Correlation Between Loomis Sayles and Holbrook Income

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

Diversification Opportunities for Loomis Sayles and Holbrook Income

0.01

Correlation Coefficient

Loomis Sayles  Holbrook Income

Significant diversification

The 3 months correlation between Loomis and Holbrook is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Inflation and Holbrook Income Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Holbrook Income 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 Holbrook Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Holbrook Income has no effect on the direction of Loomis Sayles i.e., Loomis Sayles and Holbrook Income go up and down completely randomly.

Pair Corralation between Loomis Sayles and Holbrook Income

Assuming the 90 days horizon Loomis Sayles Inflation is expected to under-perform the Holbrook Income. But the mutual fund apears to be less risky and, when comparing its historical volatility, Loomis Sayles Inflation is 1.12 times less risky than Holbrook Income. The mutual fund trades about -0.56 of its potential returns per unit of risk. The Holbrook Income Fund is currently generating about -0.26 of returns per unit of risk over similar time horizon. If you would invest  990.00  in Holbrook Income Fund on October 8, 2024 and sell it today you would lose (13.00) from holding Holbrook Income Fund or give up 1.31% of portfolio value over 90 days.

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

Loomis Sayles Inflation  vs.  Holbrook Income 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.

Holbrook Income

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Holbrook Income Fund are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Holbrook Income 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 Holbrook Income

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

The idea behind Loomis Sayles Inflation and Holbrook Income 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.