Correlation Between Loomis Sayles and Short Duration

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

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

Diversification Opportunities for Loomis Sayles and Short Duration

0.76

Correlation Coefficient

Loomis Sayles  Short Duration

Poor diversification

The 3 months correlation between Loomis and Short is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Inflation and Short Duration Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Short Duration Inflation and Loomis Sayles 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 Loomis Sayles Inflation are associated (or correlated) with Short Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Short Duration Inflation has no effect on the direction of Loomis Sayles i.e., Loomis Sayles and Short Duration go up and down completely randomly.

Pair Corralation between Loomis Sayles and Short Duration

Assuming the 90 days horizon Loomis Sayles Inflation is expected to under-perform the Short Duration. In addition to that, Loomis Sayles is 1.99 times more volatile than Short Duration Inflation. It trades about -0.08 of its total potential returns per unit of risk. Short Duration Inflation is currently generating about 0.01 per unit of volatility. If you would invest  1,055  in Short Duration Inflation on September 13, 2024 and sell it today you would earn a total of  1.00  from holding Short Duration Inflation or generate 0.09% return on investment over 90 days.

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

Loomis Sayles Inflation  vs.  Short Duration Inflation

Loomis Sayles Inflation

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Loomis Sayles Inflation has generated negative risk-adjusted returns adding no value to fund investors. 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.

Short Duration Inflation

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Short Duration Inflation has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Short Duration is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Loomis Sayles and Short Duration

The main advantage of trading using opposite Loomis Sayles and Short Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Loomis Sayles position performs unexpectedly, Short Duration 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 Short Duration will offset losses from the drop in Short Duration's long position.

The idea behind Loomis Sayles Inflation and Short Duration Inflation 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.