Correlation Between Franklin Mutual and Loomis Sayles
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 is expected to generate 2.68 times less return on investment than Loomis Sayles. In addition to that, Franklin Mutual is 1.81 times more volatile than Loomis Sayles Inflation. It trades about 0.03 of its total potential returns per unit of risk. Loomis Sayles Inflation is currently generating about 0.14 per unit of volatility. If you would invest 964.00 in Loomis Sayles Inflation on September 10, 2024 and sell it today you would earn a total of 7.00 from holding Loomis Sayles Inflation or generate 0.73% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Franklin Mutual Global vs. Loomis Sayles Inflation
Performance |
Timeline |
Franklin Mutual Global |
Loomis Sayles Inflation |
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.Franklin Mutual vs. Franklin Federal Limited Term | Franklin Mutual vs. Jhancock Short Duration | Franklin Mutual vs. Siit Ultra Short | Franklin Mutual vs. Angel Oak Ultrashort |
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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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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