Correlation Between Loomis Sayles and Tax-managed

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

By analyzing existing cross correlation between Loomis Sayles Smallmid and Tax Managed Large Cap, you can compare the effects of market volatilities on Loomis Sayles and Tax-managed 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-managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loomis Sayles and Tax-managed.

Diversification Opportunities for Loomis Sayles and Tax-managed

0.8

Correlation Coefficient

Loomis Sayles  Tax-managed

Very poor diversification

The 3 months correlation between Loomis and Tax-managed is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Smallmid and Tax Managed Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Managed Large 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 Smallmid are associated (or correlated) with Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Managed Large has no effect on the direction of Loomis Sayles i.e., Loomis Sayles and Tax-managed go up and down completely randomly.

Pair Corralation between Loomis Sayles and Tax-managed

Assuming the 90 days horizon Loomis Sayles is expected to generate 1.69 times less return on investment than Tax-managed. In addition to that, Loomis Sayles is 1.28 times more volatile than Tax Managed Large Cap. It trades about 0.04 of its total potential returns per unit of risk. Tax Managed Large Cap is currently generating about 0.09 per unit of volatility. If you would invest  6,173  in Tax Managed Large Cap on October 24, 2024 and sell it today you would earn a total of  2,445  from holding Tax Managed Large Cap or generate 39.61% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	99.8%
Values	Daily Returns

Loomis Sayles Smallmid  vs.  Tax Managed Large Cap

Loomis Sayles Smallmid

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles Smallmid are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Loomis Sayles may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Tax Managed Large

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Tax Managed Large Cap are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Tax-managed 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-managed

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

The idea behind Loomis Sayles Smallmid and Tax Managed Large Cap 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.