Correlation Between Deutsche and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Deutsche 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 Deutsche and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Deutsche Sp 500 and Loomis Sayles Small, you can compare the effects of market volatilities on Deutsche 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 Deutsche with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Deutsche and Loomis Sayles.
Diversification Opportunities for Deutsche and Loomis Sayles
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Deutsche and Loomis is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Sp 500 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 Deutsche 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 Deutsche Sp 500 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 Deutsche i.e., Deutsche and Loomis Sayles go up and down completely randomly.
Pair Corralation between Deutsche and Loomis Sayles
Assuming the 90 days horizon Deutsche Sp 500 is expected to generate 0.6 times more return on investment than Loomis Sayles. However, Deutsche Sp 500 is 1.66 times less risky than Loomis Sayles. It trades about 0.07 of its potential returns per unit of risk. Loomis Sayles Small is currently generating about -0.06 per unit of risk. If you would invest 5,122 in Deutsche Sp 500 on September 12, 2024 and sell it today you would earn a total of 35.00 from holding Deutsche Sp 500 or generate 0.68% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Deutsche Sp 500 vs. Loomis Sayles Small
Performance |
| Timeline |
| Deutsche Sp 500 |
| Loomis Sayles Small |
Deutsche and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Deutsche and Loomis Sayles
The main advantage of trading using opposite Deutsche and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Deutsche 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.| Deutsche vs. Vanguard Total Stock | Deutsche vs. Vanguard 500 Index | Deutsche vs. Vanguard Total Stock | Deutsche vs. Vanguard Total Stock |
| Loomis Sayles vs. Sp Midcap Index | Loomis Sayles vs. Sp 500 Index | Loomis Sayles vs. Nasdaq 100 Index Fund | Loomis Sayles vs. Deutsche Sp 500 |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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