Correlation Between Sp Midcap and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Sp Midcap 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 Sp Midcap and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sp Midcap Index and Loomis Sayles Strategic, you can compare the effects of market volatilities on Sp Midcap 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 Sp Midcap with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sp Midcap and Loomis Sayles.
Diversification Opportunities for Sp Midcap and Loomis Sayles
0.28 | Correlation Coefficient |
Modest diversification
The 3 months correlation between SPMIX and Loomis is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Sp Midcap Index and Loomis Sayles Strategic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Strategic and Sp Midcap 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 Sp Midcap Index 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 Strategic has no effect on the direction of Sp Midcap i.e., Sp Midcap and Loomis Sayles go up and down completely randomly.
Pair Corralation between Sp Midcap and Loomis Sayles
Assuming the 90 days horizon Sp Midcap is expected to generate 101.8 times less return on investment than Loomis Sayles. In addition to that, Sp Midcap is 8.89 times more volatile than Loomis Sayles Strategic. It trades about 0.0 of its total potential returns per unit of risk. Loomis Sayles Strategic is currently generating about 0.2 per unit of volatility. If you would invest 1,218 in Loomis Sayles Strategic on September 2, 2024 and sell it today you would earn a total of 13.00 from holding Loomis Sayles Strategic or generate 1.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sp Midcap Index vs. Loomis Sayles Strategic
Performance |
| Timeline |
| Sp Midcap Index |
| Loomis Sayles Strategic |
Sp Midcap and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sp Midcap and Loomis Sayles
The main advantage of trading using opposite Sp Midcap and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sp Midcap 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.| Sp Midcap vs. Shelton Emerging Markets | Sp Midcap vs. Ep Emerging Markets | Sp Midcap vs. Black Oak Emerging | Sp Midcap vs. Barings Emerging Markets |
| Loomis Sayles vs. Ep Emerging Markets | Loomis Sayles vs. Rbc Emerging Markets | Loomis Sayles vs. Pnc Emerging Markets | Loomis Sayles vs. Sp Midcap Index |
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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