Correlation Between Loomis Sayles and Calvert Smallcap

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

By analyzing existing cross correlation between Loomis Sayles Small and Calvert Smallcap Fund6, you can compare the effects of market volatilities on Loomis Sayles and Calvert Smallcap 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 Loomis Sayles with a short position of Calvert Smallcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loomis Sayles and Calvert Smallcap.

Diversification Opportunities for Loomis Sayles and Calvert Smallcap

0.16

Correlation Coefficient

Loomis Sayles  Calvert Smallcap

Average diversification

The 3 months correlation between Loomis and Calvert is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Loomis Sayles Small and Calvert Smallcap Fund6 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Smallcap Fund6 and Loomis Sayles 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 Loomis Sayles Small are associated (or correlated) with Calvert Smallcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Smallcap Fund6 has no effect on the direction of Loomis Sayles i.e., Loomis Sayles and Calvert Smallcap go up and down completely randomly.

Pair Corralation between Loomis Sayles and Calvert Smallcap

Assuming the 90 days horizon Loomis Sayles Small is expected to generate 1.03 times more return on investment than Calvert Smallcap. However, Loomis Sayles is 1.03 times more volatile than Calvert Smallcap Fund6. It trades about 0.07 of its potential returns per unit of risk. Calvert Smallcap Fund6 is currently generating about -0.02 per unit of risk. If you would invest  2,444  in Loomis Sayles Small on August 3, 2025 and sell it today you would earn a total of  125.00  from holding Loomis Sayles Small or generate 5.11% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.46%
Values	Daily Returns

Loomis Sayles Small  vs.  Calvert Smallcap Fund6

Loomis Sayles Small

Risk-Adjusted Performance

Mild

Compared to the overall equity markets, risk-adjusted returns on investments in Loomis Sayles Small are ranked lower than 5 (%) 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.

Calvert Smallcap Fund6

Risk-Adjusted Performance

Weakest

Over the last 90 days Calvert Smallcap Fund6 has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Calvert Smallcap is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Loomis Sayles and Calvert Smallcap

The main advantage of trading using opposite Loomis Sayles and Calvert Smallcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Loomis Sayles position performs unexpectedly, Calvert Smallcap 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 Calvert Smallcap will offset losses from the drop in Calvert Smallcap's long position.

The idea behind Loomis Sayles Small and Calvert Smallcap Fund6 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 Transaction History module to view history of all your transactions and understand their impact on performance.