Correlation Between Tax-managed and Loomis Sayles

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

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

Diversification Opportunities for Tax-managed and Loomis Sayles

0.77

Correlation Coefficient

Tax-managed  Loomis Sayles

Poor diversification

The 3 months correlation between Tax-managed and Loomis is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Large Cap and Loomis Sayles Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Global and Tax-managed 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 Tax Managed Large Cap are associated (or correlated) with Loomis Sayles. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Loomis Sayles Global has no effect on the direction of Tax-managed i.e., Tax-managed and Loomis Sayles go up and down completely randomly.

Pair Corralation between Tax-managed and Loomis Sayles

Assuming the 90 days horizon Tax Managed Large Cap is expected to under-perform the Loomis Sayles. In addition to that, Tax-managed is 1.32 times more volatile than Loomis Sayles Global. It trades about -0.08 of its total potential returns per unit of risk. Loomis Sayles Global is currently generating about -0.04 per unit of volatility. If you would invest  2,480  in Loomis Sayles Global on December 22, 2024 and sell it today you would lose (47.00) from holding Loomis Sayles Global or give up 1.9% of portfolio value over 90 days.

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

Tax Managed Large Cap  vs.  Loomis Sayles Global

Tax Managed Large

Risk-Adjusted Performance

Very Weak

Over the last 90 days Tax Managed Large Cap has generated negative risk-adjusted returns adding no value to fund investors. 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.

Loomis Sayles Global

Risk-Adjusted Performance

Very Weak

Over the last 90 days Loomis Sayles Global 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.

Pair Trading with Tax-managed and Loomis Sayles

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

The idea behind Tax Managed Large Cap and Loomis Sayles Global 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.