Correlation Between Virtus Nfj and Loomis Sayles

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

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

Diversification Opportunities for Virtus Nfj and Loomis Sayles

0.54

Correlation Coefficient

Virtus Nfj  Loomis Sayles

Very weak diversification

The 3 months correlation between Virtus and Loomis is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Virtus Nfj Large Cap and Loomis Sayles International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Intern and Virtus Nfj 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 Virtus Nfj 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 Intern has no effect on the direction of Virtus Nfj i.e., Virtus Nfj and Loomis Sayles go up and down completely randomly.

Pair Corralation between Virtus Nfj and Loomis Sayles

Assuming the 90 days horizon Virtus Nfj is expected to generate 1.05 times less return on investment than Loomis Sayles. But when comparing it to its historical volatility, Virtus Nfj Large Cap is 1.46 times less risky than Loomis Sayles. It trades about 0.13 of its potential returns per unit of risk. Loomis Sayles International is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  1,038  in Loomis Sayles International on August 31, 2024 and sell it today you would earn a total of  59.00  from holding Loomis Sayles International or generate 5.68% return on investment over 90 days.

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

Virtus Nfj Large Cap  vs.  Loomis Sayles International

Virtus Nfj Large

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Nfj Large Cap are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Virtus Nfj is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Loomis Sayles Intern

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles International are ranked lower than 7 (%) 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 Virtus Nfj and Loomis Sayles

The main advantage of trading using opposite Virtus Nfj and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Virtus Nfj 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 Virtus Nfj Large Cap and Loomis Sayles International 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.