Correlation Between Loomis Sayles and Loomis Sayles

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Can any of the company-specific risk be diversified away by investing in both Loomis Sayles 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 Loomis Sayles and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Loomis Sayles Small and Loomis Sayles Smallmid, you can compare the effects of market volatilities on Loomis Sayles 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 Loomis Sayles with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loomis Sayles and Loomis Sayles.

Diversification Opportunities for Loomis Sayles and Loomis Sayles

0.99
  Correlation Coefficient

No risk reduction

The 3 months correlation between Loomis and Loomis is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Small 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 Loomis Sayles 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 Loomis Sayles Small 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 Loomis Sayles i.e., Loomis Sayles and Loomis Sayles go up and down completely randomly.

Pair Corralation between Loomis Sayles and Loomis Sayles

Assuming the 90 days horizon Loomis Sayles Small is expected to generate 1.23 times more return on investment than Loomis Sayles. However, Loomis Sayles is 1.23 times more volatile than Loomis Sayles Smallmid. It trades about 0.31 of its potential returns per unit of risk. Loomis Sayles Smallmid is currently generating about 0.32 per unit of risk. If you would invest  2,325  in Loomis Sayles Small on September 1, 2024 and sell it today you would earn a total of  256.00  from holding Loomis Sayles Small or generate 11.01% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Loomis Sayles Small  vs.  Loomis Sayles Smallmid

 Performance 
       Timeline  
Loomis Sayles Small 

Risk-Adjusted Performance

11 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles Small are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Loomis Sayles may actually be approaching a critical reversion point that can send shares even higher in December 2024.
Loomis Sayles Smallmid 

Risk-Adjusted Performance

13 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles Smallmid are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Loomis Sayles may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Loomis Sayles and Loomis Sayles Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Loomis Sayles and Loomis Sayles

The main advantage of trading using opposite Loomis Sayles and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Loomis Sayles 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.
The idea behind Loomis Sayles Small and Loomis Sayles Smallmid pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.

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