Correlation Between Calvert Small and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Calvert Small 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 Small 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 Small Cap and Loomis Sayles Small, you can compare the effects of market volatilities on Calvert Small 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 Small with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Small and Loomis Sayles.
Diversification Opportunities for Calvert Small and Loomis Sayles
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Calvert and Loomis is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap and Loomis Sayles Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Small and Calvert Small 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 Small Cap 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 Small has no effect on the direction of Calvert Small i.e., Calvert Small and Loomis Sayles go up and down completely randomly.
Pair Corralation between Calvert Small and Loomis Sayles
Assuming the 90 days horizon Calvert Small is expected to generate 1.2 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Calvert Small Cap is 1.1 times less risky than Loomis Sayles. It trades about 0.24 of its potential returns per unit of risk. Loomis Sayles Small is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest 2,443 in Loomis Sayles Small on August 30, 2024 and sell it today you would earn a total of 233.00 from holding Loomis Sayles Small or generate 9.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Small Cap vs. Loomis Sayles Small
Performance |
| Timeline |
| Calvert Small Cap |
| Loomis Sayles Small |
Calvert Small and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Small and Loomis Sayles
The main advantage of trading using opposite Calvert Small and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Small 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 Small vs. Calvert Equity Portfolio | Calvert Small vs. Calvert Emerging Markets | Calvert Small vs. Calvert Large Cap | Calvert Small vs. Calvert Short Duration |
| Loomis Sayles vs. Vanguard Small Cap Index | Loomis Sayles vs. T Rowe Price | Loomis Sayles vs. HUMANA INC | Loomis Sayles vs. Aquagold International |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Other Complementary Tools
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Crypto Correlations Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings |