Correlation Between Qs Moderate and Loomis Sayles

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

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

Diversification Opportunities for Qs Moderate and Loomis Sayles

0.73

Correlation Coefficient

Qs Moderate  Loomis Sayles

Poor diversification

The 3 months correlation between SCGRX and Loomis is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Qs Moderate Growth and Loomis Sayles Smallmid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Smallmid and Qs Moderate 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 Qs Moderate Growth 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 Smallmid has no effect on the direction of Qs Moderate i.e., Qs Moderate and Loomis Sayles go up and down completely randomly.

Pair Corralation between Qs Moderate and Loomis Sayles

Assuming the 90 days horizon Qs Moderate Growth is expected to under-perform the Loomis Sayles. In addition to that, Qs Moderate is 1.41 times more volatile than Loomis Sayles Smallmid. It trades about -0.24 of its total potential returns per unit of risk. Loomis Sayles Smallmid is currently generating about -0.15 per unit of volatility. If you would invest  1,434  in Loomis Sayles Smallmid on October 9, 2024 and sell it today you would lose (45.00) from holding Loomis Sayles Smallmid or give up 3.14% of portfolio value over 90 days.

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

Qs Moderate Growth  vs.  Loomis Sayles Smallmid

Qs Moderate Growth

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Qs Moderate Growth has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Qs Moderate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Loomis Sayles Smallmid

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles Smallmid are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward 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 Qs Moderate and Loomis Sayles

The main advantage of trading using opposite Qs Moderate and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Qs Moderate 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 Qs Moderate Growth and Loomis Sayles Smallmid 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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.