Correlation Between Commodities Strategy and Loomis Sayles

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

By analyzing existing cross correlation between Commodities Strategy Fund and Loomis Sayles Small, you can compare the effects of market volatilities on Commodities Strategy 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 Commodities Strategy with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commodities Strategy and Loomis Sayles.

Diversification Opportunities for Commodities Strategy and Loomis Sayles

-0.3

Correlation Coefficient

Commodities Strategy  Loomis Sayles

Very good diversification

The 3 months correlation between Commodities and Loomis is -0.3. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund and Loomis Sayles Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Small and Commodities Strategy 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 Commodities Strategy Fund 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 Small has no effect on the direction of Commodities Strategy i.e., Commodities Strategy and Loomis Sayles go up and down completely randomly.

Pair Corralation between Commodities Strategy and Loomis Sayles

Assuming the 90 days horizon Commodities Strategy is expected to generate 1.36 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Commodities Strategy Fund is 1.76 times less risky than Loomis Sayles. It trades about 0.07 of its potential returns per unit of risk. Loomis Sayles Small is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  2,551  in Loomis Sayles Small on September 26, 2024 and sell it today you would earn a total of  82.00  from holding Loomis Sayles Small or generate 3.21% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	97.62%
Values	Daily Returns

Commodities Strategy Fund  vs.  Loomis Sayles Small

Commodities Strategy

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Commodities Strategy Fund are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental drivers, Commodities Strategy is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Loomis Sayles Small

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles Small are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. 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 Commodities Strategy and Loomis Sayles

The main advantage of trading using opposite Commodities Strategy and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commodities Strategy 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 Commodities Strategy Fund and Loomis Sayles Small 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.