Correlation Between Absolute Convertible and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Absolute Convertible 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 Absolute Convertible and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Absolute Convertible Arbitrage and Loomis Sayles Inflation, you can compare the effects of market volatilities on Absolute Convertible 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 Absolute Convertible with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Absolute Convertible and Loomis Sayles.
Diversification Opportunities for Absolute Convertible and Loomis Sayles
-0.57 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Absolute and Loomis is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding Absolute Convertible Arbitrage 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 Absolute Convertible 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 Absolute Convertible Arbitrage 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 Absolute Convertible i.e., Absolute Convertible and Loomis Sayles go up and down completely randomly.
Pair Corralation between Absolute Convertible and Loomis Sayles
Assuming the 90 days horizon Absolute Convertible is expected to generate 1.01 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Absolute Convertible Arbitrage is 2.09 times less risky than Loomis Sayles. It trades about 0.14 of its potential returns per unit of risk. Loomis Sayles Inflation is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 941.00 in Loomis Sayles Inflation on September 14, 2024 and sell it today you would earn a total of 22.00 from holding Loomis Sayles Inflation or generate 2.34% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Absolute Convertible Arbitrage vs. Loomis Sayles Inflation
Performance |
Timeline |
Absolute Convertible |
Loomis Sayles Inflation |
Absolute Convertible and Loomis Sayles Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Absolute Convertible and Loomis Sayles
The main advantage of trading using opposite Absolute Convertible and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Absolute Convertible 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.Absolute Convertible vs. Calvert High Yield | Absolute Convertible vs. California High Yield Municipal | Absolute Convertible vs. Lgm Risk Managed | Absolute Convertible vs. Intal High Relative |
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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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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