Correlation Between Loomis Sayles and Sierra Core
Can any of the company-specific risk be diversified away by investing in both Loomis Sayles and Sierra Core 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 Sierra Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Loomis Sayles Bond and Sierra E Retirement, you can compare the effects of market volatilities on Loomis Sayles and Sierra Core 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 Sierra Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loomis Sayles and Sierra Core.
Diversification Opportunities for Loomis Sayles and Sierra Core
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Loomis and Sierra is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Bond and Sierra E Retirement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sierra E Retirement 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 Bond are associated (or correlated) with Sierra Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sierra E Retirement has no effect on the direction of Loomis Sayles i.e., Loomis Sayles and Sierra Core go up and down completely randomly.
Pair Corralation between Loomis Sayles and Sierra Core
Assuming the 90 days horizon Loomis Sayles Bond is expected to under-perform the Sierra Core. In addition to that, Loomis Sayles is 1.05 times more volatile than Sierra E Retirement. It trades about -0.26 of its total potential returns per unit of risk. Sierra E Retirement is currently generating about -0.17 per unit of volatility. If you would invest 2,216 in Sierra E Retirement on January 25, 2024 and sell it today you would lose (31.00) from holding Sierra E Retirement or give up 1.4% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Loomis Sayles Bond vs. Sierra E Retirement
Performance |
| Timeline |
| Loomis Sayles Bond |
| Sierra E Retirement |
Loomis Sayles and Sierra Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Loomis Sayles and Sierra Core
The main advantage of trading using opposite Loomis Sayles and Sierra Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Loomis Sayles position performs unexpectedly, Sierra Core 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 Sierra Core will offset losses from the drop in Sierra Core's long position.| Loomis Sayles vs. Merck Company | Loomis Sayles vs. Chevron Corp | Loomis Sayles vs. MagnaChip Semiconductor |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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