Correlation Between Nasdaq-100(r) and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Nasdaq-100(r) 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 Nasdaq-100(r) and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nasdaq 100 2x Strategy and Loomis Sayles E, you can compare the effects of market volatilities on Nasdaq-100(r) 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 Nasdaq-100(r) with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq-100(r) and Loomis Sayles.
Diversification Opportunities for Nasdaq-100(r) and Loomis Sayles
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Nasdaq-100(r) and Loomis is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 2x Strategy 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 Nasdaq-100(r) 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 Nasdaq 100 2x Strategy 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 Nasdaq-100(r) i.e., Nasdaq-100(r) and Loomis Sayles go up and down completely randomly.
Pair Corralation between Nasdaq-100(r) and Loomis Sayles
Assuming the 90 days horizon Nasdaq 100 2x Strategy is expected to generate 7.91 times more return on investment than Loomis Sayles. However, Nasdaq-100(r) is 7.91 times more volatile than Loomis Sayles E. It trades about 0.06 of its potential returns per unit of risk. Loomis Sayles E is currently generating about 0.03 per unit of risk. If you would invest 39,202 in Nasdaq 100 2x Strategy on October 20, 2024 and sell it today you would earn a total of 907.00 from holding Nasdaq 100 2x Strategy or generate 2.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nasdaq 100 2x Strategy vs. Loomis Sayles E
Performance |
| Timeline |
| Nasdaq 100 2x |
| Loomis Sayles E |
Nasdaq-100(r) and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nasdaq-100(r) and Loomis Sayles
The main advantage of trading using opposite Nasdaq-100(r) and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq-100(r) 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.| Nasdaq-100(r) vs. Multi Manager High Yield | Nasdaq-100(r) vs. Virtus High Yield | Nasdaq-100(r) vs. Dunham High Yield | Nasdaq-100(r) vs. Ab High Income |
| Loomis Sayles vs. Dreyfusstandish Global Fixed | Loomis Sayles vs. Locorr Dynamic Equity | Loomis Sayles vs. Us Vector Equity | Loomis Sayles vs. Siit Equity Factor |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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