Correlation Between Arrow Managed and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Arrow Managed 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 Arrow Managed and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Arrow Managed Futures and Loomis Sayles E, you can compare the effects of market volatilities on Arrow Managed 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 Arrow Managed with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Arrow Managed and Loomis Sayles.
Diversification Opportunities for Arrow Managed and Loomis Sayles
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Arrow and Loomis is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Arrow Managed Futures and Loomis Sayles E in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles E and Arrow Managed 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 Arrow Managed Futures 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 E has no effect on the direction of Arrow Managed i.e., Arrow Managed and Loomis Sayles go up and down completely randomly.
Pair Corralation between Arrow Managed and Loomis Sayles
Assuming the 90 days horizon Arrow Managed Futures is expected to generate 3.71 times more return on investment than Loomis Sayles. However, Arrow Managed is 3.71 times more volatile than Loomis Sayles E. It trades about 0.01 of its potential returns per unit of risk. Loomis Sayles E is currently generating about -0.05 per unit of risk. If you would invest 557.00 in Arrow Managed Futures on September 3, 2024 and sell it today you would earn a total of 1.00 from holding Arrow Managed Futures or generate 0.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Arrow Managed Futures vs. Loomis Sayles E
Performance |
| Timeline |
| Arrow Managed Futures |
| Loomis Sayles E |
Arrow Managed and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Arrow Managed and Loomis Sayles
The main advantage of trading using opposite Arrow Managed and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Arrow Managed 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.| Arrow Managed vs. Transamerica Funds | Arrow Managed vs. T Rowe Price | Arrow Managed vs. Cs 607 Tax | Arrow Managed vs. Intermediate Term Tax Free Bond |
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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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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