Correlation Between Vanguard High and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Vanguard High 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 High 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 High Yield Tax Exempt and Loomis Sayles Strategic, you can compare the effects of market volatilities on Vanguard High 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 High with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard High and Loomis Sayles.
Diversification Opportunities for Vanguard High and Loomis Sayles
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Vanguard and Loomis is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard High Yield Tax Exempt and Loomis Sayles Strategic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Strategic and Vanguard High 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 High Yield Tax Exempt 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 Strategic has no effect on the direction of Vanguard High i.e., Vanguard High and Loomis Sayles go up and down completely randomly.
Pair Corralation between Vanguard High and Loomis Sayles
Assuming the 90 days horizon Vanguard High is expected to generate 1.99 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Vanguard High Yield Tax Exempt is 1.21 times less risky than Loomis Sayles. It trades about 0.08 of its potential returns per unit of risk. Loomis Sayles Strategic is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 1,144 in Loomis Sayles Strategic on September 1, 2024 and sell it today you would earn a total of 89.00 from holding Loomis Sayles Strategic or generate 7.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard High Yield Tax Exempt vs. Loomis Sayles Strategic
Performance |
| Timeline |
| Vanguard High Yield |
| Loomis Sayles Strategic |
Vanguard High and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard High and Loomis Sayles
The main advantage of trading using opposite Vanguard High and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard High 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 High vs. Vanguard Intermediate Term Tax Exempt | Vanguard High vs. Vanguard Long Term Tax Exempt | Vanguard High vs. Vanguard High Yield Corporate | Vanguard High vs. Vanguard Limited Term Tax Exempt |
| Loomis Sayles vs. Asg Managed Futures | Loomis Sayles vs. Asg Managed Futures | Loomis Sayles vs. Natixis Oakmark | Loomis Sayles vs. Natixis Oakmark 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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