Correlation Between Siit Ultra and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Siit Ultra 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 Siit Ultra and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Siit Ultra Short and Loomis Sayles Institutional, you can compare the effects of market volatilities on Siit Ultra 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 Siit Ultra with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siit Ultra and Loomis Sayles.
Diversification Opportunities for Siit Ultra and Loomis Sayles
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Siit and Loomis is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Siit Ultra Short and Loomis Sayles Institutional in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Instit and Siit Ultra 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 Siit Ultra Short 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 Instit has no effect on the direction of Siit Ultra i.e., Siit Ultra and Loomis Sayles go up and down completely randomly.
Pair Corralation between Siit Ultra and Loomis Sayles
Assuming the 90 days horizon Siit Ultra is expected to generate 1.6 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Siit Ultra Short is 2.99 times less risky than Loomis Sayles. It trades about 0.22 of its potential returns per unit of risk. Loomis Sayles Institutional is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 506.00 in Loomis Sayles Institutional on September 4, 2024 and sell it today you would earn a total of 97.00 from holding Loomis Sayles Institutional or generate 19.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.8% |
| Values | Daily Returns |
Siit Ultra Short vs. Loomis Sayles Institutional
Performance |
| Timeline |
| Siit Ultra Short |
| Loomis Sayles Instit |
Siit Ultra and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siit Ultra and Loomis Sayles
The main advantage of trading using opposite Siit Ultra and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siit Ultra 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.| Siit Ultra vs. Arrow Managed Futures | Siit Ultra vs. Aqr Managed Futures | Siit Ultra vs. Asg Managed Futures | Siit Ultra vs. Inflation Protected Bond Fund |
| Loomis Sayles vs. Loomis Sayles Inflation | Loomis Sayles vs. Loomis Sayles Inflation | Loomis Sayles vs. Loomis Sayles Bond | Loomis Sayles vs. Loomis Sayles Bond |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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