Correlation Between Fulcrum Diversified and Loomis Sayles

Can any of the company-specific risk be diversified away by investing in both Fulcrum Diversified 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 Fulcrum Diversified and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Fulcrum Diversified Absolute and Loomis Sayles International, you can compare the effects of market volatilities on Fulcrum Diversified 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 Fulcrum Diversified with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fulcrum Diversified and Loomis Sayles.

Diversification Opportunities for Fulcrum Diversified and Loomis Sayles

0.42

Correlation Coefficient

Fulcrum Diversified  Loomis Sayles

Very weak diversification

The 3 months correlation between Fulcrum and Loomis is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding Fulcrum Diversified Absolute and Loomis Sayles International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Intern and Fulcrum Diversified 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 Fulcrum Diversified Absolute 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 Intern has no effect on the direction of Fulcrum Diversified i.e., Fulcrum Diversified and Loomis Sayles go up and down completely randomly.

Pair Corralation between Fulcrum Diversified and Loomis Sayles

Assuming the 90 days horizon Fulcrum Diversified is expected to generate 9.65 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Fulcrum Diversified Absolute is 2.37 times less risky than Loomis Sayles. It trades about 0.03 of its potential returns per unit of risk. Loomis Sayles International is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  1,061  in Loomis Sayles International on September 15, 2024 and sell it today you would earn a total of  71.00  from holding Loomis Sayles International or generate 6.69% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	98.46%
Values	Daily Returns

Fulcrum Diversified Absolute  vs.  Loomis Sayles International

Fulcrum Diversified

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Fulcrum Diversified Absolute are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Fulcrum Diversified is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Loomis Sayles Intern

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles International are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Loomis Sayles may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Fulcrum Diversified and Loomis Sayles

The main advantage of trading using opposite Fulcrum Diversified and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fulcrum Diversified 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.

The idea behind Fulcrum Diversified Absolute and Loomis Sayles International pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 CEOs Directory module to screen CEOs from public companies around the world.