Correlation Between Northern Small and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Northern 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 Northern 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 Northern Small Cap and Loomis Sayles Small, you can compare the effects of market volatilities on Northern 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 Northern Small with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Northern Small and Loomis Sayles.
Diversification Opportunities for Northern Small and Loomis Sayles
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Northern and Loomis is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Northern 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 Northern 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 Northern 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 Northern Small i.e., Northern Small and Loomis Sayles go up and down completely randomly.
Pair Corralation between Northern Small and Loomis Sayles
Assuming the 90 days horizon Northern Small Cap is expected to generate 1.08 times more return on investment than Loomis Sayles. However, Northern Small is 1.08 times more volatile than Loomis Sayles Small. It trades about 0.05 of its potential returns per unit of risk. Loomis Sayles Small is currently generating about 0.05 per unit of risk. If you would invest 1,716 in Northern Small Cap on August 30, 2024 and sell it today you would earn a total of 531.00 from holding Northern Small Cap or generate 30.94% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Northern Small Cap vs. Loomis Sayles Small
Performance |
| Timeline |
| Northern Small Cap |
| Loomis Sayles Small |
Northern Small and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Northern Small and Loomis Sayles
The main advantage of trading using opposite Northern Small and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Northern 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.| Northern Small vs. Vanguard Small Cap Value | Northern Small vs. Vanguard Small Cap Value | Northern Small vs. Us Small Cap | Northern Small vs. Us Targeted Value |
| Loomis Sayles vs. T Rowe Price | Loomis Sayles vs. T Rowe Price | Loomis Sayles vs. Fidelity Small Cap | Loomis Sayles vs. Virtus Kar Small Cap |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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