Correlation Between Jpmorgan Hedged and Loomis Sayles

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

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

Diversification Opportunities for Jpmorgan Hedged and Loomis Sayles

0.84

Correlation Coefficient

Jpmorgan Hedged  Loomis Sayles

Very poor diversification

The 3 months correlation between Jpmorgan and Loomis is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Hedged Equity and Loomis Sayles Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Global and Jpmorgan Hedged 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 Jpmorgan Hedged Equity 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 Global has no effect on the direction of Jpmorgan Hedged i.e., Jpmorgan Hedged and Loomis Sayles go up and down completely randomly.

Pair Corralation between Jpmorgan Hedged and Loomis Sayles

Assuming the 90 days horizon Jpmorgan Hedged Equity is expected to generate 0.58 times more return on investment than Loomis Sayles. However, Jpmorgan Hedged Equity is 1.71 times less risky than Loomis Sayles. It trades about 0.14 of its potential returns per unit of risk. Loomis Sayles Global is currently generating about 0.04 per unit of risk. If you would invest  2,403  in Jpmorgan Hedged Equity on September 3, 2024 and sell it today you would earn a total of  986.00  from holding Jpmorgan Hedged Equity or generate 41.03% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Jpmorgan Hedged Equity  vs.  Loomis Sayles Global

Jpmorgan Hedged Equity

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Jpmorgan Hedged Equity are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Jpmorgan Hedged may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Loomis Sayles Global

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles Global are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Loomis Sayles is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Jpmorgan Hedged and Loomis Sayles

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

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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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.