Correlation Between Loomis Sayles and Tax Exempt

Can any of the company-specific risk be diversified away by investing in both Loomis Sayles and Tax Exempt 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 Tax Exempt 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 Tax Exempt Bond Fund, you can compare the effects of market volatilities on Loomis Sayles and Tax Exempt 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 Tax Exempt. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loomis Sayles and Tax Exempt.

Diversification Opportunities for Loomis Sayles and Tax Exempt

0.61

Correlation Coefficient

Loomis Sayles  Tax Exempt

Poor diversification

The 3 months correlation between Loomis and Tax is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Inflation and Tax Exempt Bond Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Exempt Bond 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 Tax Exempt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Exempt Bond has no effect on the direction of Loomis Sayles i.e., Loomis Sayles and Tax Exempt go up and down completely randomly.

Pair Corralation between Loomis Sayles and Tax Exempt

Assuming the 90 days horizon Loomis Sayles Inflation is expected to under-perform the Tax Exempt. In addition to that, Loomis Sayles is 1.46 times more volatile than Tax Exempt Bond Fund. It trades about -0.13 of its total potential returns per unit of risk. Tax Exempt Bond Fund is currently generating about -0.01 per unit of volatility. If you would invest  2,208  in Tax Exempt Bond Fund on September 15, 2024 and sell it today you would lose (3.00) from holding Tax Exempt Bond Fund or give up 0.14% of portfolio value over 90 days.

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

Loomis Sayles Inflation  vs.  Tax Exempt Bond Fund

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.

Tax Exempt Bond

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Tax Exempt Bond Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Tax Exempt 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 Tax Exempt

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

The idea behind Loomis Sayles Inflation and Tax Exempt Bond Fund 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.