Correlation Between Vanguard Small-cap and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Vanguard Small-cap 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 Vanguard Small-cap and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Index and Loomis Sayles Small, you can compare the effects of market volatilities on Vanguard Small-cap 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 Vanguard Small-cap with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small-cap and Loomis Sayles.
Diversification Opportunities for Vanguard Small-cap and Loomis Sayles
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Loomis is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Index and Loomis Sayles Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Small and Vanguard Small-cap 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 Vanguard Small Cap 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 Small has no effect on the direction of Vanguard Small-cap i.e., Vanguard Small-cap and Loomis Sayles go up and down completely randomly.
Pair Corralation between Vanguard Small-cap and Loomis Sayles
Assuming the 90 days horizon Vanguard Small-cap is expected to generate 1.16 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Vanguard Small Cap Index is 1.27 times less risky than Loomis Sayles. It trades about 0.31 of its potential returns per unit of risk. Loomis Sayles Small is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest 2,441 in Loomis Sayles Small on August 30, 2024 and sell it today you would earn a total of 246.00 from holding Loomis Sayles Small or generate 10.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Small Cap Index vs. Loomis Sayles Small
Performance |
| Timeline |
| Vanguard Small Cap |
| Loomis Sayles Small |
Vanguard Small-cap and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Small-cap and Loomis Sayles
The main advantage of trading using opposite Vanguard Small-cap and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small-cap 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.| Vanguard Small-cap vs. Vanguard Mid Cap Index | Vanguard Small-cap vs. Vanguard Total Bond | Vanguard Small-cap vs. Vanguard Institutional Index | Vanguard Small-cap vs. Vanguard Total International |
| Loomis Sayles vs. Vanguard Small Cap Index | Loomis Sayles vs. T Rowe Price | Loomis Sayles vs. HUMANA INC | Loomis Sayles vs. Aquagold International |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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