Correlation Between Loomis Sayles and Calvert Small
Can any of the company-specific risk be diversified away by investing in both Loomis Sayles and Calvert Small 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 Calvert Small 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 Calvert Small Cap, you can compare the effects of market volatilities on Loomis Sayles and Calvert Small 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 Calvert Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loomis Sayles and Calvert Small.
Diversification Opportunities for Loomis Sayles and Calvert Small
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Loomis and Calvert is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Small and Calvert Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Small Cap 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 Calvert Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Small Cap has no effect on the direction of Loomis Sayles i.e., Loomis Sayles and Calvert Small go up and down completely randomly.
Pair Corralation between Loomis Sayles and Calvert Small
Assuming the 90 days horizon Loomis Sayles Small is expected to generate 1.19 times more return on investment than Calvert Small. However, Loomis Sayles is 1.19 times more volatile than Calvert Small Cap. It trades about 0.25 of its potential returns per unit of risk. Calvert Small Cap is currently generating about 0.24 per unit of risk. If you would invest 3,012 in Loomis Sayles Small on August 30, 2024 and sell it today you would earn a total of 288.00 from holding Loomis Sayles Small or generate 9.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Loomis Sayles Small vs. Calvert Small Cap
Performance |
| Timeline |
| Loomis Sayles Small |
| Calvert Small Cap |
Loomis Sayles and Calvert Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Loomis Sayles and Calvert Small
The main advantage of trading using opposite Loomis Sayles and Calvert Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Loomis Sayles position performs unexpectedly, Calvert Small 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 Calvert Small will offset losses from the drop in Calvert Small's long position.| Loomis Sayles vs. Mainstay Large Cap | Loomis Sayles vs. Mfs Value Fund | Loomis Sayles vs. Harbor Capital Appreciation | Loomis Sayles vs. Goldman Sachs Small |
| Calvert Small vs. Calvert Equity Portfolio | Calvert Small vs. Calvert Emerging Markets | Calvert Small vs. Calvert Large Cap | Calvert Small vs. Calvert Short Duration |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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