Correlation Between Hennessy Cornerstone and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Hennessy Cornerstone 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 Hennessy Cornerstone and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hennessy Nerstone Mid and Loomis Sayles Inflation, you can compare the effects of market volatilities on Hennessy Cornerstone 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 Hennessy Cornerstone with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hennessy Cornerstone and Loomis Sayles.
Diversification Opportunities for Hennessy Cornerstone and Loomis Sayles
0.26 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Hennessy and Loomis is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Nerstone Mid 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 Hennessy Cornerstone 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 Hennessy Nerstone Mid 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 Hennessy Cornerstone i.e., Hennessy Cornerstone and Loomis Sayles go up and down completely randomly.
Pair Corralation between Hennessy Cornerstone and Loomis Sayles
Assuming the 90 days horizon Hennessy Nerstone Mid is expected to under-perform the Loomis Sayles. In addition to that, Hennessy Cornerstone is 4.55 times more volatile than Loomis Sayles Inflation. It trades about -0.28 of its total potential returns per unit of risk. Loomis Sayles Inflation is currently generating about 0.32 per unit of volatility. If you would invest 958.00 in Loomis Sayles Inflation on November 29, 2024 and sell it today you would earn a total of 15.00 from holding Loomis Sayles Inflation or generate 1.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Hennessy Nerstone Mid vs. Loomis Sayles Inflation
Performance |
| Timeline |
| Hennessy Nerstone Mid |
| Loomis Sayles Inflation |
Hennessy Cornerstone and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hennessy Cornerstone and Loomis Sayles
The main advantage of trading using opposite Hennessy Cornerstone and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hennessy Cornerstone 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.| Hennessy Cornerstone vs. Hennessy Focus Fund | Hennessy Cornerstone vs. Small Company Stock Fund | Hennessy Cornerstone vs. Large Cap E | Hennessy Cornerstone vs. Eventide Gilead Fund |
| Loomis Sayles vs. Asg Managed Futures | Loomis Sayles vs. Nationwide Inflation Protected Securities | Loomis Sayles vs. Ab Bond Inflation | Loomis Sayles vs. Western Asset Inflation |
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.
Other Complementary Tools
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios |