Correlation Between Versus Capital and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Versus Capital 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 Versus Capital and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Versus Capital Multi Manager and Loomis Sayles Inflation, you can compare the effects of market volatilities on Versus Capital 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 Versus Capital with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Versus Capital and Loomis Sayles.
Diversification Opportunities for Versus Capital and Loomis Sayles
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Versus and Loomis is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Versus Capital Multi Manager 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 Versus Capital 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 Versus Capital Multi Manager 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 Versus Capital i.e., Versus Capital and Loomis Sayles go up and down completely randomly.
Pair Corralation between Versus Capital and Loomis Sayles
Assuming the 90 days horizon Versus Capital Multi Manager is expected to under-perform the Loomis Sayles. But the mutual fund apears to be less risky and, when comparing its historical volatility, Versus Capital Multi Manager is 1.49 times less risky than Loomis Sayles. The mutual fund trades about -0.04 of its potential returns per unit of risk. The Loomis Sayles Inflation is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 901.00 in Loomis Sayles Inflation on September 12, 2024 and sell it today you would earn a total of 68.00 from holding Loomis Sayles Inflation or generate 7.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.39% |
| Values | Daily Returns |
Versus Capital Multi Manager vs. Loomis Sayles Inflation
Performance |
| Timeline |
| Versus Capital Multi |
| Loomis Sayles Inflation |
Versus Capital and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Versus Capital and Loomis Sayles
The main advantage of trading using opposite Versus Capital and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Versus Capital 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.| Versus Capital vs. Loomis Sayles Inflation | Versus Capital vs. Deutsche Global Inflation | Versus Capital vs. Ab Bond Inflation | Versus Capital vs. Simt Multi Asset Inflation |
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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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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