and Loomis is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Capri Holdings and Loomis Sayles Fixed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Fixed and Capri Holdings 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 Capri Holdings 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 Fixed has no effect on the direction of Capri Holdings i.e., Capri Holdings and Loomis Sayles go up and down completely randomly.
Pair Corralation between Capri Holdings and Loomis Sayles
Given the investment horizon of 90 days Capri Holdings is expected to under-perform the Loomis Sayles. In addition to that, Capri Holdings is 19.05 times more volatile than Loomis Sayles Fixed. It trades about -0.03 of its total potential returns per unit of risk. Loomis Sayles Fixed is currently generating about 0.17 per unit of volatility. If you would invest 1,158 in Loomis Sayles Fixed on September 1, 2024 and sell it today you would earn a total of 67.00 from holding Loomis Sayles Fixed or generate 5.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Capri Holdings vs. Loomis Sayles Fixed
Performance |
| Timeline |
| Capri Holdings |
| Loomis Sayles Fixed |
Capri Holdings and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capri Holdings and Loomis Sayles
The main advantage of trading using opposite Capri Holdings and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capri Holdings 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.| Capri Holdings vs. Movado Group | Capri Holdings vs. Signet Jewelers | Capri Holdings vs. Lanvin Group Holdings | Capri Holdings vs. TheRealReal |
| Loomis Sayles vs. Loomis Sayles Inflation | Loomis Sayles vs. Loomis Sayles Inflation | Loomis Sayles vs. Loomis Sayles Bond | Loomis Sayles vs. Loomis Sayles Bond |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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