Correlation Between Transamerica Intermediate and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Transamerica Intermediate 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 Transamerica Intermediate and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Transamerica Intermediate Muni and Loomis Sayles Inflation, you can compare the effects of market volatilities on Transamerica Intermediate 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 Transamerica Intermediate with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Transamerica Intermediate and Loomis Sayles.
Diversification Opportunities for Transamerica Intermediate and Loomis Sayles
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Transamerica and Loomis is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Transamerica Intermediate Muni and Loomis Sayles Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Inflation and Transamerica Intermediate 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 Transamerica Intermediate Muni 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 Inflation has no effect on the direction of Transamerica Intermediate i.e., Transamerica Intermediate and Loomis Sayles go up and down completely randomly.
Pair Corralation between Transamerica Intermediate and Loomis Sayles
Assuming the 90 days horizon Transamerica Intermediate Muni is expected to generate 0.73 times more return on investment than Loomis Sayles. However, Transamerica Intermediate Muni is 1.36 times less risky than Loomis Sayles. It trades about 0.04 of its potential returns per unit of risk. Loomis Sayles Inflation is currently generating about 0.02 per unit of risk. If you would invest 1,048 in Transamerica Intermediate Muni on October 1, 2024 and sell it today you would earn a total of 20.00 from holding Transamerica Intermediate Muni or generate 1.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Transamerica Intermediate Muni vs. Loomis Sayles Inflation
Performance |
| Timeline |
| Transamerica Intermediate |
| Loomis Sayles Inflation |
Transamerica Intermediate and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Transamerica Intermediate and Loomis Sayles
The main advantage of trading using opposite Transamerica Intermediate and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Transamerica Intermediate 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 Transamerica Intermediate Muni and Loomis Sayles Inflation 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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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