Correlation Between Intermediate-term and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Intermediate-term 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 Intermediate-term and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Intermediate Term Tax Free Bond and Loomis Sayles Smallmid, you can compare the effects of market volatilities on Intermediate-term 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 Intermediate-term with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Intermediate-term and Loomis Sayles.
Diversification Opportunities for Intermediate-term and Loomis Sayles
-0.22 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Intermediate-term and Loomis is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Intermediate Term Tax Free Bon 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 Intermediate-term 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 Intermediate Term Tax Free Bond 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 Intermediate-term i.e., Intermediate-term and Loomis Sayles go up and down completely randomly.
Pair Corralation between Intermediate-term and Loomis Sayles
Assuming the 90 days horizon Intermediate-term is expected to generate 10.72 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Intermediate Term Tax Free Bond is 5.21 times less risky than Loomis Sayles. It trades about 0.15 of its potential returns per unit of risk. Loomis Sayles Smallmid is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest 1,344 in Loomis Sayles Smallmid on September 4, 2024 and sell it today you would earn a total of 115.00 from holding Loomis Sayles Smallmid or generate 8.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Intermediate Term Tax Free Bon vs. Loomis Sayles Smallmid
Performance |
| Timeline |
| Intermediate Term Tax |
| Loomis Sayles Smallmid |
Intermediate-term and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Intermediate-term and Loomis Sayles
The main advantage of trading using opposite Intermediate-term and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Intermediate-term 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.| Intermediate-term vs. Mid Cap Value | Intermediate-term vs. Equity Growth Fund | Intermediate-term vs. Income Growth Fund | Intermediate-term vs. Diversified 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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