Correlation Between Government Securities and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Government Securities 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 Government Securities and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Government Securities Fund and Loomis Sayles Securitized, you can compare the effects of market volatilities on Government Securities 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 Government Securities with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Government Securities and Loomis Sayles.
Diversification Opportunities for Government Securities and Loomis Sayles
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Government and Loomis is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Government Securities Fund and Loomis Sayles Securitized in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Securitized and Government Securities 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 Government Securities Fund 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 Securitized has no effect on the direction of Government Securities i.e., Government Securities and Loomis Sayles go up and down completely randomly.
Pair Corralation between Government Securities and Loomis Sayles
Assuming the 90 days horizon Government Securities is expected to generate 1.61 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Government Securities Fund is 1.16 times less risky than Loomis Sayles. It trades about 0.04 of its potential returns per unit of risk. Loomis Sayles Securitized is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 700.00 in Loomis Sayles Securitized on August 30, 2024 and sell it today you would earn a total of 77.00 from holding Loomis Sayles Securitized or generate 11.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Government Securities Fund vs. Loomis Sayles Securitized
Performance |
| Timeline |
| Government Securities |
| Loomis Sayles Securitized |
Government Securities and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Government Securities and Loomis Sayles
The main advantage of trading using opposite Government Securities and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Government Securities 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 Government Securities Fund and Loomis Sayles Securitized 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.
| Loomis Sayles vs. Government Securities Fund | Loomis Sayles vs. Us Government Securities | Loomis Sayles vs. Dreyfus Government Cash | Loomis Sayles vs. Us Government Securities |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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