Correlation Between Vanguard Institutional and Loomis Sayles

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

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

Diversification Opportunities for Vanguard Institutional and Loomis Sayles

-0.43

Correlation Coefficient

Vanguard Institutional  Loomis Sayles

Very good diversification

The 3 months correlation between Vanguard and Loomis is -0.43. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Institutional Index and Loomis Sayles E in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles E and Vanguard Institutional 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 Vanguard Institutional Index 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 E has no effect on the direction of Vanguard Institutional i.e., Vanguard Institutional and Loomis Sayles go up and down completely randomly.

Pair Corralation between Vanguard Institutional and Loomis Sayles

Assuming the 90 days horizon Vanguard Institutional Index is expected to under-perform the Loomis Sayles. In addition to that, Vanguard Institutional is 3.33 times more volatile than Loomis Sayles E. It trades about -0.09 of its total potential returns per unit of risk. Loomis Sayles E is currently generating about 0.13 per unit of volatility. If you would invest  1,126  in Loomis Sayles E on December 30, 2024 and sell it today you would earn a total of  27.00  from holding Loomis Sayles E or generate 2.4% return on investment over 90 days.

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

Vanguard Institutional Index  vs.  Loomis Sayles E

Vanguard Institutional

Risk-Adjusted Performance

Very Weak

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

Loomis Sayles E

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles E are ranked lower than 10 (%) 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 Vanguard Institutional and Loomis Sayles

The main advantage of trading using opposite Vanguard Institutional and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Institutional 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 Vanguard Institutional Index and Loomis Sayles E 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.