Correlation Between Franklin Mutual and Loomis Sayles

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both Franklin Mutual 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 Franklin Mutual and Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Franklin Mutual Global and Loomis Sayles Inflation, you can compare the effects of market volatilities on Franklin Mutual 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 Franklin Mutual with a short position of Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Franklin Mutual and Loomis Sayles.

Diversification Opportunities for Franklin Mutual and Loomis Sayles

0.39
  Correlation Coefficient

Weak diversification

The 3 months correlation between Franklin and Loomis is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding Franklin Mutual Global and Loomis Sayles Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Inflation and Franklin Mutual 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 Franklin Mutual Global 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 Inflation has no effect on the direction of Franklin Mutual i.e., Franklin Mutual and Loomis Sayles go up and down completely randomly.

Pair Corralation between Franklin Mutual and Loomis Sayles

Assuming the 90 days horizon Franklin Mutual Global is expected to generate 2.09 times more return on investment than Loomis Sayles. However, Franklin Mutual is 2.09 times more volatile than Loomis Sayles Inflation. It trades about 0.07 of its potential returns per unit of risk. Loomis Sayles Inflation is currently generating about -0.02 per unit of risk. If you would invest  3,121  in Franklin Mutual Global on September 6, 2024 and sell it today you would earn a total of  79.00  from holding Franklin Mutual Global or generate 2.53% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Franklin Mutual Global  vs.  Loomis Sayles Inflation

 Performance 
       Timeline  
Franklin Mutual Global 

Risk-Adjusted Performance

5 of 100

 
Weak
 
Strong
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Franklin Mutual Global are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Franklin Mutual is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Loomis Sayles Inflation 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
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.

Franklin Mutual and Loomis Sayles Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Franklin Mutual and Loomis Sayles

The main advantage of trading using opposite Franklin Mutual and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Franklin Mutual 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 Franklin Mutual Global and Loomis Sayles Inflation 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.
Check out your portfolio center.
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

Other Complementary Tools

Correlation Analysis
Reduce portfolio risk simply by holding instruments which are not perfectly correlated
Performance Analysis
Check effects of mean-variance optimization against your current asset allocation
Price Transformation
Use Price Transformation models to analyze the depth of different equity instruments across global markets
Global Markets Map
Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes
Fundamentals Comparison
Compare fundamentals across multiple equities to find investing opportunities