Correlation Between Semiconductor Ultrasector and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Semiconductor Ultrasector 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 Semiconductor Ultrasector and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Semiconductor Ultrasector Profund and Loomis Sayles Smallmid, you can compare the effects of market volatilities on Semiconductor Ultrasector 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 Semiconductor Ultrasector with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semiconductor Ultrasector and Loomis Sayles.
Diversification Opportunities for Semiconductor Ultrasector and Loomis Sayles
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Semiconductor and Loomis is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Semiconductor Ultrasector Prof and Loomis Sayles Smallmid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Smallmid and Semiconductor Ultrasector 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 Semiconductor Ultrasector Profund 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 Smallmid has no effect on the direction of Semiconductor Ultrasector i.e., Semiconductor Ultrasector and Loomis Sayles go up and down completely randomly.
Pair Corralation between Semiconductor Ultrasector and Loomis Sayles
Assuming the 90 days horizon Semiconductor Ultrasector Profund is expected to generate 3.39 times more return on investment than Loomis Sayles. However, Semiconductor Ultrasector is 3.39 times more volatile than Loomis Sayles Smallmid. It trades about 0.1 of its potential returns per unit of risk. Loomis Sayles Smallmid is currently generating about 0.06 per unit of risk. If you would invest 989.00 in Semiconductor Ultrasector Profund on August 30, 2024 and sell it today you would earn a total of 3,369 from holding Semiconductor Ultrasector Profund or generate 340.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Semiconductor Ultrasector Prof vs. Loomis Sayles Smallmid
Performance |
| Timeline |
| Semiconductor Ultrasector |
| Loomis Sayles Smallmid |
Semiconductor Ultrasector and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Semiconductor Ultrasector and Loomis Sayles
The main advantage of trading using opposite Semiconductor Ultrasector and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semiconductor Ultrasector 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.The idea behind Semiconductor Ultrasector Profund and Loomis Sayles Smallmid pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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