Correlation Between Capital World and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Capital World 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 Capital World and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capital World Growth and Loomis Sayles Growth, you can compare the effects of market volatilities on Capital World 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 Capital World with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capital World and Loomis Sayles.
Diversification Opportunities for Capital World and Loomis Sayles
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Capital and Loomis is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Capital World Growth and Loomis Sayles Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Growth and Capital World 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 Capital World Growth 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 Growth has no effect on the direction of Capital World i.e., Capital World and Loomis Sayles go up and down completely randomly.
Pair Corralation between Capital World and Loomis Sayles
Assuming the 90 days horizon Capital World is expected to generate 23.69 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Capital World Growth is 1.78 times less risky than Loomis Sayles. It trades about 0.01 of its potential returns per unit of risk. Loomis Sayles Growth is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest 2,928 in Loomis Sayles Growth on August 31, 2024 and sell it today you would earn a total of 141.00 from holding Loomis Sayles Growth or generate 4.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Capital World Growth vs. Loomis Sayles Growth
Performance |
| Timeline |
| Capital World Growth |
| Loomis Sayles Growth |
Capital World and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capital World and Loomis Sayles
The main advantage of trading using opposite Capital World and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capital World 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.| Capital World vs. Franklin Lifesmart Retirement | Capital World vs. Dimensional Retirement Income | Capital World vs. Jp Morgan Smartretirement | Capital World vs. Strategic Allocation Moderate |
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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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