Correlation Between Extended Market and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Extended Market 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 Extended Market and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Extended Market Index and Loomis Sayles Global, you can compare the effects of market volatilities on Extended Market 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 Extended Market with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Extended Market and Loomis Sayles.
Diversification Opportunities for Extended Market and Loomis Sayles
-0.68 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Extended and Loomis is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding Extended Market Index and Loomis Sayles Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Global and Extended Market 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 Extended Market Index 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 Global has no effect on the direction of Extended Market i.e., Extended Market and Loomis Sayles go up and down completely randomly.
Pair Corralation between Extended Market and Loomis Sayles
Assuming the 90 days horizon Extended Market Index is expected to generate 2.85 times more return on investment than Loomis Sayles. However, Extended Market is 2.85 times more volatile than Loomis Sayles Global. It trades about 0.14 of its potential returns per unit of risk. Loomis Sayles Global is currently generating about -0.07 per unit of risk. If you would invest 2,337 in Extended Market Index on September 13, 2024 and sell it today you would earn a total of 143.00 from holding Extended Market Index or generate 6.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 97.67% |
| Values | Daily Returns |
Extended Market Index vs. Loomis Sayles Global
Performance |
| Timeline |
| Extended Market Index |
| Loomis Sayles Global |
Extended Market and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Extended Market and Loomis Sayles
The main advantage of trading using opposite Extended Market and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Extended Market 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.| Extended Market vs. Multimedia Portfolio Multimedia | Extended Market vs. Artisan Select Equity | Extended Market vs. Touchstone International Equity | Extended Market vs. Qs Global Equity |
| Loomis Sayles vs. Loomis Sayles Bond | Loomis Sayles vs. T Rowe Price | Loomis Sayles vs. Westcore Plus Bond | Loomis Sayles vs. Aberdeen Global High |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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