Correlation Between Pgim Jennison and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Pgim Jennison 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 Pgim Jennison and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pgim Jennison Diversified and Loomis Sayles Small, you can compare the effects of market volatilities on Pgim Jennison 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 Pgim Jennison with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pgim Jennison and Loomis Sayles.
Diversification Opportunities for Pgim Jennison and Loomis Sayles
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Pgim and Loomis is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Pgim Jennison Diversified 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 Pgim Jennison 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 Pgim Jennison Diversified 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 Pgim Jennison i.e., Pgim Jennison and Loomis Sayles go up and down completely randomly.
Pair Corralation between Pgim Jennison and Loomis Sayles
Assuming the 90 days horizon Pgim Jennison is expected to generate 1.02 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Pgim Jennison Diversified is 1.03 times less risky than Loomis Sayles. It trades about 0.08 of its potential returns per unit of risk. Loomis Sayles Small is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 2,057 in Loomis Sayles Small on September 1, 2024 and sell it today you would earn a total of 255.00 from holding Loomis Sayles Small or generate 12.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.21% |
| Values | Daily Returns |
Pgim Jennison Diversified vs. Loomis Sayles Small
Performance |
| Timeline |
| Pgim Jennison Diversified |
| Loomis Sayles Small |
Pgim Jennison and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pgim Jennison and Loomis Sayles
The main advantage of trading using opposite Pgim Jennison and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pgim Jennison 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.| Pgim Jennison vs. Alliancebernstein National Municipal | Pgim Jennison vs. Old Westbury Municipal | Pgim Jennison vs. T Rowe Price | Pgim Jennison vs. California High Yield Municipal |
| Loomis Sayles vs. Ssga International Stock | Loomis Sayles vs. Northern Small Cap | Loomis Sayles vs. American Beacon Large |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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